Showing 1 - 10 of 63
This paper presents a new method for the analysis of moral hazard principal–agent problems. The new approach avoids the stringent assumptions on the distribution of outcomes made by the classical first‐order approach and instead only requires the agent's expected utility to be a rational...
Persistent link: https://www.econbiz.de/10011235029
Persistent link: https://www.econbiz.de/10011026302
Static and dynamic games are important tools for the analysis of strategic interactions among economic agents and have found many applications in economics. In many games equilibria can be described as solutions of polynomial equations. In this paper we describe state-of-the-art techniques for...
Persistent link: https://www.econbiz.de/10008922930
We present a new way to solve generalized Nash equilibrium problems. We assume the feasible set to be compact. Furthermore all functions are assumed to be polynomials. However we do not impose convexity on either the utility functions or the action sets. The key idea is to use Putinar’s...
Persistent link: https://www.econbiz.de/10010847952
We present a new way to solve generalized Nash equilibrium problems. We assume the feasible set to be compact. Furthermore all functions are assumed to be polynomials. However we do not impose convexity on either the utility functions or the action sets. The key idea is to use Putinar’s...
Persistent link: https://www.econbiz.de/10010950331
The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of short-run equilibrium. Investors use general, adaptive strategies depending on the exogenous states of the world and the observed history of the game. The main goal is to...
Persistent link: https://www.econbiz.de/10005534202
Equilibrium allocations in models with incomplete markets are generally not Pareto-efficient, but some argue that the welfare losses from missing assets are small when time-horizons are long, agents are patient, and shocks are transitory. We show that even in the simplest infinite horizon model...
Persistent link: https://www.econbiz.de/10005537563
Asset markets are usually incomplete. Security exchanges often introduce derivative securities which partially complete the market. The marketmakers make profits through a bid-ask spread. We use computational methods to determine the profit-maximizing choice of options for a marketmaker and...
Persistent link: https://www.econbiz.de/10005537568
We consider a Lucas asset-pricing model with heterogeneous agents, exogenous labor income, and a finite number of exogenous shocks. Although agents are infinitely lived, endowments and dividends are time-invariant functions of the exogenous shock alone and are thus restricted to lie in a...
Persistent link: https://www.econbiz.de/10005370671
Transaction costs on financial markets may have important consequences for volumes of trade, asset pricing, and welfare. This paper introduces an algorithm for the computation of equilibria in the general equilibrium model with incomplete asset markets and transaction costs. We show that...
Persistent link: https://www.econbiz.de/10005370921