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Treasury Bond Volatility and Uncertainty about Monetary Policy
macroeconomic factors monetary policy survey data
2011/8/21
We show that dispersion-based uncertainty about the future course of monetary policy is the single most important determinant of Treasury bond volatility across all maturities. The link between Treasu...
ROBUST MONETARY POLICY UNDER UNCERTAINTY ABOUT CENTRAL BANK PREFERENCES
central bank opacity min杕ax policies model uncertainty robust control
2011/8/21
In this paper, we study the impact of central bank opacity on macroeconomic performances in a new Keynesian framework with model uncertainty using robust control techniques. We identify a new source o...
Robust Maximization of Asymptotic Growth under Covariance Uncertainty
Maximization Covariance Uncertainty
2011/7/19
This paper resolves a question proposed in Kardaras and Robertson (2011): how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying...
Uncertainty Aversion and a Theory of Incomplete Contract
uncertainty aversion strategic uncertainty coalition-formation stability core-criterion
2011/4/2
This paper is to provide a theoretical foundation of incomplete contract in an extensive game of multi-agent interaction. It aims to explain why rational agents may agree upon incomplete contracts eve...
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consist...
The Uncertainty in Voting Power: The Case of the Czech Parliament 1996–2004
Czech Parliament power indices parliamentary voting
2010/12/6
The main aim of this paper is to study the power of legislators in the Lower House of the Czech Parliament in 1996–2004 with respect to power distribution and its uncertainty. A discrepancy between a-...
The Uncertainty in Voting Power: The Case of the Czech Parliament 1996–2004
Czech Parliament power indices parliamentary voting
2010/12/6
The main aim of this paper is to study the power of legislators in the Lower House of the Czech Parliament in 1996–2004 with respect to power distribution and its uncertainty. A discrepancy between a-...
This journal is the natural outlet for the best research in decision analysis, economics and psychology dealing with choice under uncertainty.The Journal of Risk and Uncertainty features both theoreti...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
expected profit cost yields investment under uncertainty
2010/10/18
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...
Classical mean-variance portfolio theory12 tells us how to construct a portfo-lio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an...
Model uncertainty in claims reserving within Tweedie's compound Poisson models
Claims reserving model uncertainty Tweedie’s compound Poisson model Bayesian analysis model selection model averaging Markov chain Monte Carlo
2010/10/29
In this paper we examine the claims reserving problem using Tweedie’s compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the m...
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
Superhedging Dynamic Risk Measures
2010/12/13
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. W...
LGD credit risk model: estimation of capital with parameter uncertainty using MCMC
LGD credit risk model capital parameter MCMC
2010/12/13
This paper investigates the impact of parameter uncertainty on capital estimate in the well-known extended Loss Given Default (LGD) model with systematic dependence between default and recovery. We de...
AbstractThis paper provides an explanation for outsourcing based on uncertainty. We study an optimal capital investment model both with and without the possibility to outsource under uncertainty. We s...