All Questions

14
votes
0answers
374 views

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 ...
12
votes
0answers
235 views

How accurate is duality?

In economic theory we know that with the use of some calculus, Hotellings Lemma and Sheppards lemma we can derive a given firms supply function and in term its Profit function. With data of a given ...
12
votes
0answers
327 views

Can I refine the set of equilibria in a signaling game to the sender-optimal outcome?

Main question: I've been reading about communication games a lot, and I'm wondering if there are good criteria to select between two separating-ish equilibria. I think of a separating equilibria as ...
10
votes
0answers
665 views

Modern theory of integrability of demand?

I am aware of Hurwickz Uzawa work in integability, neatly summarized by Border http://people.hss.caltech.edu/~kcb/Notes/Demand4-Integrability.pdf I am wondering if there is any modern treatment of the ...
9
votes
0answers
636 views

How do I compute the relative risk aversion of Epstein-Zin preferences?

$$ \newcommand{\E}{\mathbb{E}} $$ Preface This question is related to this one about the elasticity of intertemporal substitution and this one about the definition of absolute risk aversion. (It's ...
9
votes
0answers
386 views

How can I test for autoregressive residual terms in a fixed effects panel Poisson model?

I have panel data for counts of new firms in different regions for six years. I am estimating a static poisson regression with multiplicative fixed effects$^*$; I have also tried to estimate a dynamic ...
8
votes
0answers
433 views

Calculus and Indifference Curves in an Urban Economics Example

I am reading the paper 'The Structure of Urban Equilibria' by Jan Brueckner. It uses a monocentric city model, where all consumers earn income $y$ at the centre of the city. They buy $q$ housing for ...
8
votes
0answers
283 views

Local and Central Wage Bargaining: What Is the Difference?

Consider the following setting: Profit maximizing firms with production functions $\Pi(w,L)$, where $w$ is the wage and $L$ is employment. Unions who want to maximize the expected utility of their ...
8
votes
0answers
253 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-...
8
votes
0answers
103 views

Queuing Discipline and Lipschitz Continuity

I was reading a paper by Platz and Østerdal (2014) titled "The curse of the first-in-first-out queue discipline". I was wondering about a particular section of it, particularly the part about last-in-...
7
votes
0answers
69 views

Replicating a state-space model

I am trying to replicate the results of Cochrane, 1998. Most of the paper is just describing the theory behind The Fiscal Theory of the Price Level. But from p. 42 he begins the econometrics aspect. ...
7
votes
0answers
162 views

Proofs in the Appendix A of Sannikov (2007)

I have a few questions about the proofs in Appendix A of Sannikov (2007), Games with Imperfectly Observable Actions in Continuous Time. In lemma 4, when he shows the Lipschitz continuity of $H_a(w,\...
7
votes
0answers
291 views

LEN-Model equivalency

Starting position is a principal-agent-model with incomplete information (moral hazard) and the following properties: Agent utility: $u(z)=-e^{(-r_az)}$ Principal utility: $B(z)=-e^{(-r_pz)}$ Effort ...
6
votes
0answers
87 views

Why aren't there more super-stars in educational content delivery?

The super-star phenomena seems to happen in any field where the marginal cost of distribution is very low. I think teaching could be that way just as much as acting or playing basketball - at least as ...
6
votes
0answers
283 views

Dynamic Bertrand competition when players take turns

Consider the following game: There are two players, $i\in\{1,2\}$ Time is discrete and runs to infinity during periods $t=\{1,2,\ldots\}$ At eat point in time, players have a price $p_i(t)\in\mathbb{...
6
votes
0answers
51 views

Futures Market Books

Are there any recommendation for futures market or commodity trading books? I am not interested in trading myself, but would like to have a better understanding of it for my research.
6
votes
0answers
193 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 ...
5
votes
0answers
77 views

Auction mechanism with no trusted third-party

I have been using a double-auction mechanism to solve a two-sided market where multiple agents are competing to supply/use slices of a shared resource. The owner of the resource is a trustable third-...
5
votes
0answers
79 views

