C61

Optimization Techniques; Programming Models; Dynamic Analysis

Capturing the Black Swan: Scenario-Based Asset Allocation with Fat Tails and Non-Linear Correlations

This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws, MPT assumes that returns are normally distributed; that correlations are linear; and that risks are symmetrical. We propose a dynamic and flexible scenario-based approach to portfolio selection that incorporates an investor’s economic forecast.

Decomposition of the Technical Efficiency: Pure Technical and Scale Efficiency of the Financial System

The study investigated the technical efficiency of the commercial banks in Zimbabwe during the period 2009-2015. The study entailed the decomposition of the technical efficiency into pure technical and scale efficiency to understand the sources of the technical inefficiency of the commercial banks in Zimbabwe.

Social capital as an engine of growth: Multisectoral modelling and implications

We propose a multisector endogenous growth model incorporating social capital. Social capital only serves as an input in the production of human capital and it involves a cost in terms of the final good. We show that in contrast to existing alternative specifications, this setting assures that social capital enhances productivity gains by playing the role of a timing belt driving the transmission and propagation of all productivity shocks throughout society whatever the sectoral origin of the shocks.

A Dynamic Model of Mesh Size Regulatory Compliance in Fisheries

The violation of fishing regulations is a criminal activity that leads to depleting fish stock levels across the world. This paper focuses on fishing violations in developing countries. In particular, the paper analyses the use of a fishing net with illegal mesh size in a two regimes, namely a management regime where each community claims a territorial use right over the fishery and a regulated open access regime. This paper employs a dynamic model for fishery crimes that involve time and punishment to analyse the use of a net with illegal mesh size in the different regimes.

The Welfare Cost of Banking Regulation

The Basel Accords promote the adoption of capital adequacy requirements to increase the banking sector's stability. Unfortunately, this type of regulation can hamper economic growth by shifting banks' portfolios from more productive, risky investment projects toward less productive but safer projects. This paper introduces banking regulation in an overlapping-generations model and studies how it affects economic growth, banking sector stability, and welfare.

Can the restrictive harvest period policy conserve mopane worms in Southern Africa? A bio-economic modelling approach

Imbrasia Belina also known as the mopane worm, like other edible insects and caterpillars, is a vital source of protein to Southern African countries. The worms live and graze on mopane trees, which occupy agricultural land. With increasing commercialization of the worm, the management of the worm, which was hitherto organized as a common property resource, has degraded to a near open access.

Subscribe to RSS - C61