As shown by the recent turmoil in credit markets, much remains to be done for the proper risk management of credit derivatives. In particular, the static copula-based models commo...
: Many natural games can have a dramatic difference between the quality of their best and worst Nash equilibria, even in pure strategies. Yet, nearly all work to date on dynamics s...
In this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio ...
This article introduces a new way of understanding subjective probability and its generalization to lower and upper prevision. Instead of asking whether a person is willing to pay...
Fads models were introduced by Shiller (1984) and Summers (1986) as plausible alternatives to the efficient markets/constant expected returns assumptions. Under these models, loga...