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—the theory of recursive contracts. Recursive formulations allow us to reduce often complex models to a sequence of essentially … of the basic theory: the Revelation Principle, formulating and simplifying the incentive constraints, using promised … advanced topics: duality theory and Lagrange multiplier techniques, models with lack of commitment, and martingale methods in …
Persistent link: https://www.econbiz.de/10014024287
Persistent link: https://www.econbiz.de/10011713088
We provide a technique for constructing optimal multiattribute screening contracts in a general setting with one …
Persistent link: https://www.econbiz.de/10012978605
An uninformed sender designs a mechanism that discloses information about her type to a privately informed receiver, who then decides whether to act. I impose a single-crossing assumption, so that the receiver with a higher type is more willing to act. Using a linear programming approach, I...
Persistent link: https://www.econbiz.de/10011856702
We study an optimal execution problem in the presence of market impact where the security price follows a geometric Ornstein-Uhlenbeck process, which implies the mean-reverting property, and show that the optimal strategy is a mixture of initial/terminal block liquidation and gradual ntermediate...
Persistent link: https://www.econbiz.de/10013064655
We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...
Persistent link: https://www.econbiz.de/10013150407
We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...
Persistent link: https://www.econbiz.de/10012707787
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a deterministic part increasing with execution volume and a...
Persistent link: https://www.econbiz.de/10013036036
This paper finds the optimal consumption and asset allocation strategy for an Australian retiree who aims to maintain a level of minimum consumption. I use a discrete dynamic programming algorithm, with historical stock return distribution and a regime switching investment model, while taking...
Persistent link: https://www.econbiz.de/10013138984
I/B/E/S removes 6% of one-quarter-ahead earnings forecasts from the calculation of the consensus forecast. This study examines managers' role in these removals. We show optimistic forecasts are removed more often than pessimistic forecasts, after controlling for removal policies that I/B/E/S...
Persistent link: https://www.econbiz.de/10012898780