This paper studies the effect of the HIV/AIDS epidemic on saving behaviour. Two important characteristics of HIV result in opposing forces on savings: mortality increases, which reduces savings, and long-term illness risk increases, which enhances savings. We use a two period life-cycle model...

Much analysis in macroeconomics empirically addresses economy-wide incentives behind consumer/investment choices by using insights from the way a single representative household would behave. Heterogeneity at the micro level can jeopardize attempts to back up the representative consumer...

We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....

In the presence of rising carbon concentrations more attention should be given to the role of the oceans as a sink for atmospheric carbon. We do so by setting up a simple dynamic global carbon cycle model with two reservoirs containing atmosphere and two ocean layers. The net flux between these...

The purpose of this paper is to show how to solve linear dynamic rational expectations models with anticipated shocks by using the generalized Schur decomposition method. Furthermore, we determine the optimal unrestricted and restricted policy responses to anticipated shocks. We demonstrate our...

In this article we address the problem of finding feedback Nash equilibria for linear quadratic differential games defined on descriptor systems. First, we decouple the dynamic and algebraic parts of a descriptor system using canonical projectors. We discuss the effects of feedback on the...

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set of portfolios is defined as the expected loss...

We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on...

The L1-median is a robust estimator of multivariate location with good statistical properties. Several algorithms for computing the L1-median are available. Problem specific algorithms can be used, but also general optimization routines. The aim is to compare different algorithms with respect to...

Introducing a ceiling on total carbon dioxide (CO2) emissions and allowing polluting industries to buy and sell permits to meet it (known as a cap-and-trade system) affects investment strategies, generation quantities, and prices in electricity markets. In this paper we analyze these effects...