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Two Paradigms and Nobel Prizes in Economics : A Contradiction or Coexistence?

Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

Markowitz and Sharpe won the Nobel Prize in Economics more than a decade ago for the development of Mean-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year 2002, Kahneman won the Nobel Prize in Economics for the development of Prospect Theory. Can these two apparently...

Persistent link: https://www.econbiz.de/10005858578

Prospect Theory and the CAPM : A contradiction or coexistence?

Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and Kahneman (1992)is consistent with the Capital Asset Pricing Model. We ﬁnd that in everyﬁnancial market equilibrium the Security Market Line Theorem holds.However, under the...

Persistent link: https://www.econbiz.de/10005858756

Evolutionary Finance and Dynamic Games

Amir, Rabah; Evstigneev, Igor’ V.; Hens, Thorsten; Xu, Le - Swiss Finance Institute <Zürich> - 2009

The paper examines a game-theoretic evolutionary model of anasset market with endogenous equilibrium asset prices. Assetspay dividends that are partially consumed and partially rein-vested. The investors use general, adaptive strategies (portfo-lio rules), distributing their wealth between...

Persistent link: https://www.econbiz.de/10009022139

Distributional comparative statics with heterogeneous agents

Hefti, Andreas - 2016

We propose a formal way to systematically study the differential effects of exogenous shocks in economic models with heterogeneous agents. Our setting applies to models that can be rephrased as "competition for market shares" in a broad sense. We show that even in presence of any number of...

Persistent link: https://www.econbiz.de/10011663196

On symmetry in the formation of stable partnerships

Gudmundsson, Jens - 2011

In this note, we examine the connection between the roommate model and the partnership formation model (Talman and Yang, 2011, Journal of Mathematical Economics 47, 206-212). Upon noting that both occasionally lack equilibria we look at the stable partnerships model, a combination of the former...

Persistent link: https://www.econbiz.de/10013208589

Sequences in Pairing Problems: A New Approach to Reconcile Stability with Strategy-Proofness for Elementary Matching Problems

Gudmundsson, Jens - 2014

stronger incentive properties are incompatible with much weaker stability properties and vice versa. The CR rule satisfies two …

Persistent link: https://www.econbiz.de/10013208707

Compromises and Rewards: Stable and Non-manipulable Probabilistic Matching

Gudmundsson, Jens - 2017

Can we reconcile stability with non-manipulability in two-sided matching problems by selecting lotteries over matchings … corresponding notions of ex-ante stability and non-manipulability. For most sets, the properties are incompatible. However, for the … set of utility functions with increasing differences, stability and non-manipulability characterize Compromises and …

Persistent link: https://www.econbiz.de/10013208741

Ecology, economics, and network dynamics

Hastings, Harold M.; Young-Taft, Tai; Tsen, Chih-Jui - 2020

In a seminal 1972 paper, Robert M. May asked: "Will a Large Complex System Be Stable?" and argued that stability (of a … describe highlights in the development of our present understanding of stability and complexity in network systems, in order to … working paper, focused on the underlying theory, appeared as an invited feature article in the February 2020 Society for Chaos …

Persistent link: https://www.econbiz.de/10012610199

Some Inequalities related to the analysis of electricity auctions

Hästö, Peter; Holmberg, Pär - 2005

Most balaning markets of electric power are organized as uniform-price auctions. In 2001, the balancing market of England and Wales switched to a pay-as-bid auction with the intention of reducing wholesale electricity prices. Numerical simultations of an electricity auction model have indicated...

Persistent link: https://www.econbiz.de/10010321551

Asymmetric Supply Function Equilibrium with Constant Marginal Costs

Holmberg, Pär - 2005

In a real-time electric power auction, the bids of producers consist of committed supply as a function of price. The bids are submitted under uncertainty, before the demand by the Independent System Operator has been realized. In the Supply Function Equilibrium (SFE), every producer chooses the...

Persistent link: https://www.econbiz.de/10010321577

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