In this paper we derive the closed loop form of the Expected Optimal Feedback rule, sometimes called passive learning stochastic control, with time varying parameters. As such this paper extends the work of Kendrick (Stochastic control for economic models, <CitationRef CitationID="CR13">1981</CitationRef>; Stochastic control for economic...</citationref>

This paper con?rms that, as originally reported in Seneta (2004, p. 183), it is impossible to replicate Madan et al.?s (1998) results using log daily returns on S&P 500 Index from January 1992 to September 1994. This failure leads to a close investigation of the computational problems associated...

Abstract: The robust permanent income model discussed in a number of works, see e.g. Hansen et al. (1999, 2002), is reformulated as a linear quadratic tracking problem with a time-varying intercept following a ‘Return to Normality’ model. The results in Tucci (2005), which...

This paper builds upon the work by Tucci and Kendrick (2001) in which the authors develop a quadratic form version of the robust permanent income and pricing model described in Hansen, Sargent and Tallerini (1999). Then using the parameter values given on p. 18 of the HST paper they compute the...

The Impact Factor (IF) “has moved ... from an obscure bibliometric indicator to become the chief quantitative measure of the quality of a journal, its research papers, the researchers who wrote those papers, and even the institution they work in” ([2], p. 1). However, the use of this index...

Comparisons of various methods for solving stochastic control economic models can be done with Monte Carlo methods. These methods have been applied to simple one-state, one-control quadraticlinear tracking models; however, large outliers may occur in a substantial number of the Monte Carlo runs...