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Existence and Uniqueness of Recursive Equilibria With Aggregate and Idiosyncratic Risk

Proehl, Elisabeth - 2020

equilibrium model and rely on arguments from convex analysis. This methodology does not only give rise to a convergent iterative …

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

Strategic Generation Capacity Choice Under Demand Uncertainty : Analysis of Nash Equilibria in Electricity Markets

Gürkan, Gül - 2013

formulated as an equilibrium problem with equilibrium constraints (EPEC) and examples have been posed in the literature that have …

Persistent link: https://www.econbiz.de/10013077349

Generational Risk -- Is It a Big Deal? Simulating an 80-Period OLG Model with Aggregate Shocks

Hasanhodzic, Jasmina - 2017

costs can readily reduce equilibrium risk-free rates to essentially any desired level with little or no impact on the …

Persistent link: https://www.econbiz.de/10012970384

Generational Risk – Is It a Big Deal? Simulating an 80-Period OLG Model with Aggregate Shocks

Hasanhodzic, Jasmina - 2017

The theoretical literature presumes generational risk is large enough to merit study and that such risk can be meaningfully shared via appropriate government policy. This paper questions these propositions. It develops an 80-period OLG model to directly measure generational risk and the extent...

Persistent link: https://www.econbiz.de/10012953195

The Impact of Uncertainty on the European Energy Market : A Scenario Aggregation Approach

Brekke, Kjell Arne - 2013

decision problems under uncertainty, is used to build a large stochastic numerical equilibrium model of the Western European …

Persistent link: https://www.econbiz.de/10013072087

The impact of uncertainty on the European energy market : a scenario aggregation approach

Brekke, Kjell Arne; Golombek, Rolf; Kaut, Michal; … - 2013

decision problems under uncertainty, is used to build a large stochastic numerical equilibrium model of the Western European …

Persistent link: https://www.econbiz.de/10010212655

Risk aversion heterogeneity, risky jobs and wealth inequality

Cozzi, Marco - 2011

This paper considers the macroeconomic implications of a set of empirical studies finding a high degree of dispersion in preference heterogeneity. It develops a model with both uninsurable idiosyncratic income risk and risk aversion heterogeneity to quantify their effects on wealth inequality....

Persistent link: https://www.econbiz.de/10009683671

Analyzing Equilibrium in Incomplete Markets with Model Uncertainty

Yoshikawa, Daisuke - 2015

In this paper, we analyze equilibrium in incomplete markets of random endowments by adopting utility indifference … and a risk management policy. Using this framework, we demonstrate the existence of equilibrium. Moreover, we clarify the … endowments in equilibrium by indifference pricing depends on the level of risk aversion, initial capital, and agents' risk limits …

Persistent link: https://www.econbiz.de/10013018753

Optimal Management of Groundwater under Uncertainty : A Unified Approach

Krishnamurthy, Chandra Kiran - 2014

Discrete-time stochastic models of management of groundwater resources have been extensively used for understanding a variety of issues in groundwater management for agriculture. Most models used suffer from two drawbacks: relatively simplistic treatment of the cost of water extraction (remarked...

Persistent link: https://www.econbiz.de/10014162783

Optimal Management of Groundwater Under Uncertainty : A Unified Approach

Chandra, Kiran - 2014

Discrete-time stochastic models of groundwater management have been extensively used for understanding a variety of issues in groundwater management for agriculture. Most models used suffer from two drawbacks: relatively simplistic treatment of extraction cost (remarked in many papers in the...

Persistent link: https://www.econbiz.de/10013051680