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Optimal information disclosure : a linear programming approach
Kolotilin, Anton - In: Theoretical economics : TE ; an open access journal in … 13 (2018) 2, pp. 607-635
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
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Existence and characterization of optimal employment contracts on a continuous state space
Kahn, Charles M. - In: Journal of economic theory 59 (1993) 1, pp. 122-144
Persistent link: https://www.econbiz.de/10001141735
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An Optimal Information Gathering Algorithm
Di Caprio, Debora; Santos‐Arteaga, Francisco - 2012
are illustrated numerically for a variety of utility functions commonly used in decision theory …
Persistent link: https://www.econbiz.de/10014166100
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Optimal Retirement Planning Under Partial Information
Bäuerle, Nicole - 2019
The present paper analyses an optimal consumption and investment problem of a retiree with a constant relative risk aversion (CRRA) who faces parameter uncertainty about the financial market.We solve the optimization problem under partial information by making the market observationally complete...
Persistent link: https://www.econbiz.de/10012898863
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Gender Differences in Optimism and Asset Allocation
Jacobsen, Ben - 2015
We investigate two alternative explanations why men may hold more stocks than women. Apart from a gender difference in risk aversion, gender differences in either optimism or in perceived risk of financial markets might cause men to hold more risky assets. Our results show that men tend to be...
Persistent link: https://www.econbiz.de/10013025768
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A Concise Guide to Dynamic Optimization
Chang, Winston W. - 2016
problems. The paper discusses Pontryagin's maximum principle in optimal control theory under infinite-time horizon and fixed …
Persistent link: https://www.econbiz.de/10014176571
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An Algebraic Solution to a Canonic Romer Endogenous Growth Model
Gutiérrez Diez, Pedro José; Palmero, Carlos R. - 2011
The purpose of this paper is to provide an exact algebraic solution to a fully specified Romer endogenous growth model. The proposed model has three main virtues. First, taking Romer's [1986] model as the starting point, we build a completely and explicitly micro-founded competitive general...
Persistent link: https://www.econbiz.de/10014223131
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Intertemporal Time Preference on a Simplex in Continuous Time
Song, Xihao - 2023
This work aims to provide a representation theorem for consumption in simplex in continuous time by using a weaker axiom of ’Agree with’, a strong axiom of ’Preferential Independence’,[10, 9], and axioms of ’Separability’ and ’Measurability’ on Simplex provided by Qin and...
Persistent link: https://www.econbiz.de/10014256003
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Chapter 10. Recursive Contracts and Endogenously Incomplete Markets
Golosov, M.; Tsyvinski, A.; Werquin, N. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 725-841). 2016
—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
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Counterfactuals with latent information
Bergemann, Dirk; Brooks, Ben; Morris, Stephen - 2019 - Revised February 2019
Persistent link: https://www.econbiz.de/10011977272