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19
votes
0answers
533 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 ...
13
votes
0answers
841 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 ...
12
votes
0answers
408 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
250 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,\...
10
votes
0answers
130 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-...
10
votes
0answers
446 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 ...
10
votes
0answers
790 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
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0answers
367 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 ...
7
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0answers
44 views

Lab experiments of labour markets

I have been searching for papers that conduct lab experiments simulating a labour market, that means for a minimum there are both participants taking the role of firms, and participants taking the ...
7
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0answers
100 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
287 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 ...
7
votes
1answer
142 views

Uniform bounds on rate of merging for Bayesian learners

Update. Cross posted at Cross Validated. In a well-known paper, Blackwell & Dubins (1962) show that the posterior probabilities of two Bayesian agents, whose priors agree on events of measure $0$,...
7
votes
0answers
235 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 ...
6
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0answers
52 views

Small Open Economy Without Government

Suppose we have an economy with a representative consumer with the following utility function: $$U=\sum_{t=0}^\infty\beta^t\frac{c_t^{1-\sigma}}{1-\sigma} $$ There is no uncertainty and the household ...
6
votes
0answers
74 views

Proof monotonicity on Blackwell sufficient conditions

I need to prove monotonicity assumption on Blackwell’s sufficient conditions for a contraction, that is: Given the operator T defined as $(Tf)(x) = sup [F(x,y)+bf(y)]$ I need to show that $f\leq g\...
6
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0answers
268 views

Which is a better intermediate micro textbook: Perloff (with calculus) or baby Varian (with calculus)?

I’m currently learning intermediate microeconomics with calculus. I know to take derivatives, partial derivatives, integrals, and multiple integrals, and I know some basic linear algebra (solving ...
6
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0answers
86 views

Signalling Model (How to solve a differential equation?)

I'm currently reading "SAVING RATES AND POVERTY: THE ROLE OF CONSPICUOUS CONSUMPTION AND HUMAN CAPITAL" by Omer Moav and Zvika Neeman, and I encounter some problem deriving one of the equations. ...
6
votes
0answers
91 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 ...
6
votes
1answer
284 views

Labour markets and supply-side policies: too much stress put on the WS push factors?

In reading several macro textbooks, it seems that most of the supply-side policies tend to be focused on the labour supply side (wage setting curve), instead on the firm/labour demand side(price ...
6
votes
0answers
106 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
369 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
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0answers
65 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.
5
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0answers
101 views

A doubt on summary statistic of post*treat variable of a paper using DID (Dong,2019)

Generalized DID or Staggered DID are DID using staggered treatment events. In Dong,2019's paper, he uses the framework as below: $Margin_{ikjt}$ = $\alpha$ + $\beta$ $(Leniency Law)_{kt}$ + $\delta$$...
5
votes
0answers
44 views

How to find an optimal strategy in an auction?

I have asked this question in mathematics forum as well but since I have not recieved an appropriate answer yet, I ask it here as well. Consider an auction of sculptures by four artists: A, B, C and D....
5
votes
0answers
51 views

Constant returns to scale and cost function: $C(p,ty) = tC(p,y)$

How can I prove that for a production function $F:\mathbb X \rightarrow \mathbb R$ with constant returns to scale $$\forall x\in \mathbb X, \forall t > 0: \ \ F(tx) = t F(x)$$ and with the cost ...
5
votes
0answers
104 views

Certainty equivalence when the utility is semi-continuous instead of continuous

Let $U:\mathbb R^2\to\mathbb R$ be a utility function. If $U$ is strictly increasing and continuous, then it is well known that for any $(x_1,x_2)$ there exists a certainty $(c,c)$ such that $$U(x_1,...
5
votes
0answers
60 views

Optimization in discrete time

I have made optimizations in continuous time that belong to the control theory, for example one case: $\max(\min)V[u(t)]=\int_0^Tf(t,x(t),u(t))dt$ constraint to: $\dot x=g(t,x(t),u(t))$ Where: $x(t)$: ...
5
votes
0answers
50 views

Parsing problem 1.D.5 in MWG

I am a little confused about the statement of 1.D.5 in MWG, which I will reproduce here for convenience. I have "solved" the problem, I just don't understand something particular. $\textbf{(...
5
votes
0answers
135 views

Topological intuition to continuous preference relation

For a Microeconomics Course, we are going through MWG, and in the lecture we discussed the notion of a continuous preference relation. A preference relation $\succsim$ on a set $X$ is called ...
5
votes
0answers
13 views

Datasets with pre- and post migration earnings

I am interested in computing the pre- and post-migration earnings of international migrants, especially those migrating from low income to high income countries (or vice versa). The data should allow ...
5
votes
0answers
47 views

Which classical liberal economists promoted the privacy and secrecy of businesses?

Quinn Slobodian (2018) writes: the idea of businessmen opening their account books beyond the firm represented a revision of the classical liberal vision. The privacy of the businessman was no ...
5
votes
0answers
52 views

Estimates of magnitude of externalities generated by education?

It is standard to claim that education generates positive externalities. For example, Mankiw (2017, Principles of Economics, p. 193): education also yields positive externalities. One externality ...
5
votes
0answers
173 views

Public Bads and Non-Excludability

The term "public bad" is sometimes used for "goods" which, like public goods, are non-excludable and non-rival, but which tend to lower rather than raise welfare. Air pollution is an example. For a ...
5
votes
0answers
84 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 ...
5
votes
0answers
68 views

How to interpret the proof that information cascades will form?

I am reading the 1992 paper of Bikchandani, Hirshleifer and Welch on information cascades. They claim and prove that, given an environment of sequential decision making, an information cascade will ...
5
votes
1answer
125 views

Consumer Utility Maximization equivalent of economies of scope

Economies of scope captures the idea of having efficiency in variety. I've come across this idea only in producer theory to capture the idea that companies may benefit from their ability to reduce ...
5
votes
0answers
93 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
1answer
426 views

Labour-saving vs. Labour-augmenting technical change

I've read a number of posts on the above topic but none refers to published empirical papers. Google searches have been hopeless. Does anyone know of any paper on empirical derivation of technical ...
5
votes
0answers
47 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
374 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
26 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
300 views

On the uniqueness of utility functions for both risk and time

I have a question regarding the uniqueness of preference functionals under risky and dynamic settings. Two well known models to represent preferences for both settings are the Expected Utility Model ...
5
votes
0answers
128 views

Regional disaggregation of a national input-output table

I am trying to disaggregate a "national" input-output table into three regions using Simple Location Quotients (SLQs) and RAS balancing. In particular, I'm trying to use the "Two region logic with ...
5
votes
1answer
2k 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
218 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
1answer
509 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 ...
5
votes
0answers
59 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
191 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
2answers
698 views

Growth theory / Initial GDP: positive coefficient sign

I estimated growth regressions for several EU countries. In each of them, the sign of "initial GDP"'s coefficient is statistically significant but positive, which contradicts growth theory as well as ...
5
votes
0answers
121 views

Why is poverty worse in larger cities?

In inner cities in the US there is more poverty (as a proportion of the population) than in mid-sized cities or small towns. Do we have a definitive answer as to why this is?

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