Narrow search
Showing 1 - 10 of 7,502
Cover Image
The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems
Carroll, Christopher D. - 2005
This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided
Persistent link: https://www.econbiz.de/10012467286
Cover Image
Bliss Points in Mean-Variance Portfolio Models
Jones, David S. - 1981
When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in...
Persistent link: https://www.econbiz.de/10012478302
Cover Image
Optimal Illiquidity
Beshears, John - 2020
We calculate the socially optimal level of illiquidity in an economy populated by households with taste shocks and present bias (Amador, Werning, and Angeletos 2006). The government chooses mandatory contributions to respective spending/savings accounts, each with a different pre-retirement...
Persistent link: https://www.econbiz.de/10012481314
Cover Image
Technology and Production Fragmentation : Domestic versus Foreign Sourcing
Fort, Teresa C. - 2016
strategies. Using new data on U.S. firms' decisions to contract for manufacturing services from domestic or foreign suppliers, I …
Persistent link: https://www.econbiz.de/10012456129
Cover Image
Limited Capital Market Participation and Human Capital Risk
Berk, Jonathan - 2010
The non-tradability of human capital is often cited for the failure of traditional asset pricing theory to explain …
Persistent link: https://www.econbiz.de/10012462943
Cover Image
Microequity and Mutuality : Experimental Evidence on Credit with Performance-Contingent Repayment
Cordaro, Francesco; Fafchamps, Marcel; Mayer, Colin P.; … - National Bureau of Economic Research - 2022
We conduct the first field experiment of a performance-contingent microfinance contract. A large food multinational … Kenya, we compare asset financing under a traditional debt contract to three alternatives: (i) a novel equity-like financing … contract, (ii) a hybrid debt-equity contract, and (iii) an index-insurance financing contract. Experimental results reveal …
Persistent link: https://www.econbiz.de/10013388766
Cover Image
A Simple but Powerful Simulated Certainty Equivalent Approximation Method for Dynamic Stochastic Problems
Cai, Yongyang; Judd, Kenneth L. - National Bureau of Economic Research - 2021
We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that this method only requires a desktop computer to solve high-dimensional finite- or infinite-horizon, stationary or nonstationary dynamic stochastic...
Persistent link: https://www.econbiz.de/10012482717
Cover Image
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George - 1999
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly...
Persistent link: https://www.econbiz.de/10012471407
Cover Image
Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
Constantinides, George M. - 2002
By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security....
Persistent link: https://www.econbiz.de/10012469848
Cover Image
Procurement Contracting with Time Incentives : Theory and Evidence
Bajari, Patrick - 2009
In public sector procurement, social welfare often depends on the time taken to complete the contract. A leading … surplus relative to the contractor's costs by $359M (6.8% of the total contract value), the optimal policy would raise it by …
Persistent link: https://www.econbiz.de/10012463793