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Spatial models with spatially lagged dependent variables and incomplete data
Spatial models Missing data Instrumental variable estimation
2015/9/24
The purpose of this paper is to suggest estimators for the parameters of spatial models containing a spatially lagged dependent variable, as well as spatially lagged independent variables, and an inco...
Distributional Strategies for Games with Incomplete Information
Distributional Strategies Incomplete Information
2015/7/21
Distributional Strategies for Games with Incomplete Information.
Topologies on Information and Strategies in Normal‑Form Games with Incomplete Information
Topologies on Information Strategies in Normal Games Incomplete Information
2015/7/21
Topologies on Information and Strategies in Normal‑Form Games with Incomplete Information.
Limit Pricing and Entry Under Incomplete Information:An Equilibrium Analysis
Limit Pricing Entry Under Incomplete Information Equilibrium Analysis
2015/7/21
Limit Pricing and Entry Under Incomplete Information:An Equilibrium Analysis.
Solving the incomplete markets model with aggregate uncertainty using the Krusell–Smith algorithm
Dynamic stochastic models Heterogeneous agents Aggregate uncertainty Euler-equation methods Simulations Numerical solutions
2015/7/21
This paper studies the properties of the solution to the heterogeneous agents model in Den Haan et al. [2009. Computational suite of models with heterogeneous agents: incomplete markets and aggregate ...
INCOMPLETE CONTRACTS AND THE INTERNAL ORGANIZATION OF FIRMS
INCOMPLETE CONTRACTS INTERNAL ORGANIZATION FIRMS
2015/7/15
We survey the theoretical and empirical literature on decentralization within firms. We first discuss how the concept of incomplete contracts shapes our views about the organization of decision-making...
Asset Allocation with Endogenous Labor Income:The Case of Incomplete Markets
Asset Allocation Endogenous Labor Income Incomplete Markets
2015/5/13
Asset Allocation with Endogenous Labor Income:The Case of Incomplete Markets.
CREDIT RISK AND INCOMPLETE INFORMATION:: FILTERING AND EM PARAMETER ESTIMATION
contagion Default risk EM algorithm extended Kalman filter factor models partial information
2011/9/2
We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven def...
Additive habit formation: Consumption in incomplete markets with random endowments
Optimal Consumption Investment Utility Maximization Habit Formation Random Endowments Incomplete Markets
2011/7/4
We provide a detailed characterization of the optimal consumption
stream for the additive habit-forming utility maximization problem, in
a framework of general discrete-time incomplete markets and r...
TRADE AGREEMENTS, POLITICAL ECONOMY AND ENDOGENOUSLY INCOMPLETE CONTRACTS
Trade agreement political economy contracting cost uncertainty
2014/4/11
We develop a political economy model of trade agreements following along the line of Grossman and Helpman (1995a) yet incorporating contracting costs, uncertainty and multiple policy instruments. We s...
Uncertainty Aversion and a Theory of Incomplete Contract
uncertainty aversion strategic uncertainty coalition-formation stability core-criterion
2011/4/2
This paper is to provide a theoretical foundation of incomplete contract in an extensive game of multi-agent interaction. It aims to explain why rational agents may agree upon incomplete contracts eve...
Horizon dependence of utility optimizers in incomplete models
Incompleteness Brownian motion
2010/10/20
This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal terminal wealth are co...
Stock loans in incomplete markets
Stock loans indifference pricing illiquid assets incomplete markets
2010/10/22
A stock loan is a contract whereby a stockholder uses shares as collateral to borrow money from a bank or financial institution. In Xia and Zhou (2007), this contract is modeled as a perpetual Americ...
Optimal consumption and investment in incomplete markets with general constraints
Optimal consumption investment incomplete markets
2010/10/22
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with expo...
Asset pricing puzzles explained by incomplete Brownian equilibria
Incomplete markets equity premium puzzle
2010/10/21
We examine a class of Brownian based models which produce tractable incomplete equilibria. The models are based on finitely many investors with heterogeneous exponential utilities over intermediate co...