Shortfall as a risk measure: properties, optimization and applications
Article Abstract:
By considering distributional conditions for second-order stochastic dominance, shortfall arises as a risk measure to examine its properties and its connections with other risk measures. However, the notion of shortfall in real world environments should be considered.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
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A two-factor, stochastic programming model of Danish mortgage-backed securities
Article Abstract:
A two-factor, no-arbitrage interest-model that effectively captures the shifts of the term structure and a multistage stochastic optimization model built upon this interest-rate model is proposed.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
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Welfare effects of controlling labor supply: an application of the stochastic Ramsey model
Article Abstract:
An investigation of various interest rate models in a controlled labor supply economy is provided.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2003
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