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KArgin, Vladislav - EconWPA - 2004

This article examines arbitrage investment in a mispriced asset when the mispricing follows the Ornstein-Uhlenbeck process and a credit- constrained investor maximizes a generalization of the Kelly criterion. The optimal differentiable and threshold policies are derived. The optimal...

Persistent link: https://www.econbiz.de/10005134713

Markov Chain Approximations For Term Structure Models

Backus, David; Wu, Liuren; Zin, Stanley - EconWPA - 2002

We derive discrete markov chain approximations for continuous state equilibrium term structure models. The states and transition probabilities of the markov chain are chosen effciently according to a quadrature rule as in Tauchen and Hussey (1991). Quadrature provides a simple yet method which...

Persistent link: https://www.econbiz.de/10005134854

Common Priors and Markov Chains

Samet, Dov - EconWPA - 1996

The type function of an agent, in a type space, associates with each state a probability distribution on the type space. Thus, a type function can be considered as a Markov chain on the state space. A common prior for the space turns out to be a probability distribution which is invariant under...

Persistent link: https://www.econbiz.de/10005550941

Power Law Signature in Indonesian Population

Mulianta, Ivan; Situngkir, Hokky; Surya, Yohanes - EconWPA - 2004

The paper analyzes the spreading of population in Indonesia. The spreading of population in Indonesia is clustered in …

Persistent link: https://www.econbiz.de/10005125726

Monitoring Banking Sector Fragility

Kibritcioglu, Aykut - EconWPA - 2002

In the financial crisis literature, it is usually argued that, contrary to the case of currency crises, building a time series index to identify banking crisis episodes is highly difficult, particularly because of the lack of reliable data on banking sector variables (non-performing loans,...

Persistent link: https://www.econbiz.de/10005126447

Household Saving Behavior: The case of rural industry in Bantul

Brata, Aloysius Gunadi - EconWPA - 2004

Indonesia (BRI). This situation could be indicated that banking institution just gives little attention on the rural households …

Persistent link: https://www.econbiz.de/10005134832

Deforestation and Land Use Changes Induced by the East Asian Economic Crisis

Pagiola, Stefano - EconWPA - 2004

affected countries. It focuses on three main countries—Indonesia, Thailand, and the Philippines. The analysis shows that there … continuum of effects, with Indonesia most heavily hit, the Philippines the least so, and Thailand somewhere in between. (b … migration has had a major impact. In Indonesia, the weakening of government authority and enforcement powers is also a major …

Persistent link: https://www.econbiz.de/10005062475

Land Use Change in Indonesia

Pagiola, Stefano - EconWPA - 2004

With an estimated loss of up to 20 million ha of forest over the past decade, deforestation in Indonesia has come to … the forefront of global environmental concerns. Indonesia is one of the most important areas of tropical forests worldwide … global importance because of their biodiversity and the carbon they sequester. Despite the benefits they provide, Indonesia …

Persistent link: https://www.econbiz.de/10005407803

INEQUALITY AND OIL SUBSIDY IN INDONESIA

Situngkir, Hokky - EconWPA - 2004

economical resurrection in Indonesia. …

Persistent link: https://www.econbiz.de/10005412627

Half a World: Regional inequality in five great federations

Milanovic, Branko - EconWPA - 2004

States of America, Indonesia and Brazil in the period 1980-2000. They are all federations composed of entities (states or … both concepts in the decade of the 1990’s; Indonesia, on the contrary, displays decreasing inequality in both from the …

Persistent link: https://www.econbiz.de/10005556224