Unanswered Questions
1,771 questions with no upvoted or accepted answers
14
votes
0answers
343 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
304 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 ...
11
votes
0answers
199 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 ...
9
votes
0answers
365 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 ...
9
votes
0answers
222 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 ...
9
votes
0answers
232 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-...
9
votes
0answers
565 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
379 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 ...
9
votes
0answers
627 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 ...
8
votes
0answers
154 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,\...
8
votes
0answers
268 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 ...
7
votes
0answers
63 views
Kőszegi - Rabin (2006) model problem
First of all, that's a homework question, and I will try to make it as useful to future readers as possible.
Problem
So, I was given a problem about the model described by Botond Kőszegi and ...
7
votes
1answer
156 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 ...
7
votes
1answer
221 views
eBay economics - total revenue impact from expanding ecosystem by 1 seller
While I think my question is straight forward, I'm guessing the answer to it is anything but. Thanks in advance for any insight you may be able to offer, even if it's just a directional assist. Here'...
7
votes
1answer
164 views
Does the envelope theorem hold at a corner solution?
Suppose we have the following production function:
$$F(L,K)=\max_{L_K}H(L,L_K,K)=\max_{L_K}\left[(L-L_K+1)^\alpha(L_K+K)^{1-\alpha}\right]=(L-L_K^*+1)^\alpha(L_K^*+K)^{1-\alpha}$$
With the ...
