2,522 questions with no upvoted or accepted answers
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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 ...
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### 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 ...
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### 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 ...
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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 $H_a(w,\... 0answers 132 views ### Queuing Discipline and Lipschitz Continuity I was reading a paper by Platz and Østerdal (2014) titled "The curse of the first-in-first-out queue discipline". I was wondering about a particular section of it, particularly the part about last-in-... 0answers 448 views ### How can I test for autoregressive residual terms in a fixed effects panel Poisson model? I have panel data for counts of new firms in different regions for six years. I am estimating a static poisson regression with multiplicative fixed effects$^*$; I have also tried to estimate a dynamic ... 0answers 792 views ### Modern theory of integrability of demand? I am aware of Hurwickz Uzawa work in integability, neatly summarized by Border http://people.hss.caltech.edu/~kcb/Notes/Demand4-Integrability.pdf I am wondering if there is any modern treatment of the ... 0answers 368 views ### Local and Central Wage Bargaining: What Is the Difference? Consider the following setting: Profit maximizing firms with production functions$\Pi(w,L)$, where$w$is the wage and$L$is employment. Unions who want to maximize the expected utility of their ... 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 ... 0answers 46 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 ... 0answers 103 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. ... 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 ... 1answer 143 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\$,...
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 ...