This paper explores the connection between three important threads of economic research offering different approaches to studying the dynamics of an industry with heterogeneous firms. Finite models of the form pioneered by Ericson and Pakes (1995) capture the dynamics of a finite number of...

We propose an approximation method for analyzing Ericson and Pakes (1995)-style dynamic models of imperfect competition. We develop a simple algorithm for computing an ``oblivious equilibrium,'' in which each firm is assumed to make decisions based only on its own state and knowledge of the long...

We propose an approximation method for analyzing Ericson and Pakes (1995)-style dynamic models of imperfect competition. We define a new equilibrium concept that we call oblivious equilibrium, in which each firm is assumed to make decisions based only on its own state and knowledge of the...

We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current and prior activity, and unpredictable random effects. The...

We formulate a mean–variance portfolio selection problem that accommodates qualitative input about expected returns and provide an algorithm that solves the problem. This model and algorithm can be used, for example, when a portfolio manager determines that one industry will benefit more from...