Unanswered Questions
2,625 questions with no upvoted or accepted answers
19
votes
0answers
548 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
870 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
417 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
261 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 $H_a(w,\...
10
votes
0answers
135 views
Queuing Discipline and Lipschitz Continuity
I was reading a paper by Platz and Østerdal (2014) titled "The curse of the first-in-first-out queue discipline". I was wondering about a particular section of it, particularly the part about last-in-...
10
votes
0answers
450 views
How can I test for autoregressive residual terms in a fixed effects panel Poisson model?
I have panel data for counts of new firms in different regions for six years. I am estimating a static poisson regression with multiplicative fixed effects$^*$; I have also tried to estimate a dynamic ...
10
votes
0answers
801 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
371 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
1answer
2k views
What is the purpose of the local non-satiation assumption in the first welfare theorem?
The profit maximization assumption implies
$$\text{if } x_i \succ x_i^* \text{ then } p_ix_i > p_i w_i$$
Okay so this just says if the agent is utility maximizing / rational, then if he doesn't ...
7
votes
0answers
47 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
votes
0answers
106 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
290 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
147 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
236 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
votes
0answers
38 views
Solving Rational Expectation Models Linear vs. Nonlinear
Since I am coding some linear New Keynesian models in python and solving them under rational expectations (using the method of undetermined coefficients/linear time iteration), I was wondering whether ...