The attempt to match characteristics of asset pricing models such as the risk-free interest rate, equity premium and the Sharpe ratio for models with instantaneous consumption decisions in the context of stochastic growth models has not been very successful. Many recent versions of asset pricing...

Qualitative properties of optimal investment strategies for a firm with quadratic costs and non-concave revenues are analysed. Organising information in a bifurcation diagram, it is found that the organising centre of the diagram is a so-called swallow-tail singularity. This implies the...

The paper studies empirically and analytically growth and fluctuation of firm size distribution. An empirical analysis is carried out on several data sets on firm size, with emphasis on one-time distribution as well as growth-rate probability distribution. Two well-known scaling laws, Pareto's...

In this paper we solve a stochastic dynamic programming problem for the solution to a dynamic game in which the players select a mean level of control. The state transition dynamics are a function of the current state of the system and a multiplicative noise factor on the control variables of...

This paper presents a new numerical algorithm for solving Sylvester equation involved in higher order perturbation method used for solution of stochastic dynamic general equilibrium models. The new algorithm is better than methods used so far (esp. very popular doubling algorithm) in terms of...

We examine several named subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and Sunday Times. The data support conventional wisdom of a wealth distribution with power law-distributed right tail, and they allow us to calibrate a statistical equilibrium...

The purpose of this paper is to analyze how heterogeneous behaviors of agents influence the exchange rates dynamic in the short and long terms. We examine how agents use the information and which kind of information, in order to take theirs decisions to form an expectation of the exchange rate....

Combining two or more items and selling them as one good, a practice called bundling, can be a very effective strategy for reducing the costs of producing, marketing, and selling goods. In this paper, we design a system for a shop, to negotiate both the contents and the price of bundles of goods...

Modularity has recently become an important concept in economics and management science alike (Ulrich 1995; Baldwin and Clark 2000). However, it is not always clear what is meant by modularity as formal treatments are rare. The aim of this paper is threefold. First, we want to provide a rigorous...

The paper analyses the role of capital structure of firm on industry dynamics. Empirical evidence shows that policy interventions can alter for some the frims�cost of the capital. As a result firms on average are overcapitalized with a low capital productivity. Moreover, the market in which...