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.

Author: Bertsimas, Dimitris, Lauprete, Geoffrey J., Samarov, Alexander
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
Venture Analysis, Risk assessment

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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.

Author: Nielsen, Soren S., Poulsen, Rolf
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
Mortgage-backed securities, Mortgage backed securities

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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.

Author: Amilon, Henrik, Bermin, Hans-Peter
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2003
Measurement, Labor market, Control, Welfare economics, Labour market

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Subjects list: Models, United States, Stochastic programming, Interest rates
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