Definition of capitalism

Does the discipline of economics have an accepted rigorous definition of capitalism? I.e. not something like "some economists would quote Hayek and say that so and so constitutes capitalism" but an ...
5
votes
0answers
225 views

Pure exchange economy: Set of multiple equilibria endowments

Initial endowments which can result in multiple equilibria in a pure exchange economy are explained here. Given a pure exchange economy, that is given the utility functions (which fulfil the usual ...
5
votes
0answers
41 views

Letting clients/guest reserve their space vs keeping space clear so that it is available for people who really need it at the moment

Everybody knows that moment when you are in search for a beach lounger but everything is covered by towels, yet the people who placed them there are untraceable, often back at the hotel or in the town ...
5
votes
0answers
181 views

Fact-checking Dan Ariely (2008) on Duke basketball tickets story

In Predictably Irrational (2008, pp. 127-133), Dan Ariely describes the Krzyzewskiville phenomenon (Duke students camp for weeks to get basketball tickets), and how he and Ziv Camron used it to study ...
5
votes
0answers
78 views

How do you strategically vote to put someone in last place?

I watch a dumb reality TV show which has a certain number of contestants to start with, and every week one contestant is eliminated. Here's how the elimination process works. Every week a certain ...
5
votes
0answers
25 views

Why do co-ops dominate in certain markets rather than more-conventional enterprises?

Why do co-ops dominate in certain markets rather than more-conventional enterprises? For example, the US dairy processing market seems to be dominated co-ops like Land'O Lakes and Dairy Farmers of ...
5
votes
0answers
1k views

Estimating the rental rate of capital from data

Take the classic optimization problem of the neo-classical firm: \begin{equation} \begin{array}{*2{>{\displaystyle}r}} \mbox{maximize (over $K, L$)} & f(K, L) - RK - WL \end{array} \end{...
5
votes
0answers
197 views

Arguments against inheritance tax

One of the arguments against inheritance tax is that it lowers the incentive to work for those close to retirement who have earnt enough money to be comfortable in old age. How much is this offset ...
5
votes
0answers
57 views

Game with predatory player (reference request)

I am interested in a multiplayer game where one player gains utility, not just by winning, but by seeing one other player (chosen in advance) lose (or come in last place if the game has an ordered ...
5
votes
0answers
161 views

Consumption-Leisure Elasticity

The macro-literature insists on a consumption-leisure elasticity of 0 to match the balanced growth fact of constant labor supply. Is there any paper that tries to evaluate this elasticity using ...
5
votes
0answers
192 views

How do supply chains form?

I am trying to put forth a theory for endogenous supply chain formation. A set of $K$ complementary tasks need to be performed to manufacture a good $G$. If manufactured, there exists a demand ...
5
votes
0answers
57 views

Are charitable donations on someone's behalf generally an effective incentive?

A study done in Sweden on 153 female, would-be blood donors showed surprising results. The women were divided into three groups– voluntary donation, paid donation, and paid donation with the ...
5
votes
0answers
103 views

How does a bank convert one currency to another?

Say for example I sell ZAR and buy USD. What happens behind the scenes so that the local ZAR bank is able to deposit USD into my account? Does the bank require some sort of USD cash reserve? How do ...
5
votes
0answers
93 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 ...
5
votes
0answers
54 views

Empirical evidence on what makes a border adjustment successful at correcting a distortion without exporting externalities?

One of the challenges of constructing a national or regional market-correction scheme to remove the distortions from negative externalities, is that such a scheme is liable to create leakage: for ...
5
votes
0answers
77 views

Simulations Using Binomial Coefficients

In closed loop toy models with a fixed money supply, what are the downsides of calculating probable outcomes with a binomial coefficient? For example, given a toy economy where trades yield a profit ...
4
votes
0answers
27 views

Afriat theorem for negative goods

GARP and Afrait theorem assume that the alternative $x\in\mathbb R_+$ is always positive. In some economic contexts, such as financial choices, the attribute can be negative. I wonder if we can ...
4
votes
0answers
50 views

Examples of Analysis of Competition in a Latent Product Characteristic Space

Competition between firms offering heterogenous products is often an exercise of constructing the right kind of spatial model. There is the famous Hotelling model and many other papers that model ...
4
votes
0answers
64 views

How Africans use their wages?

