# Questions tagged [mathematical-economics]

The application of mathematical methods to represent theories and analyze problems in economics.

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57 views

### Applying real growth rate to nominal value

What happens if one applies a real GDP growth rate to a nominal GDP value? The result can't be a GDP figure in constant prices, since that would imply applying a real GDP growth rate to constant GDP ...
259 views

### Text book for mathematical economics?

I need a text book for mathematical economics with real world examples. Currently I'm using A.C Chiang (very good) and Henderson and Quandt ( not the best book for matheco). Can someone recommend any ...
392 views

### Government's intervention question [closed]

Given that demand for a good X is equal to $q_D=393-2p$ and market supply is $q_S=p/4-12$. Find equilibrium price and quantity, consumer and producer surplus and draw a diagram illustrating the ...
130 views

### How to find the variance co-variance matrix for 4 assets and market returns using the CAPM?

I understand the process on excel: calculate betas, calculate covariance with $Cov(R_{i,t},R_{j,t}) = \beta_{i,m} \cdot \beta_{j,m} \cdot \sigma^2_m$ where m is the market return and i and j are ...
342 views

### Show that $W_t - \int_0^t \xi_s ds$ is forward-measure-Brownian

Definitions and stuff: Consider a filtered probability space $(\Omega, \mathscr F, \{\mathscr F_t\}_{t \in [0,T]}, \mathbb P)$ where $$T > 0$$ $$\mathbb P = \tilde{\mathbb P}$$ This is risk-...
427 views

### Is there any economic meaning to log returns?

I recently had a discussion with a friend regarding log returns and any economic meaning that could have as a measure in the sense of "assessing the benefit received for compensating work done in a ...
134 views

### Expenses as a function of Income

I am wondering if any one has attempted to describe household expenses as a function of income. I have an idea that the curve should look something like a natural log over a root function. It creates ...
409 views

### Criticism of “Modern Political Economics” by Varoufakis, Halevi, Theocarakis

The book "Modern Political Economics" is quite critical about "neoclassical economics", the basic claim being, if I understand correctly, that the models which "neoclassical economics" (armed with ...
1k views

### What Math is used in Development Economics?

I would like to ask what kind of math is used in Development Economics? I have one more semester in my Master of Math programme before hopefully entering a PhD in Economics and am considering ...
99 views

### MLE using multivariate normal distribution

I am reading econometrics lecture notes of a Japanese professor. To explain MLE estimation he uses multivariate normal distribution. As you can see, the first line is the loglikelihood function and ...
105 views

77 views

### Conjecture Steady State from limit properties

The question is related to this thread. I'd like to derive a unique steady state for an optimal control problem. Consider the following programm \begin{align} &V(x_0) := \max_u \int^\infty_0 e^{-\...
67 views

### Econometric test for detecting change from trend stationary to stationary process

I am stuck with the following problem from research. Is there an econometric test which detects change from trend stationary to stationary process. I tried to search for this but the literature is ...
217 views

### Sequential games and Perfect Bayesian Equilibrium

Reading the paper http://www.sciencedirect.com/science/article/pii/002205319190155W I came up with the following question. Given that this paper deals with games in which players move simultaneously,...
246 views

### How to deal with a singular Leontiev inverted matrix?

I am currently studying and experimenting the input-output methodology. It is a 1930's method based on national accountings that allows to measure the interindustry flow of good and services. ...
218 views

### The Insane Sultan of Slickcrudistan: Calculating Currency Equilibrium

I work for a start-up that has encountered an economics problem no one on our team has been able to crack. A story form and a general form of the problem are below. I believe they are equivalent, but ...
1k views

### Solving the Hamilton-Jacobi-Bellman equation; necessary and sufficient for optimality?

Consider the following differential equation \begin{align} \dot x(t)=f(x(t),u(t)) \end{align} where $x$ is the state and $u$ the control variable. The solution is given by \begin{align} x(t)=x_0 + \...
189 views

### Multiple equilibria: which one to select?

There are two agents $i=1,2$. Consider the following programm \begin{align} &V_1(x_0) := \max_u \int^\infty_0 e^{-\rho t}F_1(x(t),u(t),v(t))dt\\ &V_2(x_0) := \max_v \int^\infty_0 e^{-\rho t}...