The paper focuses on the impact of time horizon on risk and return, which usually is the object of discussions about “stock versus bond”. The aim of this paper is to investigate the transformation of risk and return when increasing the investment term, and to determine the impact of the...

In this study, we propose a multi-agent model to examine bank lending and borrowing risk behaviors and their implications to interbank market dynamics. Using data from 2001 to 2014 that covers around U.S. 6600 banks, we model individual bank decisions using the temporal difference reinforcement...

This paper characterizes the optimal first-price auction (FPA) and second-price auction (SPA) for selling rights, contracts, or licenses that involve ensuing payoff uncertainty for the winning bidder. The distribution of the random payoff is common knowledge, except that bidders have private...