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Fixed costs models are difficult to analyze because they feature non-degenerate, time-varying distributions of capital across firms. If investments are sufficiently long-lived however then the cross-sectional distribution of capital holdings has virtually no bearing on the equilibrium and the...
Persistent link: https://www.econbiz.de/10011076656
This paper characterizes the equilibrium demand and risk premiums in the presence of skewness risk. We extend the classical mean-variance two-fund separation theorem to a three-fund separation theorem. The additional fund is the skewness portfolio, i.e. a portfolio that gives the optimal hedge...
Persistent link: https://www.econbiz.de/10011076670
The theory of aggregation most often deals with measures of central tendency. However, sometimes a very different kind … some properties of spread measures, show how are they related to aggregation functions, and indicate their new potentially …
Persistent link: https://www.econbiz.de/10011077622
measured by the proximity between a firm and the best practices.Aggregation of firm efficiencies is imperfect.The bias is used …
Persistent link: https://www.econbiz.de/10011092768
In this paper, we use the death file from the Panel Study of Income Dynamics to investigate the relationship between county-level unemployment rates and mortality risk. After partialling out important confounding factors including baseline health status as well as state and industry fixed...
Persistent link: https://www.econbiz.de/10011096070
determine the adequate aggregation level of the mutually exclusive alternatives in the choice set. The specification test …
Persistent link: https://www.econbiz.de/10011097574
A multiphase approach that incorporates demand points aggregation, Variable Neighbourhood Search (VNS) and an exact …
Persistent link: https://www.econbiz.de/10011097729
In this article we generalize the aggregation theory in efficiency and productivity analysis by deriving solutions to … the problem of aggregation of individual scale efficiency measures, primal and dual, into aggregate primal and dual scale … efficiency measures of a group (e.g., industry). The new aggregation result is coherent with aggregation framework and solutions …
Persistent link: https://www.econbiz.de/10011097775
This paper discusses conditions for aggregation of heterogeneous expectations in a new-keynesian economy. I show that … aggregation result depends on the way agents form cross-expectations, i.e. expectations on other agents’ decision variables, and I … determine a maximal class of cross-expectations operatorsthat support aggregation. Interpretation of obtained conditions in …
Persistent link: https://www.econbiz.de/10011099266
accommodates output risk, heterogeneous technologies, technological change, endogenous variables, aggregation across agents, and …
Persistent link: https://www.econbiz.de/10011100043