Similar Search Results

Expected utility optimization with convolutional stochastically ordered returns

Gauchon, Romain; Barigou, Karim - In: Risks : open access journal 12 (2024) 6, pp. 1-19

Expected utility theory is critical for modeling rational decision making under uncertainty, guiding economic agents as …

Persistent link: https://www.econbiz.de/10014636719

Genetic algorithm learning in a New Keynesian macroeconomic setup

Hommes, Cars H.; Makarewicz, Tomasz; Massaro, Domenico; … - In: Journal of evolutionary economics : JEE 27 (2017) 5, pp. 1133-1155

Persistent link: https://www.econbiz.de/10011895220

Solving stochastic optimization with expectation constraints efficiently by a stochastic augmented Lagrangian-type algorithm

Zhang, Liwei; Zhang, Yule; Wu, Jia; Xiao, Xiantao - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 2989-3006

Persistent link: https://www.econbiz.de/10014326332

Linear quadratic optimization for models with rational expectations

Amman, Hans M.; Kendrick, David A. - 1997

In this paper we present a method for using rational expectations in a linear-quadratic optimizationframework. Following the approach put forward by Sims, we solve the model through a QZdecomposition, which is generally easier to implement than the more widely used method of Blanchardand Kahn.

Persistent link: https://www.econbiz.de/10010361657