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Unanswered Questions

14
votes
0answers
311 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
284 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 ...
9
votes
0answers
155 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
225 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
442 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
356 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
265 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
168 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
0answers
135 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
237 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
535 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 ...
7
votes
0answers
34 views

Competition and welfare - empirical evidence

Consider the following claims: less competitive markets deliver worse outcomes for consumers, less competitive markets deliver lower social welfare, less competitive markets deliver higher prices/...
7
votes
1answer
133 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 ...
6
votes
0answers
61 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. ...
6
votes
0answers
109 views

Why is it possible to calibrate your subjective probabilities?

Humans tend to be overconfident in their predictions; when most people say that there's a 95% chance that something will happen, they're usually wrong far more than 5% of the time. Whereas what ought ...

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