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Application of stochastic optimal control to financial market debt crises

Stein, Jerome L. - 2009

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10010276757

A critique of the literature on the US financial debt crisis

Stein, Jerome L. - 2010

analysis provides a theoretical explanation of the extent that the empirical measures in the literature can be useful. …

Persistent link: https://www.econbiz.de/10010266065

Why uncertainty matters: Discounting under intertemporal risk aversion and ambiguity

Traeger, Christian - 2012

comprehensive evaluation of uncertainty and uncertainty attitude changes this picture fundamentally. The analysis relies on the …

Persistent link: https://www.econbiz.de/10010280817

All Symmetric Equilibria in Differential Games with Public Goods

Jaakkola, Niko - 2020

We characterise the entire set of symmetric stationary Markov-perfect Nash equilibria (MPE) in a differential game of public good investment, using the canonical problem of climate change as an example. We provide a sufficient and necessary condition for MPE and show how the entire set of MPE is...

Persistent link: https://www.econbiz.de/10012834996

Tenure Choice, Portfolio Structure and Long-Term Care - Optimal Risk Management in Retirement

Fehr, Hans - 2019

We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...

Persistent link: https://www.econbiz.de/10012864931

Decomposing the Disposition Effect

Maier, Johannes; Fischer, Dominik - 2021

markets, investors’ information level, and their attention. Besides generating novel testable predictions, this analysis …

Persistent link: https://www.econbiz.de/10013324218

Impatience and Uncertainty : Experimental Decisions Predict Adolescents' Field Behavior

Sutter, Matthias - 2011

We study risk attitudes, ambiguity attitudes, and time preferences of 661 children and adolescents, aged ten to eighteen years, in an incentivized experiment and relate experimental choices to field behavior. Experimental measures of impatience are found to be significant predictors of...

Persistent link: https://www.econbiz.de/10013118350

Discounting in the Presence of Scarce Ecosystem Services

Zhu, Xueqin - 2019

Discounting has to take account of ecosystem services in consumption and production. Previous literature focuses on the first aspect and shows the importance of the relative price effect, for given growth rates of consumption and ecosystem services. This paper focuses on intermediate ecosystem...

Persistent link: https://www.econbiz.de/10012892067

Optimal debt and equilibrium exchange rates in a stochastic environment : an overview

Stein, Jerome L. - 2004

The focus is upon equilibrium real exchange rates, optimal external debt and their interaction, in a world where both the return on investment and the real rate of interest are stochastic variables. These theoretically based measures are applied empirically to answer the following questions:...

Persistent link: https://www.econbiz.de/10010261108

Risk Aversion, Patience and Intelligence : Evidence Based on Macro Data

Potrafke, Niklas - 2019

Using the new macro data on risk aversion and patience by Falk et al. (2018), I show that risk aversion and patience are related to intelligence: high-IQ populations are more patient and more risk averse than low-IQ populations. The correlation between patience and intelligence corroborates...

Persistent link: https://www.econbiz.de/10012890625