We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor--the debt-to-asset ratio R--in… (More)

A large shareholder who undertakes costly effort to improve a firm’s dividends faces a tradeoff. Selling shares will likely lower the share price (as the market anticipates a reduction in effort),… (More)

Our approach preserves the form of the original problem in that an investor minimizes portfolio variance for a given level of the expected return. However, inputs are now given by the generalized… (More)

We study a novel class of noisy rational expectations equilibria in markets with large number of agents. We show that, as long as noise increases with the number of agents in the economy, the… (More)

We employ a concept popular in physics —the Zipf rank approach— in order to estimate the number of years that EU members would need in order to achieve “convergence” of their per capita incomes.… (More)

We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic… (More)

We study a novel set of competitive equilibria in the standard rational expectations setting (Hellwig (1980)) by taking as a parameter the size of the noise trader demand and assuming that its… (More)

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a… (More)