In this paper, we provide a dynamic general equilibrium framework with an explicit investment-financing constraint. The constraint is intended as a reduced form to capture the balance sheet effects that have been widely regarded as an important determinant of financial crises. We derive a link...

This paper provides a general framework for pricing of real options in continuous time for wide classes of payoff streams that are functions of Levy processes. As applications, we calculate the option values of multi-stage investment/disinvestment problems (sequences of embedded options, which...

Resources used in scientific activities are, as any other, scarce. Hence, the economic system has, in every time moment, to choose how to allocate technological inputs. A technology choices model is developed, where scarce scientific resources are alternatively allocated to basic science...

The framework of a general equilibrium heterogeneous agent model is used to study the optimal design of an unemployment insurance (UI) scheme and the voting behaviour on unemployment policy reforms. In a first step, the optimal defined benefit and defined replacement ratio UI systems are...

We study non-linear Markov perfect equilibria in a two agent linear quadratic differential game. In contrast to the literature owing to Tsutsui and Mino (1990), we do not associate endogenous subsets of the state space with candidate solutions. Instead, we address the problem of unbounded-below...

Agent heterogeneity has been used in recent economic literature to justify nonlinear dynamics for the time paths of aggregate economic variables. In this paper, the mechanism through which heterogeneous agents leads to chaotic motion is explained. Adding to a system with initial behavior...

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...

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...

We give the reader a tour of good energy optimization models that explicitly deal with uncertainty. The uncertainty usually stems from unpredictability of demand and/or prices of energy, or from resource availability and prices. Since most energy investments or operations involve irreversible...