Expert level questions which do not arise prior to graduate studies in economics.

11 questions with no upvoted or accepted answers
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### How do I use the Malliavin calculus to solve for the optimal trading strategy in the classic Merton problem?

How do I use the Malliavin calculus to solve for the optimal trading strategy in the classic Merton problem? In Duffie's book "Dynamic Asset Pricing," he outlines the "Martingale method" of solving ...
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262 views

### Has any progress been made on the Pacman Conjecture on Finite Time Horizons?

The Pacman conjecture states that the optimal strategy for monopolistic durable goods manufacturers is to set price high and slowly drop it (i.e. eating their way down the demand curve). Empirically ...
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103 views

### Can repeated bidding in an auction make each player's type common knowledge?

In Benjamin Edelman, Michael Ostrovsky, and Michael Schwarz(2007), there's a hand-waving argument to justify their setting as a game of complete information: we assume that all values are common ...
• 1,416
117 views

### Solving this system of ODE

I have the following system of equations $$\rho V(u, \epsilon^i) = F(u, \epsilon^i) + V_u(u, \epsilon^i)g(u, V(u, \epsilon^i) + \lambda^i \left(V(u, \epsilon^{-i}) - V(u, \epsilon^i)\right)$$ with \$...
• 10.6k
194 views

### Hot Topics in Labor-Macro

I'm interested in currently hot research topics within Labor Macro. I'm only aware of the debate on the recent shift in the US Beveridge curve, and, of course, the olden but golden Shimer puzzle. ...
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319 views

### A Perfect Bayesian Bargaining problem

Thought I'd post interesting questions that come my way to try and boost activity! A seller and a buyer negotiate over trade of a single indivisible good. The good is either of low quality (in which ...
• 431
67 views

### How this ex ante game induce a uniform distribution for interim stage?

In an article (see here) from the blog leisure of theory class, it is shown, in an interim stage for a Baysian game, we could run into a technical problem that the induced belief space for a player ...
• 1,416
1 vote
17 views

### Interpolating GDP

So I'm conducting a test on the strength of the APT model using data, I wanted to use GDP as one of my variables but it uses quarterly data, whereas the rest of my dataset is monthly. So, my question ...
• 11
1 vote
27 views

### Which of the possible monetary policy channels is there empirical evidence for?

There are many possible monetary policy channels. These channels are the different ways that changes in the Fed's interest rates can affect the economy: exchange rate depreciations, business ...
• 2,628
1 vote
44 views

### Evidence of firm borrowing and loans

I'm absolutely not from firm financing and look to read up on the subject, but mostly onto empirical stuff. Standard questions would be: What is the ratio of firms that finance themselves with bank ...
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