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Persistent and transitory shocks, learning, and investment dynamics : paper presented at the HWWA Workshop, August 26-27, 1999, on "Uncertainty and Factor Demands", organized by Mi...

Moore, Bartholomew John; Schaller, Huntley; Funke, Michael - HWWA Workshop on Uncertainty and Factor Demands <1999, …; … - 1999

This paper introduces a new approach to understanding investment. The distinctive feature of our approach is that shocks to the economic fundamentals have both persistent and transitory components, and that firms must disentangle the persistent from the transitory shocks. The model generates...

Persistent link: https://www.econbiz.de/10011418195

Stochastic methods in finance : lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6 - 12, 2003

Back, Kerry E. (contributor); Frittelli, Marco (ed.); … - 2004

the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control …, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in … incomplete markets; the theory of nonlinear expectations and its relationship with the theory of risk measures in a dynamic …

Persistent link: https://www.econbiz.de/10002392702

Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000

Geman, Hélyette (contributor); Madan, Dilip B. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001597059

Persistent and transitory shocks, learning, and investment dynamics

Moore, Bartholomew John - 1999

Persistent link: https://www.econbiz.de/10013420220