We use stochastic optimal control-dynamic programming (DP) to derive the optimal foreign debt/net worth, consumption/net worth, current account/net worth, and endogenous growth rate in an open economy. Unlike the literature that uses an Intertemporal Budget Constraint (IBC) or the Maximum...

What is an optimal or a sustainable external debt - for a country, region or sector? How should one monitor and evaluate debt to preclude a crisis? We use stochastic optimal control/dynamic programming to derive an optimal debt. The deviation of the actual from the optimal will serve as a...

We build a robustness (RB) version of the Obstfeld (1994) model to study the effects of financial integration on growth and welfare. Our model can account for the empirically observed heterogeneity in the relationship between growth and volatility for different countries. The calibrated model...

What is an optimal or a sustainable external debt - for a country, region or sector? How should one monitor and evaluate debt to preclude a crisis? We use stochastic optimal control/dynamic programming to derive an optimal debt. The deviation of the actual from the optimal will serve as a...

The main contributions of this paper are to introduce growth into a crisis framework and to derive the contingency plans for consumption and investment in a manner consistent with the stochastic nature of the state of the economy. The conclusion is that expected deviations from trend in the...

This is my PhD dissertation defended in 1966 at the University of Minnesota and it was never published. It has been cited and used in other researchers work so I now make it available. The problem of optimal resource allocation over time is formulated as an optimal control problem. This is where...

This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth". In contrary to their semi-parametric approach, the SSV...

The recent financial crises, especially the debt crisis in Asia, have led to questions such as: what are their causes, what is an excessive debt and how vulnerable is an economy to external shocks; We develop an economic model of international finance and debt based upon two sources of...

The standard model of inter-temporal optimization is based upon certainty equivalence and ignores risk and uncertainty. We solve a modification of the standard model of inter-temporal optimization in an environment where the return to capital is stochastic, and we impose the constraint that...

This book covers various topics related to economics and the social sciences, such as artificial intelligence, sustainability, ESG, and tax administration. The respective contributions provide insights and perspectives on the current challenges and opportunities in these fields, while also...