We introduce a dynamic banking-macro model, which abstains from conventional mean-
reversion assumptions and in which—similar to Brunnermeier and Sannikov (2010) …

Recent history suggests that many boom–bust cycles are naturally driven by linkages
between the credit market and asset prices. Additionally, new structured securities have …

This article estimates and employs low frequency components of asset returns and uses
dynamic programming to evaluate dynamic consumption and asset allocation decisions …

This paper indroduces a Banking-Macro Model and estimates the linkages using a Multi-
Regime Vector Auto Regression (MRVAR). The model of the banking-macro link is a …

This paper studies the issue of local instability of the banking sector and how it may spillover
to the macroeconomy. The banking sector is considered here as representing a wealth fund …

In this article we introduce a new allocation strategy called Risk “Dis”-Parity. Much like Risk
Parity, it considers the riskiness of both equities and bonds. However, unlike Risk Parity, this …

This book represents the third of three volumes offering a complete reinterpretation and
restructuring of Keynesian macroeconomics and a detailed investigation of the …

Abstract On June 16, 2010, the SEC proposed new guidelines for target date funds to follow
regarding the explanation of glide paths. This paper presents a model that determines a" …

The author uses an expected utility function of time and wealth to define an individual's
critical wealth level. Traditional asset allocation models are based on modern portfolio …

This paper sets out a basic framework for solving a stochastic portfolio problem using
dynamic programming (DP). Dynamic portfolio decisions are concerned with simultaneous …