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Hurwicz, Leonid; Marschak, Thomas - In: Economic Theory 21 (2003) 4, pp. 783-841

This paper obtains finite analogues to propositions that a previous literature obtained about the informational efficiency of mechanisms whose possible messages form a continuum. Upon reaching an equilibrium message, to which all persons “agree”, a mechanism obtains an action appropriate to...

Persistent link: https://www.econbiz.de/10005753446

Gilboa, Itzhak; Schmeidler, David - In: Economic Theory 9 (1996) 1, pp. 47-62

Case-Based Decision Theory (CBDT) postulates that decision making under uncertainty is based on analogies to past cases. In its original version, it suggests that each of the available acts is ranked according to its own performance in similar decision problems encountered in the past. <p>The...</p>

Persistent link: https://www.econbiz.de/10005596682

Finite allocation mechanisms: approximate Walrasian versus approximate Direct Revelation

Hurwicz, Leonid; Marschak, Thomas - In: Economic Theory 21 (2003) 2, pp. 545-572

This paper obtains finite counterparts of previous results that showed the informational efficiency of the Walrasian mechanism among all mechanisms yielding Pareto-optimal individually rational trades in exchange economies while using a continuum of possible messages. In particular, we develop...

Persistent link: https://www.econbiz.de/10005597807

Equilibrium valuation of illiquid assets

Krainer, John; LeRoy, Stephen F. - In: Economic Theory 19 (2002) 2, pp. 223-242

We develop an equilibrium model of illiquid asset valuation based on search and matching. We propose several measures … of illiquidity and show how these measures behave. We also show that the equilibrium amount of search may be less than …, equal to or greater than the amount of search that is socially optimal. Finally, we show that excess returns on illiquid …

Persistent link: https://www.econbiz.de/10005753338

Global convergence of adaptive learning in models of pure exchange

Wenzelburger, Jan - In: Economic Theory 19 (2002) 4, pp. 649-672

This paper develops an adaptive learning scheme for a standard version of the OLG model with pure exchange. Perfect forecasting rules which generate perfect foresight orbits are approximated by cubic spline functions. These approximations are successively constructed using historical data only....

Persistent link: https://www.econbiz.de/10005596637

Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case

Hammond, Peter J.; Sun, Yeneng - In: Economic Theory 21 (2003) 2, pp. 743-766

Suppose a large economy with individual risk is modeled by a continuum of pairwise exchangeable random variables (i.i.d., in particular). Then the relevant stochastic process is jointly measurable only in degenerate cases. Yet in Monte Carlo simulation, the average of a large finite draw of the...

Persistent link: https://www.econbiz.de/10005753125

Discrepancies between ex ante and ex post efficiency under identical subjective probabilities

Silvestre, Joaquim - In: Economic Theory 20 (2002) 2, pp. 413-425

Starr (1973) showed that, if people have different subjective probabilities, ex ante and ex post efficiency conflict. Conversely, under the simple preferences that he considered, the discrepancy between ex ante and ex post efficiency disappears when subjective probabilities are identical. Here I...

Persistent link: https://www.econbiz.de/10005753144

Probability of survival in a random exchange economy with dependent agents

Hashimzade, Nigar - In: Economic Theory 21 (2003) 4, pp. 907-912

In this paper I analyze the general equilibrium in a random Walrasian economy. Dependence among agents is introduced in the form of dependency neighborhoods. Under the uncertainty, an agent may fail to survive due to a meager endowment in a particular state (direct effect), as well as due to...

Persistent link: https://www.econbiz.de/10005753193

Stochastic convexity in dynamic programming

Atakan, Alp E. - In: Economic Theory 22 (2003) 2, pp. 447-455

This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a concave value function in stochastic dynamic programming problems. Also, the paper addresses conditions needed for the differentiability of the value function. The paper uses conditions such as...

Persistent link: https://www.econbiz.de/10005753358

Equilibrium prices in a random exchange economy with dependent agents

Rotar, Vladimir; Majumdar, Mukul - In: Economic Theory 15 (2000) 3, pp. 531-550

This paper presents a model of a Walrasian exchange economy in which the preferences and endowments of the agents are random. Stochastic interaction among the agents is formally described in terms of dependency neighborhoods. The main result is a characterization of the distribution of...

Persistent link: https://www.econbiz.de/10005596610