Unanswered Questions
3,683 questions with no upvoted or accepted answers
20
votes
0
answers
864
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 ...
- 9,345
15
votes
0
answers
1k
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 ...
- 9,345
13
votes
0
answers
883
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 ...
- 1,453
13
votes
0
answers
473
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 ...
- 5,270
12
votes
0
answers
327
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 $H_a(w,\...
- 2,156
12
votes
0
answers
161
views
Queuing Discipline and Lipschitz Continuity
I was reading a paper by Platz and Østerdal (2014) titled "The curse of the first-in-first-out queue discipline". I was wondering about a particular section of it, particularly the part about last-in-...
- 6,578
12
votes
0
answers
489
views
How can I test for autoregressive residual terms in a fixed effects panel Poisson model?
I have panel data for counts of new firms in different regions for six years. I am estimating a static poisson regression with multiplicative fixed effects$^*$; I have also tried to estimate a dynamic ...
- 296
10
votes
0
answers
134
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.
...
- 101
8
votes
1
answer
133
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 ...
CommunityBot
- 1
8
votes
0
answers
135
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 ...
- 16.9k
7
votes
0
answers
131
views
Is 2SLS asymptotically MLE?
$$y_i =\beta_0 +\beta_1 x_{1i}+\beta_2 x_{2i}+\varepsilon_i$$
Suppose $x_1$ is endogenous but $x_2$ is exogenous. We have two excluded instruments, $z_1$ and $z_2$. The first stage is:
$$x_{1i} =\...
- 3,458
7
votes
0
answers
129
views
Small Open Economy Without Government
Suppose we have an economy with a representative consumer with the following utility function: $$U=\sum_{t=0}^\infty\beta^t\frac{c_t^{1-\sigma}}{1-\sigma} $$ There is no uncertainty and the household ...
- 1,048
7
votes
0
answers
227
views
Fixes of quadratic utility when probability of decreasing utility is large
In finance and specifically portfolio theory, a popular utility function is quadratic utility
$$
u(x)=x-\frac{\lambda}{2}(x-\mu_x)^2
$$
where $x$ is wealth and $\lambda$ is the parameter of risk ...
- 2,260
7
votes
0
answers
336
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 ...
- 28.6k
7
votes
0
answers
397
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{...
CommunityBot
- 1