Related papers: Mathematical Constraints on Financially Viable Pub…
We introduce simple cost and risk proxy metrics that can be attached to Treasury issuance strategy to complement analysis of the resulting portfolio weighted-average maturity (WAM). These metrics are based on mapping issuance fractions to…
Traditional social organizations such as those for the management of healthcare and civil defence are the result of designs and realizations that matched well with an operational context considerably different from the one we are…
In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of…
Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…
The principle of linearized stability and instability is established for a classical model describing the spatial movement of an age-structured population with nonlinear vital rates. It is shown that the real parts of the eigenvalues of the…
In this paper, it is shown that a simple formulation of Economic Model Predictive Control can be used which possesses two features that are generally viewed as mutually exclusive, namely, a rather short prediction horizon…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
In this work, we develop a method based on robust control techniques to synthesize robust time-varying state-feedback policies for finite, infinite, and receding horizon control problems subject to convex quadratic state and input…
The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
When fitting a particular Economic model on a sample of data, the model may turn out to be heavily misspecified for some observations. This can happen because of unmodelled idiosyncratic events, such as an abrupt but short-lived change in…
Decision-theoretic planning with risk-sensitive planning objectives is important for building autonomous agents or decision-support systems for real-world applications. However, this line of research has been largely ignored in the…
We analyze how uncertain technologies should be robustly regulated and how regulation should evolve with new information. An adaptive sandbox comprising a zero marginal tax up to an evolving quantity limit is (i) robust: it delivers optimal…
We study whether a planner can robustly implement a state-contingent social choice function when (i) agents must incur a cost to learn the state and (ii) the planner faces uncertainty regarding agents' preferences over outcomes, information…
We consider the relationship between economic activity and intervention, including monetary and fiscal policy, using a universal dynamic framework. Central bank policies are designed for growth without excess inflation. However,…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
We consider the problem of computing optimal linear control policies for linear systems in finite-horizon. The states and the inputs are required to remain inside pre-specified safety sets at all times despite unknown disturbances. In this…
We demonstrate by mathematical analysis and systematic computer simulations that redistribution can lead to sustainable growth in a society. The human capital dynamics of each agent is described by a stochastic multiplicative process which,…
Measures of wealth and production have been found to scale superlinearly with the population of a city. Therefore, it makes economic sense for humans to congregate together in dense settlements. A recent model of population dynamics showed…
Cash managers make daily decisions based on predicted monetary inflows from debtors and outflows to creditors. Usual assumptions on the statistical properties of daily net cash flow include normality, absence of correlation and…