Similar Search Results

Kwon, Suehyun - 2019

This paper develops a dynamic programming method when the one-stage deviation principle in the sense of mechanism design literature doesn’t hold. The commonly used dynamic programming method is valid only if the one-stage deviation principle in the sense of mechanism design literature is...

Persistent link: https://www.econbiz.de/10011987941

Exploiting symmetry in high-dimensional dynamic programming

Kahou, Mahdi Ebrahimi; Fernández-Villaverde, Jesús; … - 2021

We propose a new method for solving high-dimensional dynamic programming problems and recursive competitive equilibria with a large (but finite) number of heterogeneous agents using deep learning. The "curse of dimensionality" is avoided due to four complementary techniques: (1) exploiting...

Persistent link: https://www.econbiz.de/10012581353

Pricing climate risk

Jensen, Svenn; Traeger, Christian - 2021

derive a general analytic formula for the "risk premium" governing the resulting climate policy. The formula generalizes … making under uncertainty. It clarifies the distinct roles of risk aversion, prudence, characteristics of the damage … formulation, and future policy response. We show that an optimal response to uncertainty substantially reduces the risk premium. …

Persistent link: https://www.econbiz.de/10012597858

Dynamic programming on a quantum annealer : solving the RBC model

Fernández-Villaverde, Jesús; Hull, Isaiah - 2023

We introduce a novel approach to solving dynamic programming problems, such as those in many economic models, on a quantum annealer, a specialized device that performs combinatorial optimization. Quantum annealers attempt to solve an NP-hard problem by starting in a quantum superposition of all...

Persistent link: https://www.econbiz.de/10014295022

Taxation under uncertainty problems of dynamic programming and contingent claims analysis in real option theory

Niemann, Rainer; Sureth, Caren - 2002

This article deals with the integration of taxes into real option-based investment models under risk neutrality and … risk averison. It compares the possible approaches dynamic programming and contingent claims analysis to analyze their …, dynamic programming and contingent claims analysis yield identical investment thresholds under risk neutrality. In contrast …

Persistent link: https://www.econbiz.de/10011409752

Dynamically optimal R&D subsidization

Grossmann, Volker; Steger, Thomas M.; Trimborn, Timo - 2010

Previous research on optimal R&D subsidies has focussed on the long run. This paper characterizes the optimal time path of R&D subsidization in a semi-endogenous growth model, by exploiting a recently developed numerical method. Starting from the steady state under current R&D subsidization in...

Persistent link: https://www.econbiz.de/10003998059

From separate accounting to formula apportionment : analysis in a dynamic framework

Radulescu, Doina (contributor) - 2007

Persistent link: https://www.econbiz.de/10003612722

Preserving the ocean circulation : implications for climate policy

Keller, Klaus; Tan, Kelvin; Morel, François; Bradford, … - 1999

model to investigate the optimal policy response to this risk. Adding the constraint of avoiding a thermohaline circulation …

Persistent link: https://www.econbiz.de/10009781694

Regime shifts and uncertainty in pollution control

Zeeuw, Aart de; Zemel, Amos - 2012

We develop a simple model of managing a system subject to pollution damage under risk of an abrupt and random jump in …

Persistent link: https://www.econbiz.de/10009489041

An unconventional FX tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …

Persistent link: https://www.econbiz.de/10014336426