In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean–variance approach that can control portfolio skewness and...

This paper characterizes a class of regularly varying production functions with an asymptotic elasticity of substitution equal to one. In particular, it is shown that these functions asymptotically approximate the Cobb–Douglas form. The results generalize and unify existing results in the...

In numerically implementing the optimization of an expected value in many economic models, it is often necessary to approximate a given continuous probability distribution by a discrete distribution. We propose an approximation method based on the principle of maximum entropy and minimum...

This paper is concerned with the problem of extending an antisymmetric binary relation on a set to a linear order on the power set. A necessary and sufficient condition is offered.

In this paper, we study the functional central limit theorem for ARMA–GARCH processes. We prove that, under the finite second moment assumption, the stationary ARMA–GARCH process is geometricallyL2-NED and that the functional central limit theorem holds.

We show that a multiple-unit descending-price auction in which the clock is not reset after each sale may be faster and yield more stable prices than an efficient alternative, thus providing sellers a rationale for using it in practice.

When individuals underreport their incomes, they take into account their private gains and moral losses, the latter depending on the acquaintances’ previous underreports. We prove that under quite natural assumptions the process globally converges to the symmetric steady state.

A comprehensive theory of large strategic games with (socioeconomic and biological) traits (LSGT) has recently been presented in Khan et al. (2012, 2013), and we present a reformulation pertaining to large distributional games with traits (LDGT).

The notion of optimized rational behavior in the formation of expectations is used in this note to study the dynamics of a simple macroeconomic model. In a setting where departures from stability are not possible under perfect foresight, the selection of an optimal degree of rationality may lead...

In this paper, we examine a free entry aggregative game where agents can be asymmetric. We show the existence of a pure strategy subgame perfect equilibrium of this game. The proof is a constructive one and therefore we provide a method to derive a subgame perfect equilibrium within a reasonable...