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Blatt, Julien - 2018

This paper develops a dynamic model in which financially constrained agents search for markets which are subject to decreasing returns to scale. In equilibrium, agents only invest in markets with total capital below an endogenous threshold that depends on the equilibrium distribution of capital...

Persistent link: https://www.econbiz.de/10012915373

Risk Arbitrage Opportunities for Stock Index Options

Post, Thierry - 2019

To analyze the economic significance of pricing errors of stock index options, a system of linear inequalities is … developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general …

Persistent link: https://www.econbiz.de/10012899380

Multi-Asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics

Bergault, Philippe; Drissi, Fayçal; Gueant, Olivier - 2023

optimal execution and statistical arbitrage …

Persistent link: https://www.econbiz.de/10014256056

Joint Arbitrage Conditions for Stock Index Options and Volatility Index Options

Post, Thierry - 2023

We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by …

Persistent link: https://www.econbiz.de/10014351229

Von Neumann-Gale Model, Market Frictions, and Capital Growth

Babaei, Esmaeil - 2019

The aim of this work is to extend the classical capital growth theory pertaining to frictionless financial markets to models taking into account various kinds of frictions, including transaction costs and portfolio constraints. A natural generalization of the notion of a benchmark investment...

Persistent link: https://www.econbiz.de/10012895057

Existence and Uniqueness of Recursive Equilibria With Aggregate and Idiosyncratic Risk

Proehl, Elisabeth - 2020

In this paper, I study the existence and uniqueness of recursive equilibria in economies with aggregate and idiosyncratic risk. Rather than relying on compactness to establish existence, I exploit the monotonicity property of the equilibrium model and rely on arguments from convex analysis. This...

Persistent link: https://www.econbiz.de/10012851345

A Qualitative Approach to Markovian Equilibrium in Infinite Horizon Economies with Capital

Mirman, Leonard J.; Morand, Olivier F.; Reffett, Kevin L. - 2004

Using lattice programming and order theoretic fixpoint theory, we develop a powerful class of monotone iterative methods that provide a qualitative theory of Markovian equilibrium for a large class of infinite horizon economies with capital. The class of economies is large and includes...

Persistent link: https://www.econbiz.de/10014072102

Global stability conditions on the plane

Mukherji, Anjan (contributor) - 2003 - [Elektronische Ressource]

The paper considers price adjustment on the plane and derives global stability conditions for such dynamics. First, we examine the well-known Scarf Example, to obtain and analyze a global stability condition for this case. Next, for a general class of excess demand functions, a set of conditions...

Persistent link: https://www.econbiz.de/10001785602

Biodiversity and economic growth : stabilization versus preservation of the ecological dynamics

Antoci, Angelo; Borghesi, Simone; Russu, Paolo - 2004

Persistent link: https://www.econbiz.de/10002001315

Managing a Non-Cooperative Supply Chain with Limited Capacity

Parker, Rodney P.; Kapuscinski, Roman - 2015

We consider a two-stage serial supply chain with capacity limits, where each installation is operated by managers attempting to minimize their own costs. A multiple-period model is necessitated by the multiple stages, capacity limits, stochastic demand, and the explicit consideration of...

Persistent link: https://www.econbiz.de/10014040384