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Value Chain AnalysisMethodologies in the Context ofEnvironment and Trade Research
Faße, Anja; Grote, Ulrike; Winter, Etti - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2009
equilibrium models, econometrics, and globalcommodity chain analysis. Accounting of flows includes different physical (e.g. life … equilibrium models.[...] …
Persistent link: https://www.econbiz.de/10005867301
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Incomplete-Market Equilibria Solved Recursively on anEvent Tree
Dumas, Bernard; Lyasoff, Andrew - National Centre of Competence in ResearchFinancial … - 2008
We develop a method that allows one to compute incomplete-market equilibria routinely forMarkovian equilibria (when they exist). The main difficulty to be overcome arises from the setof state variables. There are, of course, exogenous state variables driving the economy but, in anincomplete...
Persistent link: https://www.econbiz.de/10005868691
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Notes on an Endogenous Growth Model with two Capital Stocks II: The Stochastic Case
Bethmann, Dirk - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
This paper extends the class of stochastic AK growth models with a closed-formsolution to the case where there are two capital goods in the model. To be precise,we consider the Uzawa-Lucas model of endogenous growth with human and physical capital. The extension holds, even if an external effect...
Persistent link: https://www.econbiz.de/10005861988
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Portfolio Management without Probabilities or Statistics
Flam, Sjur Didrik - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Considered here is on-line portfolio management aimed at maximizing the long-run growth of financial wealth. The portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and related methods are not available - or deemed too diffcult....
Persistent link: https://www.econbiz.de/10005857758
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Globally Evolutionarily Stable Portfolio Rules
Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - Institut für Schweizerisches Bankwesen <Zürich> - 2007
equilibrium of supply and demand. Assets pay dividends that are partially consumed and partially reinvested. The traders use fixed …
Persistent link: https://www.econbiz.de/10005858779
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Linearization and Local Stability of Random Dynamical Systems
Evstigneev, Igor V.; Pirogov, Sergey A.; Schenk-Hoppé, … - National Centre of Competence in Research - Financial … - 2010
The paper examines questions of local asymptotic stability of randomdynamical systems. Results concerning stochastic dynamics ingeneral metric spaces, as well as in Banach spaces, are obtained. Theresults pertaining to Banach spaces are based on the linearization ofthe systems under study. The...
Persistent link: https://www.econbiz.de/10009486855
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Stability and Dynamics in an Overlapping GenerationsEconomy with Flexible Wage Negotiations
Koskela, Erkki; Puhakka, Mikko - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007
We analyze the stability and dynamics of an overlapping generations model with imperfectlycompetitive labour markets...
Persistent link: https://www.econbiz.de/10005860766
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THE GEOMETRY OF AGGREGATIVE GAMES
Cornes, Richard; Hartley, Roger E. - University <Nottingham> / Department of Economics - 2005
each player’s payofffunction to ensure the existence of a unique Nash equilibrium inpure strategies, emphasizing the … the existenceof a unique equilibrium of which we are aware are covered bythese conditions. When payoffs are sufficiently … applications introduced earlier. We alsoinvestigate conditions under which the unique equilibrium is locallystable... …
Persistent link: https://www.econbiz.de/10005868768
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Existence and uniqueness of equilibria in the CAPM with a riskless asset
Hens, Thorsten; Löffler, Andreas - Institut für Bank- und Finanzwirtschaft <Berlin> - 1996
In the standard CAPM with a riskless asset we give a simple proof of existence of equilibria without assuming concavity of the investor's utility functions. Moreover, we give a uniqueness result using assumptions on the risk aversion of investors.
Persistent link: https://www.econbiz.de/10005840237
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Two Paradigms And Nobel Prizes In Economics : A contradiction Or Coexistence?
De Giorgi, Enrico; Hens, Thorsten; Levy, Haim - 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 year2002, Kahneman won the Nobel Prize in Economics for the development of Prospect Theory....
Persistent link: https://www.econbiz.de/10005846386