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THE MODIGLIANI-MILLER THEOREM IN A DYNAMIC ECONOMY
TAKEKUMA, SHIN-ICHI - In: Hitotsubashi Journal of Economics 51 (2010) 1, pp. 43-55
A dynamic economy with markets of equities and bonds is considered. The rational expectations equilibrium is defined in an asset pricing model and a condition under which the Modigliani-Miller theorem holds is shown. In an aggregate model the existence of a rational expectations equilibrium is...
Persistent link: https://www.econbiz.de/10009206376
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THE MODIGLIANI-MILLER THEOREM IN A DYNAMIC ECONOMY
TAKEKUMA, SHIN-ICHI - Graduate School of Economics, Hitotsubashi University - 2010
A dynamic economy with markets of equities and bonds is considered. The rational expectations equilibrium is defined in an asset pricing model and a condition under which the Modigliani-Miller theorem holds is shown. In an aggregate model the existence of a rational expectations equilibrium is...
Persistent link: https://www.econbiz.de/10008458969
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Distributional Comparative Statics
Jensen, Martin Kaae - Department of Economics, University of Birmingham - 2012
An important set of questions in economics concern how changes in the distribution of economic parameters (income, wealth, productivity, distortions, information, etc.) impact individual choices and market outcomes. We currently do not have tools to answer such questions. In this paper, I...
Persistent link: https://www.econbiz.de/10010602478
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Optimal Accumulation in a Small Open Economy with Technological Uncertainty
Datta, Manjira - 1998
differentiability. If "enough" uncertainty is allowed, the sequence of the distribution functions of investment expenditure converges …
Persistent link: https://www.econbiz.de/10014067921
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Optimal Accumulation in a Small Open Economy with Technological Uncertainty
Datta, Manjira - 1999
differentiability. If "enough" uncertainty is allowed, the sequence of the distribution functions of investment expenditure converges …
Persistent link: https://www.econbiz.de/10014206913
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Global analysis and indeterminacy in a two-sector growth model with human capital
Antoci, Angelo; Galeotti, Marcello; Russu, Paolo - Volkswirtschaftliche Fakultät, … - 2012
The purpose of the present paper is to highlight some features of global dynamics of the two-sector growth model with accumulation of human and physical capital analyzed by Brito, P. and Venditti, A. (2010). In particular, we explore two cases where the Brito-Venditti system admits two balanced...
Persistent link: https://www.econbiz.de/10011113576
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Stochastic Convexity in Dynamic Programming
Atakan, Alp - 2006
This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a concave value function in stochastic dynamic programming problems. Also, the paper addresses conditions needed for the differentiability of the value function. The paper uses conditions such as...
Persistent link: https://www.econbiz.de/10014055370
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Stochastic convexity in dynamic programming
Atakan, Alp E. - In: Economic Theory 22 (2003) 2, pp. 447-455
This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a concave value function in stochastic dynamic programming problems. Also, the paper addresses conditions needed for the differentiability of the value function. The paper uses conditions such as...
Persistent link: https://www.econbiz.de/10005753358
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Ambiguous business cycles, recessions and uncertainty : a quantitative analysis
Piccillo, Giulia; Poonpakdee, Poramapa - 2023
This paper investigates the effects of uncertainty on the macro economy by replicating its micro effects on individual … the two scenarios through the empirical macroeconomic uncertainty index. The higher the macroeconomic uncertainty is, the … appropriate level of ambiguity aversion outperforms the benchmark model with no uncertainty in fitting the US output growth rate …
Persistent link: https://www.econbiz.de/10014364652
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When Risks and Uncertainties Collide : Quantum Mechanical Formulation of Mathematical Finance for Arbitrage Markets
Farinelli, Simone - 2019
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose...
Persistent link: https://www.econbiz.de/10012868421