# All Questions

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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 ...
375 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 ...
368 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 ...
759 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 ...
426 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 ...
758 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 ...
211 views

58 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.
94 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 ...
62 views

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 ...
97 views

### utility maximization with nested Cobb–Douglas–CES preferences

I'm trying to understand the following paper: Hsieh & Ossa: A global view of productivity growth in China (2016). The pdf can be found here: https://faculty.chicagobooth.edu/chang-tai.hsieh/...
71 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. ...
60 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 ...
87 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-...
317 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 ...
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 ...
277 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 ...
83 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 ...
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 ...
283 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 ...
2k views

### Estimating the rental rate of capital from data

Take the classic optimization problem of the neo-classical firm: \begin{array}{*2{>{\displaystyle}r}} \mbox{maximize (over $K, L$)} & f(K, L) - RK - WL \end{array} \end{...
210 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 ...
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### 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 ...
186 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 ...
674 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 ...
2k views

### Relationship between Real Interest Rate and Employment

The country of Kingsland is considering the introduction of a compulsory retirement saving scheme. Under this scheme all workers are required to save ten per cent of their annual wages and ...
207 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 ...
58 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 ...
97 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 ...
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### Will US Treasury and Federal Reserve's expansionary policies in 2020 crowd out?

Scott Minerd, CIO of Guggenheim Investments contends What could go wrong with my outlook? We are already in uncharted territory and another black swan might emerge in the midst of a very fragile ...
59 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 ...
80 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 ...
63 views

### What does the adjective “structural” mean in “structural reforms” or “structural effects”?

Economists frequently speak of structural reforms and structural effects. For example, Manmohan Singh (1992): The economic crisis was used as an opportunity to implement basic structural reforms ...
3k views

### Elasticity of Durable Goods vs Non-Durable Goods

Does anyone know any seminal reference (either a paper in a top economics journal or a book) that compares own-price elasticities of demand for durable vs non-durable goods? My intuition tells me ...