Linear rational expectations models generally have a large number of solutions. It is thus important to describe them exhaustively in order to study their properties and subsequently estimate which solution best fits the data. In this paper, a global approach is suggested allowing a simultaneous...

We are interested in the evolution of the equilibrium price of a stockable commodity which can be demanded for speculative purposes. Using a model "à la Grossman", we determine all the possible price evolutions and we analyse the effect of the structural parameters on the growth of speculative...

Standard sector classification frameworks present drawbacks that might hinder portfolio managers. This article introduces a new nonparametric approach to equity classification. Returns are decomposed into their fundamental drivers through Independent Component Analysis (ICA). Stocks are then...