In this paper we build on the network-based financial accelerator model of Delli Gatti et al. (2010), modelling the firms' financial structure following the "dynamic trade-off theory", instead of the "pecking order theory". Moreover, we allow for multiperiodal debt structure and consider...

In Riccetti (2010) I find that the use of copulas can be useful in an asset allocation model for choosing the stock and the bond composition of portfolios (the macro asset allocation) or if the portfolio is composed by one bond index and some stock indices. Thus, in these cases, easy methods to...

It is well known that investors usually assign part of their funds to asset managers who are given the task of beating a benchmark portfolio. On the other hand, the risk management office could impose some restrictions to the asset managers' activity in order to mantain the overall portfolio...

Investors assign part of their funds to asset managers that are given the task of beating a benchmark. The risk management department usually imposes a maximum value of the tracking error volatility (TEV) in order to keep the risk of the portfolio near to that of the selected benchmark. However,...

Asset managers are often given the task of restricting their activity by keeping both the value at risk (VaR) and the tracking error volatility (TEV) under control. However, these constraints can not always be simultaneously satisfied because the VaR is independent of the benchmark portfolio....

Many authors have suggested that the mean-variance criterion, conceived by Markowitz (1952), is not optimal for asset allocation, because the investor expected utility function is better proxied by a function that uses higher moments and because returns are distributed in a non-Normal way, being...

This paper analyzes the impact of inequality in the distribution of endowments on contributions. We conduct a lab experiment using the well-known Public Good Game to test the relation between inequality and contribution to a public fund. We introduce the possibility to choose among three...

In this paper we propose a stochastic model in which wealth accumulation depends on the role that agents play in the society: capitalists or workers. A random mechanism of class selection shapes the social structure of the economy based on wealth distribution dynamics. As a result, the society...

In this paper we focus on the impact of involuntary unemployment on wage formation using experimental evidence. We use the well-known Gift Exchange Game to analyze players' interaction in a simplified job market. The aim of this paper is twofold: on the one hand, we are interested in analyzing...

In this paper we investigate the sources of instability in credit and financial systems and the effect of credit linkages on the macroeconomic activity. By developing an agent-based model, we analyze the evolving dynamics of the economy as a complex, adaptive and interactive system, which allows...