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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...
Persistent link: https://www.econbiz.de/10011928002
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A complementary micro Coronavirus model under uncertainty and utility
Gander, James P. - 2020
A micro decision-making utility model under uncertainty is presented as a complementary foundation for macro … coronavirus models. The micro model consists of two functions, a risk averse utility function depending on wellness and a wellness …, washing hands, wearing a face mask, and others. The decision maker selects a level of treatment that maximizes her …
Persistent link: https://www.econbiz.de/10013269247
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Methodology and change : problems of applied social science research techniques in the Commonwealth Caribbean
Lindsay, Louis (contributor) - 1978
Persistent link: https://www.econbiz.de/10002354993
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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
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Inequality in models with a competition for market shares
Hefti, Andreas; Teichgräber, Julian - 2021
This paper develops a framework to systematically study how changes in market conditions affect the equilibrium inequality between heterogeneous agents. By stating our setting as a "competition for market shares", we can derive inequality predictions for vastly different competition models. This...
Persistent link: https://www.econbiz.de/10012420689
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A Fixed Point Theorem for Monotone Functions equivalent to Browers theorem
Persson, Håkan - 2005
A Fixed Point Theorem for Monotone Functions equivalent to Browers theorem
Persistent link: https://www.econbiz.de/10012654309
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Social influence and the Matthew mechanism: The case of an artificial cultural market
Bask, Miia; Bask, Mikael - 2013
We show that the Matthew effect, or Matthew mechanism, was present in the artificial cultural market Music Lab when social influence between individuals was allowed, whereas this was not the case when social influence was not allowed. We also sketch on a class of social network models, derived...
Persistent link: https://www.econbiz.de/10010321397
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Nash's bargaining formula revisited: A note on self-referential logic
Gander, James P. - 2008
The note focuses on the marginal rates of substitution (MRS) in Nash's product formula solution to bargaining and why the formula works. Two simple examples from duopoly and bilateral monopoly are used to demonstrate that the MRS's for both players are implicitly in the contract curve and the...
Persistent link: https://www.econbiz.de/10010288054
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Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks
Brumen, Gorazd; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006
The paper investigates how buyer-supplier firm-specific relationships affect security prices. Starting from the empirical inconsistencies associated with some standard structural models we propose a structural model of firm dependence in a vertically connected network of firms based on cash flow...
Persistent link: https://www.econbiz.de/10005858385
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American Parisian Options
Chesney, Marc; Gauthier, Laurent - Institut für Schweizerisches Bankwesen <Zürich> - 2006
In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the...
Persistent link: https://www.econbiz.de/10005858581