Benoît Mandelbrot, the father of Fractal Geometry, developed a multifractal model for describing price changes. Despite the commonly used models, such as the Brownian motion, the Mutifractal Model of Asset Return (MMAR) takes into account scale-consistency, long-range dependence and heavy...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

The paper analyses the method adopted by the index of employment protection systems developed in 1999 by the OECD and discusses its reliability and shortcomings, in particular with regards to Italy. The paper highlights a series of problems of method arising from the aggregation of the...

By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) among risk factors, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of risk factors, (ii) distress between specific risk factors, and (iii) distress to...

We analyze investment decisions when information is costly, with and without delegation to an agent. We use a rational-inattention model and compare it with a canonical signal-extraction model. We identify three "investment conditions". In "sour" conditions, no information is acquired and no...

We establish the Subgradient Theorem for monotone correspondences -- a monotone correspondence is equal to the subdifferential of a potential if and only if it is conservative, i.e. its integral along a closed path vanishes irrespective of the selection from the correspondence along the path. We...

This paper examines a declining duopoly, where firms must choose when to exit from the market. The exogenous shock in the industry follows an exponential jump-diffusion process. We find Markov-perfect equilibria in firms' exit strategies. With small asymmetry in the firm-specific parameters,...

In this paper, we perform an in - depth investigation of relative merits of two adaptive learning algorithms with constant gain, Recursive Least Squares (RLS) and Stochastic Gradient (SG), using the Phelps model of monetary policy as a testing ground. The behavior of the two learning algorithms...

The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form....

An original algorithm is presented that generates both restricted integer compositions and restricted integer partitions that can be constrained simultaneously by a) upper and lower bounds on the number of summands (ldquo;partsrdquo;) allowed, and b) upper and lower bounds on the values of those...