Browsing Discussion papers (FOR) by Title
Now showing items 145164 of 506

Evolutionary stable investment in stock markets
(Discussion paper, Working paper, 200310)This paper studies the performance of portfolio rules in incomplete markets for longlived assets with endogenous prices. The dynamics of wealth shares in the process of repeated reinvestment of wealth is modelled as a ... 
Existence and uniqueness of equilibrium in a reinsurance syndicate
(Discussion paper, Working paper, 200807)In this paper we consider a reinsurance syndicate, assuming that Pareto optimal allocations exist. Under a continuity assumption on preferences, we show that a competitive equilibrium exists and is unique. Our conditions ... 
Existence of sunspot equilibria and uniqueness of spot market equilibria : the case of intrinsically complete markets
(Discussion paper, Working paper, 2004)We consider economies with additively separable utility functions and give conditions for the twoagents case under which the existence of sunspot equilibria is equivalent to the occurrence of the transfer paradox. This ... 
Explicit Solution Algorithms for Order and Price Postponement in Multiperiodic Channel Optimization
(Discussion paper;9/19, Working paper, 20190909)Supply channels typically face uncertain and timevarying demand. Nonetheless, timedependent channel optimization while addressing uncertain demand has received limited attention due to the high level of complexity of the ... 
Extensions of an integrated approach for multiresource shop scheduling
(Discussion paper, Working paper, 199906)In a previous work, we proposed an integrated approach for a rather general shop scheduling problem, with multiresource, exibility and nonlinear routings. In this paper, we want to overcome some of the limitations of the ... 
Fat and skew : can NIG cure? : on the prospects of using the normal inverse Gaussian distribution in finance
(Discussion paper, Working paper, 199803)This paper explores the possibility of using the Normal Inverse Gaussian (NIG) distribution introduced by BarndorffNielsen (1997) in various problem areas in finance where distributions often are found to be nonnormal ... 
Financial Distress and Idiosyncratic Volatility: An Empirical Investigation
(Discussion paper, Working paper, 200607)We address the twin puzzles of anomalously low returns for high idiosyncratic volatility and high distress risk stocks, documented by Ang, Hodrick, Xing and Zhang (2006) and Campbell, Hilscher and Szilagyi (2005), respectively. ... 
Financial economics
(Discussion paper, Working paper, 200301)We consider a one period (two time points) model of efficient risk sharing, when the risk of possible sharing rules are constrained to be linear. This can be interpreted as a model of a market for common stocks. Here we ... 
Finding core allocations for fixed cost games in electricity networks
(Discussion paper, Working paper, 2003)We discuss the cost allocation problem faced by a network operator, where the fixed (residual) cost of the network has to be allocated among its users. Usagebased methods, such as the postage stamp rate method and the ... 
Finding the Right Yardstick: Regulation under Heterogeneous Environments
(Discussion paper;4/16, Working paper, 20160225)Revenue cap regulation is often combined with systematic benchmarking to reveal the managerial inefficiencies when regulating natural monopolies. One example is the European energy sector, where benchmarking methods are ... 
Firm size and the quality of entrepreneurs
(Discussion paper, Working paper, 200406)A theory is proposed where the pay policy and size of established firms are determined together with individual workers' entrepreneurship decision. The main results are twofold. First, taking the firm size as given, larger ... 
Fish wars on the high seas : a straddling stock competition model
(Discussion paper, Working paper, 200104)The post World War II era saw the development of powerful selfcontained fishing fleets, socalled distantwater fleets (DWFs), which roamed the worlds oceans, seeking out rich harvesting targets wherever they might be ... 
Fisheries management under irreversible investment : does stochasticity matter?
(Discussion paper;2011:20, Working paper, 201111)We present a continuous, nonlinear, stochastic and dynamic model for capital investment in the exploitation of a renewable resource. Both the resource stock and capital stock are treated as state variables. The resource ... 
FlowBased Market Coupling in the European Electricity Market – A Comparison of Efficiency and Feasibility
(Discussion paper;14/18, Working paper, 20181023)In May 2015, the FlowBased Market Coupling (FBMC) model replaced the Available Transfer Capacity (ATC) model in Central Western Europe to determine the power transfers between countries or price areas. The FBMC model aims ... 
Foreclosure in contests
(Discussion paper, Working paper, 200812)We consider a contest in which one firm is a favourite as it initially has a cost advantage over rivals. Instead of taking the set of rivals as given, we consider the possibility that the favourite transfers the source ... 
Foreign direct investment and local cooperation : a contingent claims approach
(Discussion paper, Working paper, 200012)We address key issues that a foreign investor needs to evaluate when deciding whether to enter into a joint venture with a local partner. We explicitly show how the values depend on the valuation methodology, i.e., the ... 
Forward curve dynamics in the Nordic electricity market
(Discussion paper, Working paper, 200110)The purpose of this paper is to investigate the forward curve dynamics in an electricity market. Six years of price data on futures and forward contracts traded in the Nordic electricity market are analysed. For the forward ... 
Freeentry equilibrium in a market for certifiers
(Discussion paper, Working paper, 200105)The role of certifiers is to test products for quality, and to communicate the test results to the market. We construct a freeentry model of certification, where each certifier chooses a test standard and a price for ... 
Frequent Turbulence? A Dynamic Copula Approach
(Discussion paper, Working paper, 200607)How common and how persistent are turbulent periods? We address these questions by developing and applying a dynamic dependence framework. In order to answer the first question we estimate an unconditional mixture model ... 
Functional data analysis : introduction and applications to financial electricity contracts
(Discussion paper, Working paper, 2003)