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A NOTE ON PAYMENTS IN THE LAB FOR INFINITE HORIZON DYNAMIC GAMES WITH DISCOUNTING
Payment in experiments Experimental economics
2015/7/15
We also establish that a simple payment scheme, paying participants for the last (randomly occurring)
round, robustly implements the predicted outcomes for any infinite horizon dynamic game wit...
Long-Horizon Mean-Variance Analysis:A User Guide.
Robust Predictions in Infinite-Horizon Games—an Unrefinable Folk Theorem
Robustness Higher-order beliefs Dynamic games Folk Theorem
2014/9/10
We show that in any game that is continuous at infinity, if a plan of action ai is played by a type ti in a Bayesian Nash equilibrium, then there are perturbations of ti for which ai is the only ratio...
A two-stage dynamic credit scoring model, based on customers’ profile and time horizon
credit scoring model logistic regression survival analysis
2011/8/22
As credit card usage has expanded rapidly worldwide, credit scoring has become a very important task for banks, which can benefit from reducing possible risks of default. Credit scoring models help de...
Hey Buddy, Do You Have the Correct Time (Horizon)?
practicing financial service professionals investment time horizon five standardized time-horizon definitions financial portfolio
2011/8/21
This paper describes a method used to clarify what practicing financial service professionals (FSPs) mean by the term "investment time horizon." Based on 22 FSPs who participated in focus group discus...
Horizon dependence of utility optimizers in incomplete models
Incompleteness Brownian motion
2010/10/20
This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal terminal wealth are co...
Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems
Transversality condition Dynamic optimization
2010/10/20
In this paper, we examine higher order difference problems. Using the "squeezing" argument, we derive both Euler's condition and the transversality condition. In order to derive the two conditions, tw...
Risk-Sharing Externalities and Its Implications for Equity Premium in an Infinite-Horizon Economy
Risk-sharing externalities endogenous income risks incomplete market participation
2010/12/6
This paper examines asset prices when risk-sharing externalities are incorporated into an infinite-horizon model where consumers are exposed to the endogenous income risks. It is shown that there exis...
Hedging: Scaling and the Investor Horizon
Hedging Effectiveness Scaling Volatility Modelling Forecasting
2011/3/31
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ra...
Optimal investment on finite horizon with random discrete order flow in illiquid markets
liquidity modelling discrete order flow optimal investment inhomogenous Poisson process dynamic programming
2010/11/1
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently nea...
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon
Black-Scholes Dupire formulae last passage times local martingales Part A infinite time horizon
2010/12/20
These notes are the first half of the contents of the course given by the second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They also correspond to topics studied by the first aut...
Limit of the Solutions for the Finite Horizon Problems as the Optimal Solution to the Infinite Horizon Optimization Problems
Limit Solutions Finite Horizon Problems Optimal Solution Infinite Horizon Optimization Problems
2010/12/17
We aim to generalize the results of Cai and Nitta (2007) by allowing both the utility and production function to depend on time. We also consider an additional intertemporal optimality criterion. We ...
Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems
Constructing Optimal Solutions Undiscounted Continuous-Time Infinite Horizon Optimization Problems
2010/12/17
We aim to construct the optimal solutions to the undiscounted continuous-time infinite horizon optimization problems, the objective functionals of which may be unbounded. We identify the condition un...
On the Persistence of Real Interest Rates: New Evidence from Long-Horizon Data
Real interest rate CCAPM local-to-unity half-life
2010/9/7
Since the paper of Rose (1988), a large literature has emerged on testing the stationarity of real interest rates using a variety of econometric procedures. In this study, we emphasize that the low po...