Now showing items 1-5 of 5

    • Constructing common-factor portfolios 

      Carrasco-Gutierrez, Carlos Enrique; Issler, João Victor
      2012-04-19
      In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic ...
    • A contractive method for computing the stationary solution of the euler equation 

      Moreira, Humberto Ataíde; Maldonado, Wilfredo Fernando Leiva
      2002-09-01
      A contractive method for computing stationary solutions of intertemporal equilibrium models is provide. The method is is implemented using a contraction mapping derived from the first-order conditions. The deterministic ...
    • A general lagrangian approach for non-concave moral hazard problems 

      Araújo, Aloísio Pessoa de; Moreira, Humberto Ataíde
      2000-07-01
      We establish a general Lagrangian for the moral hazard problem which generalizes the well known first order approach (FOA). It requires that besides the multiplier of the first order condition, there exist multipliers for ...
    • A general lagrangian approach for non-concave moral hazard problems 

      Araújo, Aloísio Pessoa de; Moreira, Humberto Ataíde
      2001-06-01
      We establish a general Lagrangian for the moral hazard problem which generalizes the well known first order approach (FOA). It requires that besides the multiplier of the first order condition, there exist multipliers for ...
    • Solving euler equations: classical methods and the C1 contraction mapping method revisited 

      Maldonado, Wilfredo Fernando Leiva; Moreira, Humberto
      2006
      In this paper we describe the classical methods used to solve the Euler equations. Special attention is devoted to the iterative method based on a contraction mapping derived from these equations in Maldonado and Moreira ...