Unanswered Questions
2,014 questions with no upvoted or accepted answers
14
votes
0answers
393 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
258 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 ...
12
votes
0answers
338 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
692 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
659 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
393 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 ...
8
votes
0answers
477 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 ...
8
votes
0answers
293 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
311 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 ...
8
votes
0answers
255 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-...
8
votes
0answers
110 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-...
8
votes
1answer
240 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
0answers
79 views
Causes of trade deficit: Multiple views
I am trying to understand the causes and macroeconomic implications of running a trade deficit in the United States, and I came across a few different views on this topic. I'd like to know if there ...
7
votes
0answers
76 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
1answer
93 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 $0$,...
