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The Role of Imperfect Financial Markets for Social Redistribution
Simon, Jenny - In: CESifo DICE Report 11 (2014) 4, pp. 32-37
Persistent link: https://www.econbiz.de/10010908033
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Employment in the Keynesian and neoliberal universe: theoretical transformations and political correlations
Ioannidis, Yiorgos - Volkswirtschaftliche Fakultät, … - 2011
Keynesian economics, labour cost has been set in the periphery of the theory, allowing labour relations to become a subject of … social-political regulation. By contrast, neoclassical economic theory and its successors place the cost of labour at the … core of the theory, which in turn means that any attempt to regulate labour relations by noneconomic criteria undermines …
Persistent link: https://www.econbiz.de/10011258546
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The Relationships between Real Estate Price and Expected Financial Asset Risk and Return: Theory and Empirical Evidence
Fan, Gang-Zhi; Huszár, Zsuzsa; Zhang, Weina - In: The Journal of Real Estate Finance and Economics 46 (2013) 4, pp. 568-595
In pricing real estate with indifference pricing approach, market incompleteness is shown to significantly alter the conventional pricing relationships between real estate and financial asset. Specifically, we focus on the pricing implication of market comovement because comovement tends to be...
Persistent link: https://www.econbiz.de/10010989323
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Convex hedging of non-superreplicable claims in discrete-time market models
Tkalinski, Tomasz - In: Mathematical Methods of Operations Research 79 (2014) 2, pp. 239-252
All of the papers written so far deal with efficient hedging of contingent claims for which superhedging exists. The goal of this paper is to investigate the convex hedging of contingent claims for which superhedging does not exist. Without superhedging assumption it is still possible to prove...
Persistent link: https://www.econbiz.de/10010848600
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The Laffer Curve in an Incomplete-Market Economy
Fève, Patrick; Matheron, Julien; Sahuc, Jean-Guillaume - Institut d'Économie Industrielle (IDEI), Toulouse … - 2012
This paper is a quantitative investigation into the characteristics of the Laffer curve in a neoclassical growth model with incomplete markets and heterogeneous, liquidity-constrained agents. We show that the shape of the Laffer curves related to taxes on labor, capital and consumption...
Persistent link: https://www.econbiz.de/10010852316
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Modeling of ineffective Norms of economic Agents' Behavior in Terms of Relationship of "Investor - Government" type
Sokolovskyi Dmytro B. - In: The Problems of Economy (2014) 1, pp. 337-342
This paper considers relationship between investors and government in frame of their activity in some economic system. Author analyzed the reasons and proposed model of decisions (behavior) of investors, depending on the parameters of economic environment in which they act. Author used the model...
Persistent link: https://www.econbiz.de/10010855937
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Buhlmann’s Economic Premium Principle in The Presence of Transaction Costs
Kijima, Masaaki; Tamura, Akihisa - Institute of Economic Research, Kyoto University - 2014
This paper examines the B¨uhlmann’s equilibrium pricing model (1980) in the presence of transaction cost and derives the (multivariate) Esscher transform within the framework under some assumptions. The result reveals that the Esscher transform is an appropriate probability transform for the...
Persistent link: https://www.econbiz.de/10010860072
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PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING
HALPERIN, IGOR; ITKIN, ANDREY - In: International Journal of Theoretical and Applied … 16 (2013) 07, pp. 1350033-1
We study the problem of the optimal pricing and hedging of a European option written on an illiquid asset Z using a set of proxies: a liquid asset S, and N liquid European options Pi, each written on a liquid asset Yi, i = 1, N. We assume that the S-hedge is dynamic while the multi-name Y-hedge...
Persistent link: https://www.econbiz.de/10010883220
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Solving heterogenous-agent models with parameterized cross-sectional distributions
Algan, Yann; Allais, Olivier; Haan, Wouter J. Den - Département Sciences Sociales, Agriculture et … - 2008
A new algorithm is developed to solve models with heterogeneous agents and aggregate uncertainty. Projection methods are the main building blocks of the algorithm and – in contrast to the most popular solution procedure – simulations only play a very minor role. The paper also develops a new...
Persistent link: https://www.econbiz.de/10010908178
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On quadratic hedging in continuous time
Pham, Huyên - In: Mathematical Methods of Operations Research 51 (2000) 2, pp. 315-339
We review the main results in the theory of quadratic hedging in a general incomplete model of continuous trading with …
Persistent link: https://www.econbiz.de/10010999770