One aim of Viability Theory is to regulate evolutions under uncertainty in order not only to reach a target in finite time, but also to fulfill constraints (known as viability) until this time. Within the framework of finance, in the case of replicating portfolios, the target is defined by the...

We extend the vector autoregression (VAR) based expectations hypothesis (EH) test of term structure, considered in Bekaert & Hodrick (2001), B&H thereafter, using recent developments in bootstrap literature. Modifications include the use of wild bootstrap to allow for conditional...

The Local Scale Model of Shephard (1994) is a state-space model of volatility clustering similar in effect to IGARCH, but with an unobserved volatility that realistically evolves independently of the observed errors, instead of being mechanically determined by them. It has one fewer parameter to...

This paper investigates the process of deriving a single decision solely based on the decisions made by a population of experts. Four different amalgamation processes are studied and compared among one another, collectively referred to as central decision makers. The expert, also referred to as...

In a traditional mean-variance approach a portfolio is represented by the allocation vector optimized in terms of expected returns and variances. Basic assumption is that the allocation vector may only be the driver of a portfolio risk-reward trade-off, while all constituent assets are fully...

The aim of this paper is to show, within the mean-variance framework, how the market belief can be constructed as the result of the aggregation of heterogeneous beliefs and how the market equilibrium prices of risky assets can thus be determined. The heterogeneous beliefs are defined in terms of...

In many traditional financial and economic models, economic agents are assumed to make decisions using expected lifetime utility under rational expectations, where rational expectations are assumed to be formed on the basis of sufficient knowledge of the data generating process. But the mere...

The termstructure of interest rates is an instrument that gives us the necessary information for valueing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decissions. However, it is not directly observable and needs...

To match the stylised facts of goods and labour markets, the canonical New Keynesian model augments the optimising neoclassical growth model with nominal and real rigidities. We ask what the implications of this type of model are for asset prices. Using a second-order numerical solution to the...

Alvarez and Jermann (2000) show that the constrained efficient allocations of endowment economies with complete markets and limited commitment can be decentralized with endogenous borrowing limits on the Arrow securities. In a model with capital accumulation, aggregate risk and competitive...