We prove that the English auction (with bidders that need not be ex ante identical and may have interdependent valuations) has an efficient ex post equilibrium. We establish this result for environments where it has not been previously obtained. We also prove two versions of the...

Changes in the parameters of an $n$-dimensional system of equations induce changes in its solutions. For a class of such systems, we determine the qualitative change in solutions given certain qualitative changes in parameters. Our methods and results are elementary yet useful. They highlight...

Integrating large quantities of variable renewable electricity generation remains a political and operational challenge. One of the main obstacles in Europe to installing at least 200 GWs of power from variable renewable sources is how to deal with the insufficient network capacity and the...

We analyze geographic patterns of trade between individuals using transactions data from eBay and MercadoLibre, two large online auction sites. We find that distance continues to be an important deterrent to trade between geographically separated buyers and sellers, though to a lesser extent...

In an environment with stocks and short-term debt, random changes in the risk-reward frontier produce hedging demands for equities, implying that portfolio policies supporting optimal life-cycle consumption are rarely mean-variance efficient. Pursuing optimal life-cycle portfolio policies is...

It is well known that the various formulas for the duration of a bond give inaccurate results. Their accuracy can be improved by the addition of extra elements, such as convexity or duration vectors. But the results remain inaccurate. A recent paper proposed a new formula for the duration of a...

Traditional portfolio optimization approaches suffer from the drawback of often leading to highly concentrated portfolios. We propose a new kind of optimization focusing on a homogeneous distribution of risk among the portfolio constituents. We describe the underlying ideas of the approach and...

The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. For this purpose we first prove some results regarding the quasi-conditional...

In this paper it is developed a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5. For this purpose we first prove some results regarding the quasi-conditional...

The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion