A separation heuristic for mixed integer programs is presented that theoretically allows one to derive several families of " strong" valid inequalities for specific models and compuationally gives results as good as or better than those obtained from several existing separation routines...

Este artículo quiere mostrar los usos y las utilidades de MATLAB©, tanto en la enseñanza como en las aplicaciones de la Matemática Financiera. El artículo tiene dos partes bien diferenciadas: en la primera se hace un estudio estadístico de los datos del Ibex 35 durante gran parte del año...

Este artículo pretende proporcionar un panorama general de la computación evolutiva, sus orígenes, sus paradigmas principales y algunas de sus aplicaciones en Economía y Finanzas. Se discuten, entre otras cosas, los descubrimientos científicos más importantes que originaron el denominado...

We develop a monetary model with flexible supply of labor, cash in advance constraints and government spending financed by seignorage. This model has two regimes. One regime is conventional with two steady states. The other regime has a unique steady state which can be determinate or...

Market mechanisms are increasingly being used as a tool for allocating somewhat scarce but unpriced rights and resources, such as air and water. Tradable permits have emerged as the most cost–effective measure leading to the emergence of both nationwide (SO2) and supranational (CO2) emission...

Since the creation of the Chilean pension fund industry in 1981, pension fund administrators have not been free to choose their investment portfolios because of stringent regulation of investment limits. The diagnosis implicit with the imposition of limits was that the Chilean capital market was...

We discuss computational aspects of likelihood-based estimation of univariate ARFIMA (p,d,q) models. We show how efficient computation and simulation is feasible, even for large samples. We also discuss the implementation of analytical bias corrections.

We investigate portfolio selection with alternative objective functions in a distributed computing environment. In particular, we optimise a portfolio's 'Omega' which is the ratio of two partial moments of the returns distributions. Since finding optimal portfolios under such performance...

This study evaluates the performance of the eight most important Swedish domestic forecasters of real GDP-growth, CPI-inflation and unemployment for the sample period 1993-2001. The evaluation is based on the following measures: mean absolute error, the root mean square error, bias and finally...

This paper studies first–order differentiability properties of the value function in concave dynamic programs. Motivated by economic considerations, we dispense with commonly imposed interiority assumptions. We suppose that the correspondence of feasible choices varies with the vector of state...