Similar Search Results

Continuous-Time Public Good Contribution under Uncertainty

Ferrari, Giorgio; Steg, Jan-Henrik; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2015

We study a continuous-time problem of public good contribution under uncertainty for an economy with a finite number of agents. Each agent aims to maximize his expected utility allocating his initial wealth over a given time period between private consumption and repeated but irreversible...

Persistent link: https://www.econbiz.de/10011164360

Competition among Portfolio Managers and Asset Specialization

Basak, Suleyman; Makarov, Dmitry - Center for Economic and Financial Research (CEFIR), New … - 2013

This paper investigates the competition among portfolio managers as they attempt to outperform each other. We provide a … tractable dynamic continuous-time model of competition between two risk-averse managers concerned about relative performance. To …, and provide the ensuing equilibrium portfolio policies explicitly. We find that competition makes a relatively risk …

Persistent link: https://www.econbiz.de/10010664038

Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych

Piasecki, Krzysztof - Volkswirtschaftliche Fakultät, … - 2011

The book is divided into five parts. The essence of behavioural finance is presented in the first parts. Fuzzy generalizations of some mathematical concepts are presented in the second part. The impact of selected behavioural premises for imprecise estimation of expected return is described in...

Persistent link: https://www.econbiz.de/10011260964

INVESTMENTS AND PORTFOLIO PERFORMANCE

Elton, Edwin J (contributor); Gruber, Martin J (contributor) - World Scientific Publishing Co. Pte. Ltd.

About the EditorsThis book contains the recent contributions of Edwin J Elton and Martin J Gruber to the field of investments. All of the articles in this book have been published in the leading finance and economic journals. Sixteen of the nineteen articles have been published in the last ten...

Persistent link: https://www.econbiz.de/10010883056

On a mean ﬁeld game approach modeling congestion and aversion in pedestrian crowds

Wolfram, Marie-Thérèse; Lachapelle, Aimé - Université Paris-Dauphine (Paris IX) - 2011

In this paper we present a new class of pedestrian crowd models based on the mean ﬁeld games theory introduced by Lasry and Lions in 2006. This macroscopic approach is based on a microscopic model, that considers smart pedestrians who rationally interact and anticipate the future. This leads...

Persistent link: https://www.econbiz.de/10011073248

Nash Equilibrium and Robust Stability in Dynamic Games: A Small-Gain Perspective

Karafyllis, Iasson; Jiang, Zhong-Ping; Athanasiou, George - Volkswirtschaftliche Fakultät, … - 2010

This paper develops a novel methodology to study robust stability properties of Nash equilibrium points in dynamic games. Small-gain techniques in modern mathematical control theory are used for the first time to derive conditions guaranteeing uniqueness and global asymptotic stability of Nash...

Persistent link: https://www.econbiz.de/10008776877

Stochastic Approximation, Momentum, and Nash Play

Berglann, Helge; Flåm, Sjur Didrik - Institutt for Økonomi, Universitetet i Bergen - 2002

Main objects here are normal-form games, featuring uncertainty and noncooperative players who entertain local visions, form local approximations, and hesitate in making large, swift adjustments. For the purpose of reaching Nash equilibrium, or learning such play, we advocate and illustrate an...

Persistent link: https://www.econbiz.de/10009003092

Dynamic pricing in the presence of individual learning

Weng, Xi - In: Journal of Economic Theory 155 (2015) C, pp. 262-299

This paper studies price dynamics in a setting in which a monopolist sells a new experience good over time to many buyers, and the seller can neither price discriminate among the buyers nor commit to a price rule. Buyers learn from their own experiences about the effectiveness of the product....

Persistent link: https://www.econbiz.de/10011189761

Wages and Sanctions against Hierarchical Corruption

KANSO, Fadi - Centre d'Études et de Recherche en Gestion (CERGAM), … - 2007

The general aim of this paper is to contribute to the study of factors that decrease corruption in the public sector and especially in tax administration. A matter of particular interest will be the effects of raising civil servants’ wages and penalties on the behavior of agents in case of tax...

Persistent link: https://www.econbiz.de/10010698926

Dynamic management of water transfer between two interconnected river basins

Cabo, Francisco; Erdlenbruch, Katrin; Tidball, Mabel - In: Resource and Energy Economics 37 (2014) C, pp. 17-38

and observe that the transfer amount decreases toward a long-run value lower than the transfer under perfect competition …

Persistent link: https://www.econbiz.de/10011261600