We investigate biases in farm-level yield risk analysis caused by data aggregation from the farm-level to regional and national levels using the example of Swiss wheat and barley yields. The estimated yield variability decreases significantly with increasing level of aggregation, with crop yield variability at the farm-level being up to 2.38 times higher than indicated from national data. Our r...

The paper uses both the single rotation and ongoing rotation framework to study the impact of yield tax, lump-sum tax, cash flow tax and tax on interest rate earnings on the privately optimal rotation period when forest value growth is stochastic and forest owners are either risk neutral or risk averse. In the case of risk-neutral forest owner higher yield tax raises the optimal harvesting thre...

The paper uses both the single rotation and ongoing rotation framework to study the impact of yield tax, lump-sum tax, cash flow tax and tax on interest rate earnings on the privately optimal rotation period when forest value growth is stochastic and forest owners are either risk neutral or risk averse. Under risk neutrality forest owner higher yield tax raises the optimal harvesting threshold ...

Using micro-level data from the mortgage market, we examine yield spreads as a funnction of both credit risk and prepayment risk using a two-stage instrumental variable approach. Our results are consistent with findings in the finance literature that leverageinduced financial risk reflected in capital structure results in higher yield spreads on debt. In particular, borrowers with loan-to-value...

We propose a model for the aggregate stock market together with its dividend yield and earnings yield so that the ex-ante risk premium could be extracted in an unobserved component modelling framework. We posit the model as a linked stochastic differential equation system and the linking variable is the ex-ante risk premium. By hypothesising a realistic dynamic structure for the ex-ante risk pr...

Microenteprises are increasingly recognized as major generators of income and employment in the developing world. Recent surveys suggest, however, that the sector is plagued by low productivity, leading some to claim that reducing impediments to microenterprise productivity is necessary to reduce urban poverty. Given mixed evidence that the only impediments are lack of credit and entrepreneuria...

In this paper, a model for fuzzy risk of low yield of a crop is developed to study the implications of a reservoir operating policy model. When an optimal operating policy is derived based on a known objective, the policy itself does not, in general, indicate a measure of the system performance unless a criterion to this effect is embedded in the objective function. While a systems analyst is i...

This paper explores some issues of model risk in asset pricing, in particular timeinconsistency. Since Ho and Lee (1986), a new class of no-arbitrage models have become increasingly popular both in the asset pricing literature and in the Þnancial industry. These models are said to allow for a perfect Þt of the term structure of the interest rates. In these models the current yield curve is an i...

We study approximations of optimization problems with probabilistic constraints in which the original distribution of the underlying random vector is replaced with an empirical distribution obtained from a random sample. We show that such a sample approximation problem with risk level larger than the required risk level will yield a lower bound to the true optimal value with probability approac...