I was researching poverty in Africa and was reading about their daily wages. Based on the article linked, 2/3 of Africans live on less than $1.25 USD, a day. However, what this article and many ...
4
votes
0answers
105 views

Nash equilibrium for Bertrand Model with Spatial Differentiation

Consider a town with consumers represented by a closed interval $[0,2]$ with the consumers spread continuously and uniformly. There are two stores, $A$ and $B$ who sell the same product at $p_A$ and $...
4
votes
0answers
60 views

Simultaneous consumption tax and subsidy

Suppose the government introduces a simultaneous tax and subsidy on a consumption good, which is produced under perfect competition. If the tax and the subsidy are equal, then there will be no ...
4
votes
0answers
32 views

Mechanics of Sterilized Intervention?

I'm looking to see if someone can help improve my understanding of sterilized intervention in FX markets. My intuition/understanding is: Assume that the domestic currency is depreciating, perhaps ...
4
votes
0answers
50 views

Existence of nash equilibria in finite games

I was going through the proof of existence of a Nash Equilibria in finite normal form games (Proof via Brouwer’s theorem) and got a question regarding the requirement of finiteness for the number of ...
4
votes
0answers
28 views

Max Likelihood Estimators of a stable Gaussian VAR$(p)$ process. Are the Lutkepohl formulas correct?

In «New Introduction to Multiple Time Series», page 90, we have the following formulas for the ML estimators of a stable Gaussian VAR$(p)$ process: where $\tilde \alpha = vec(\tilde A_1,...,\tilde ...
4
votes
0answers
104 views

Understanding the Diewertt Cost Function

The Diewert cost function (as described in Microeconomic Analysis by Hal Varian 3rd Edition) takes the form of: $$c(w,y)=y\sum_{i=1}^k\sum_{j=1}^kb_{ij}\sqrt{w_iw_j}$$ Varian goes on to say (page ...
4
votes
0answers
36 views

Economic valuation of green spaces using GIS

I was wondering if there are any standard methods that are employed to obtain insight of the economic value of tree cover in a particular area. I assumed using negative difference vegetation index ...
4
votes
0answers
145 views

Why is the symmetric grim trigger not a Nash?

Consider the stage game: Let $\delta\in(0,1)$ be the discount factor. Let $G$ be the symmetric grim trigger strategy profile. The payoffs are then $$E_{A}(G) = E_{B}(G) = \sum_{i=0}^{\infty}3\delta^{...
4
votes
0answers
48 views

Estimating Job Vacancy rate empirically

I'm currently reading up on matching models in terms of their ability to describe frictional unemployment, they generally follow a cobb-douglas form. $$M(u,v)=m=\mu u^\alpha v^{1-\alpha}$$ Where $M(...
4
votes
0answers
20 views

How did “excess liquidity” in the US contribute to the 2008 crash?

Here I'm using "excess liquidity" not in reference to monetary policy, but to the concentration of capital at the top in regard to private citizens. This excess liquidity, for which the tax cuts in ...
4
votes
0answers
138 views

How could the Roman sestertii/sesterces be converted into modern terms (say 2017 US$)?

Of course, the value of the sesterti must itself have fluctuated over the centuries it was in use. And so if I must narrow it down, I am particularly interested in its value during the time of ...
4
votes
0answers
56 views

How to econometrically identify perfect complements in production?

The production $$f(x_i,...,x_n)=\min\{x_i,...,x_n\}$$ is pretty straight forward and usually with smaller size data sets and can usually be picked up on rather quickly in an intuitive sense. ...
4
votes
0answers
120 views

Does a determinant ever have its own interpretation in economics?

I know there are applications of determinants in economics to compute equilibrium, aide in identifying profit maximisation/cost minimisation and in calculating elasticity of substitution. However, is ...

15 30 50 per page