We study a dynamic general equilibrium model with costly-to-short stocks and heterogeneous beliefs. The closed-form solution to the model shows that costly short sales drive a wedge between the valuation of assets that promise identical cash flows but are subject to different trading...

Firms must often decide how to target households that did not respond to past promotions. For example, when prospecting for new customers, households that purchase are no longer eligible, and so the remaining households are an increasingly pure pool of non-responders. Past response data reflects...

In recent years, a number of international organisations, regulators, governments, academics, and as well businesses have worked on developing principles of Artificial Intelligence (AI). Alongside the development of these principles, there is an on-going discussion on how to regulate AI in order...

We develop an approach that combines the estimation of monthly firm-level expected returns with an assignment of firms to (possibly) latent groups, both based upon observable characteristics, using machine learning principles with linear models. The best performing methods are flexible two-stage...

We present a method that dynamically designs elicitation questions for estimating risk and time preference parameters. Typically these parameters are elicited by presenting decision makers with a series of static choices between alternatives, gambles, or delayed payments. The proposed method...

The outcomes of many activities depend upon both skill and luck. We analyze stock analysts' forecasts of companies' earnings per share under market conditions that vary in volatility and thus imply different levels of luck in outcomes. Noting that making forecasts that deviate widely from the...

Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii [arXiv:0708.0083]