The attempt to match characteristics of asset pricing models such as the risk-free interest rate, equity premium and the Sharpe ratio for models with instantaneous consumption decisions in the context of stochastic growth models has not been very successful. Many recent versions of asset pricing...

A recent literature have proposed different methods to produce second-order accurate approximation to the solutions to DGSE's from a straightforward second-order approximation of the model. Among others, Judd (2002), Jin and Judd (2002) show how to compute approximation of arbitrary order on...

The research on financial engineering by means of genetic programming is gradually popular and appealing. For example, Kaboudan (1999, 2001) and Iba and Sasaki (1999), Iba and Sasaki (1999), used standard GP to evolve forecasting models. Neely, et al. (1997), Allen and Karjalainen (1999), Fyfe...

Bounded rationality is introduced into a standard growth model by assuming that households form one-period ahead least squares forecasts on production factor prices, and expect that future level of consumption and physical capital will be consistent with the balanced growth path. Under those...

The stylised facts of financial data, such as fat tails, volatility clustering, and long memory, have been successfully described within the paradigm of interacting agent hypothesis. However, a common problem that characterizes the dynamics of agent-based models is the necessary fine tuning of...

An agent-based computational model is studied with a sequential market structure. We consider a stationary exchange economy with trade taking place outside equilibrium. This implies quantity rationing and cash in advance constraints. The updating of prices and cash balances makes it necessary...

Solow and Hahn proposed an overlapping generations model in 1995 with which to criticize rational expectations. The agents have perfect foresight, but are subjected to an unanticipated shock in the population. The authors showed that the economy couldn't return to the steady state without...

It has been recognized that (i) decision makers' concerns about robustness affect prices and quantities; and (ii) uncertainty are generated by infrequent large shocks as well as continuous small shocks. An investor observes movements in variable levels but cannot perfectly distinguish their...

Qualitative properties of optimal investment strategies for a firm with quadratic costs and non-concave revenues are analysed. Organising information in a bifurcation diagram, it is found that the organising centre of the diagram is a so-called swallow-tail singularity. This implies the...

Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general, computationally simple approach to real options in discrete...