Leveraged exchange-traded funds are designed to track a multiple of the daily return of an underlying benchmark index. In order to keep a fixed exposure to the benchmark index, leveraged ETFs have to rebalance their positions everyday, generating a structural ’rebalancing slippage’ which has...

This paper computes the total recapitalization needs of the banking sector of each European country in case of a new systemic financial crisis. These estimations are based on the estimated capital shortages of big individual banks published by the Volatility Laboratory of New York University...

This note shows how the linear programs needed to compute cost and revenue functions under constant returns to scale and a single output or input, respectively, can be replaced with a more efficient enumeration algorithm. A numerical example illustrates this algorithm

The demand for long-term care (LTC) insurance depends – among other things – on the relationship between potential policyholders and their relatives since the latter may informally provide LTC that is otherwise purchased on the market. The combined effects of intra-family moral hazard and...

To analyze the impact of background risks, decreasing absolute risk aversion (DARA) must be combined with other restrictions on the shape of the utility function in order to make preferences risk vulnerable. In this note, we indicate that risk vulnerability can also be associated with the sole...

The need to adapt Data Development Analysis (DEA) and other frontier models in the context of negative data has been a rather neglected issue in the literature. Silva Portela, Thanassoulis, and Simpson (2004) proposed a variation on the directional distance function, a very general distance...

This paper studies business cycle patterns in UK sectoral output. It analyzes the distinction between white noise processes and their non-white noise counterparts in the frequency domain and further examines the associated features and patterns for the process where white noise conditions are...

In a recent article, Briec, Kerstens and Vanden Eeckaut (2004) develop a series of nonparametric, deterministic non-convex technologies integrating traditional returns to scale assumptions into the non-convex FDH model. They show, among other things, how the traditional technical input...

This paper proposes a nonparametric efficiency measurement approach for the static portfolio selection problem in mean-variance-skewness space. A shortage function is defined that looks for possible increases in return and skewness and decreases in variance. Global optimality is guaranteed for...