Showing 1 - 10 of 163
function and underlying uncertainty. We provide analytic expressions and numerical examples for discount factors assuming … simple utility functions and gaussian uncertainty. …
Persistent link: https://www.econbiz.de/10005135046
This paper studies consumption dynamics and welfare losses under information processing constraints (it is also called 'rational inattention' (RI) in Sims (2003)) in the permanent income hypothesis (PIH) model. It is shown that incorporating RI into the otherwise standard PIH model can...
Persistent link: https://www.econbiz.de/10005412598
This paper is an extended version of the paper 'Practical Guide to Real Options in Discrete Time' (http://econwpa.wustl.edu:80/eps/fin/papers/0405/0405016.pdf), where a general, computationally simple approach to real options in discrete time was suggested. We explicitly formulate conditions of...
Persistent link: https://www.econbiz.de/10005413111
technology, the other - demand uncertainty. The impact of these factors on new technology adoption is analyzed. It is shown that … depending on the situation and type of uncertainty, the diffusion uncertainty and jump uncertainty can produce opposite effects. …
Persistent link: https://www.econbiz.de/10005076973
The goal of the paper is to study how a menu of options affects decisions of a rational agent facing uncertainty over …
Persistent link: https://www.econbiz.de/10005550882
This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD. Using these insights, we develop simple Linear...
Persistent link: https://www.econbiz.de/10005561692
This paper extends Svensson and Woodford’s (2003) partial information framework by allowing the private agents to achieve robustness against incomplete information about the structure of the economy by distorting their expectations in a particular direction. It shows how a linear rational...
Persistent link: https://www.econbiz.de/10005125627
We propose a decomposition method for the solution of a dynamic portfolio optimization problem which fits the formulation of a multistage stochastic programming problem. The method allows to obtain time and nodal decomposition of the problem in its arborescent formulation applying a discrete...
Persistent link: https://www.econbiz.de/10005125637
the underlying uncertainty is modelled as a random walk on a lattice. The method of the paper is based on the use of the …
Persistent link: https://www.econbiz.de/10005134695
incorporates non-technological uncertainty. The former factor follows a process with upward jumps. The impact of these factors on …
Persistent link: https://www.econbiz.de/10005134751