In this paper, we examine the joint consumption-portfolio decision of an agent with limited information-processing capacity (rational inattention or RI) in the sense of Sims (2003) within a non-linear-quadratic (non-LQ) setting. Our model predicts that, as processing capacity falls, agents...

This article tries to solve the portfolio inflation hedging problem by introducing a new class of dynamic trading strategies derived from classic portfolio insurance techniques adapted to the real world. These strategies aim at yielding higher returns on a risk-adjusted basis than regular...

Supply Chain Risk Management (SCRM) is an increasingly popular subject of research which emphasizes the goals of achieving improved supply chain robustness through development of design and operational strategies. Disruption management is one aspect of SCRM which examines the ability of the...

In order to take into account the effects of production on the environment and, more generally, the urgency of finding a path of sustainable development many attempts have been made to set productivity growth measurements, including the negative impact of pollution, the production of goods and...

Excerpt: Computational aspects increasingly shape environmental sciences. Actually, transdisciplinary modelling of complex and uncertain environmental systems is challenging computational science (CS) and also the science-policy interface. Large spatial-scale problems falling within this...

This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for estimating functions that are non-smooth with respect to the parameter. We propose a nonparametric...

Endogeneity, and the distortions on the estimation of economic models that it causes, is a familiar problem in the econometrics literature. Although non-parametric methods like data envelopment analysis (DEA) are among the most used techniques for measuring technical efficiency, the effects of...

The paper investigates the trade-off between innovation and defence industrial policy. It presents an agent-based simulation model calibrated for the Norwegian defence industry that compares different policy scenarios and examines the effects of a pending EU market liberalization process. The...

The core focus of this paper is to analyze the dynamic interactions between changes in exchange rate (nominal and real terms) and exports to GDP ratio in Russia. To this end, we apply a new approach based on a time varying dynamic coherence function, called, evolutionary co-spectral analysis....

The paper presents mathematical methods of deterministic optimal control in continuous time and stochastic dynamic programming in discrete time, and computational techniques for their implementation in the General Algebraic Modeling System (GAMS). The methods and their computational...