The analytic method of Chen, Cosimano, and Himonas (CCH 2009) is extended to prove that the continuous time version of the long run risk model of Bansal and Yaron (2004) has an analytic solution. The long run risk model is dependent on the recursive utility introduced by Duffie and Epstein...

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic time change we establish a link between the stochastic area and the stopping time of another associated...

We consider the optimal portfolio problem of a power investor who wishes to allocate her wealth between several credit default swaps (CDSs) and a money market account. We model contagion risk among the reference entities in the portfolio using a reduced form Markovian model with interacting...

This paper derives ex-ante standard errors of risk premium predictions from neural networks (NNs). Considering standard errors, I provide improved investment strategies and ex-post out-of-sample (OOS) statistical inferences relative to existing literature. The equal-weighted (value-weighted)...

We estimate agents' expectations about future fundamentals using a dynamic stochastic generalequilibrium model augmented with anticipated shocks. Accounting for agents' expectations atthe business cycle horizon results in aggregate risk factor innovations that have significant explanatory power...