Narrow search
Showing 1 - 10 of 12,827
Cover Image
The Nature of Equilibrium in Macroeconomics: A Critique of Equilibrium Search Theory
Aoki, Masanao; Yoshikawa, Hiroshi - 2008
The standard Walrasian equilibrium theory requires that the marginal value product of production factor such as labor … theory allegedly fills this gap by encompassing apparent disequilibrium phenomena in the neoclassical equilibrium framework …. Taking up Lucas and Prescott (1974) as a primary example, we show that the neoclassical search theory cannot explain the …
Persistent link: https://www.econbiz.de/10010298573
Cover Image
Does risk aversion accelerate optimal forest rotation under uncertainty?
Alvarez, Luis H. R.; Koskela, Erkki - 2004
We use a Wicksellian single rotation framework to analyze the impact of the intertemporally fluctuating and stochastic mean-reverting interest rate process on the optimal harvesting threshold and thereby the expected length of the rotation period, when forest value is also stochastic following...
Persistent link: https://www.econbiz.de/10010261267
Cover Image
A Note on Optimal Stopping in Models with Delay
Gapeev, Pavel V.; Reiß, M. - 2003
We consider an optimal stopping problem in a certain model described by a stochastic delay differential equation. We reduce the initial problem to a free-boundary problem of parabolic type and prove the corresponding verification assertion. We also give an example of such an optimal stopping...
Persistent link: https://www.econbiz.de/10010296482
Cover Image
Generalized Kuhn-Tucker conditions for N-firm stochastic irreversible investment under limited resources
Chiarolla, Maria B.; Ferrari, Giorgio; Riedel, Frank - 2012
In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...
Persistent link: https://www.econbiz.de/10010319990
Cover Image
American options with multiple priors in continuous time
Vorbrink, Jörg - 2011
uncertainty. Using the theory of (reflected) backward stochastic differential equations we are able to solve the optimal stopping …
Persistent link: https://www.econbiz.de/10010320001
Cover Image
(Reflected) Backward Stochastic Differential Equations and Contingent Claims
Kohlmann, Michael - 1999
We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
Persistent link: https://www.econbiz.de/10010324095
Cover Image
Passive investment strategies and financial bubbles
Fischer, Thomas - 2012
In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...
Persistent link: https://www.econbiz.de/10010323727
Cover Image
Preisblasen: Zur Typologie von Preisbildungsphasen und deren anlagestrategischer Nutzung
Stöttner, Rainer - 1992
Diese Untersuchung verfolgt mehrere Ziele. Es soll ein Beitrag geleistet werden zur Klärung folgender Fragen: Welches sind die konstituierenden Merkmale von Preisblasen? Läßt sich die Existenz von Preisblasen empirisch nachweisen? Lassen sich Preisblasen von anderen typischen Phasen der...
Persistent link: https://www.econbiz.de/10010435529
Cover Image
Modeling feedback effects with stochastic liquidity
Esser, Angelika; Mönch, Burkart - 2003
We model the interactions between the trading activities of a large investor, the stock price and the market liquidity. Our framework generalizes the model of Frey (2000), where liquidity is constant by introducing a stochastic liquidity factor. This innovation has two implications. First, we...
Persistent link: https://www.econbiz.de/10010263308
Cover Image
Why Do Asset Prices Not Follow Random Walks?
Franke, Günter; Lüders, Erik - 2004
This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return characteristics in a rational expectations model. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also,...
Persistent link: https://www.econbiz.de/10010263423