Unanswered Questions
2,472 questions with no upvoted or accepted answers
18
votes
0answers
510 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 ...
15
votes
1answer
473 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
375 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 ...
11
votes
0answers
800 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 ...
10
votes
0answers
232 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 $H_a(w,\...
10
votes
0answers
436 views
How can I test for autoregressive residual terms in a fixed effects panel Poisson model?
I have panel data for counts of new firms in different regions for six years. I am estimating a static poisson regression with multiplicative fixed effects$^*$; I have also tried to estimate a dynamic ...
10
votes
0answers
776 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
358 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 ...
9
votes
0answers
122 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
0answers
127 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
94 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
133 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
228 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
206 views
Which is a better intermediate micro textbook: Perloff (with calculus) or baby Varian (with calculus)?
I’m currently learning intermediate microeconomics with calculus. I know to take derivatives, partial derivatives, integrals, and multiple integrals, and I know some basic linear algebra (solving ...
6
votes
0answers
74 views
Signalling Model (How to solve a differential equation?)
I'm currently reading "SAVING RATES AND POVERTY: THE ROLE OF CONSPICUOUS CONSUMPTION AND HUMAN CAPITAL" by Omer Moav and Zvika Neeman, and I encounter some problem deriving one of the equations.
...
