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Sannikov (2007) investigates properties of perfect public equilibria in continuous time repeated games. This note points out that the proof of the main theorem (Theorem 2) needs some corrections. I show that the main theorem holds as it is with suitable modifications of Lemmata 5 and 6.
Persistent link: https://www.econbiz.de/10005835850
Few textbooks in mathematical economics cover optimal timing problems. Those which cover them do it scantly or in a rather clumsy way, making it hard for students to understand and apply the concept of optimal time in new contexts. Discussing the plentiful illustrations of optimal timing...
Persistent link: https://www.econbiz.de/10011111166
It is well known that a one-dimensional discrete-time model may yield endogenous fluctuations while this is impossible in a one-dimensional continuous-time model. Invernizzi and Medio (1991) recast this time-modeling issue into an aggregation issue. They have proposed a "random-lags approach" as...
Persistent link: https://www.econbiz.de/10005619978
Three essays comprise this dissertation. The first essay uses panel data to show that labor income risk alone cannot explain limited stock market participation. However, transaction costs and household demographics, considered jointly, can determine both the discrete choice of whether to hold...
Persistent link: https://www.econbiz.de/10005835481
Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures realisations underpinned by a continuous time framework. Squared and...
Persistent link: https://www.econbiz.de/10005835608
We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...
Persistent link: https://www.econbiz.de/10005835745
This paper empirically investigates the impact of trade and financial liberalization on economic growth in Pakistan using annual observations over the period 1961-2005. The analysis is based on the bound testing approach of cointegration advanced by Pesaran et al (2001). The empirical findings...
Persistent link: https://www.econbiz.de/10005835821
There are several methods to convert fuzzy or stochastic LP to conventional LP models. In this simple paper we evaluate the effectiveness of three proposed methods, using a numerical example from a pure factors portfolio.
Persistent link: https://www.econbiz.de/10005836013
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties....
Persistent link: https://www.econbiz.de/10005836114
No country can develop without an active capital market, which has to be capable to meet the mobilization requests of the assets for financing the national economy. On the other hand, it has to be a profitable instrument for placing the available financing resources. The existence of a potential...
Persistent link: https://www.econbiz.de/10005836137