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Uninsurable Risks of Floods, Deluges, Overflows and the System of Solution
Insurance pool Flood Flood fund Gross premium Uninsurable risk
2016/1/27
Uninsurable risks have significant impact on expenses of private and public sectors of economy. In spite of several commercial insurance products and high quality of insurance services current trend o...
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
2015/8/5
A solution method and an estimation method for nonlinear rational expectations
models are presented in this paper. The solution method can be used in forecasting and
policy applications and can hand...
Estimation and Solution of Linear Rational Expectations Models Using a Polynomial Matrix Factorization
Linear Rational Expectations Models Polynomial Matrix Factorization
2015/8/4
Estimation and Solution of Linear Rational Expectations Models Using a Polynomial Matrix Factorization.
Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods
Linear-quadratic approximation Nonlinear models Numerical solution methods
2015/8/4
The purpose of this article is to report on a comparison of several alternative numerical solution
techniques for nonlinear rational-expectations models. The comparison was made by asking
individual...
Facts and Figuring:An Experimental Investigation of Network Structure and Performance in Information and Solution Spaces
Networks Organizational Structure Performance
2015/4/29
Using data from a novel laboratory experiment on complex problem solving in which we varied the network structure of 16-person organizations, we investigate how an organization's network structure sha...
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
multi-period asset allocation quadratic utility function closed-form solution tan-gency portfolio
2012/9/14
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under we...
Inf-convolution of g_\Gamma-solution and its applications
CBSDE convex risk measure inf-convolution g -solution optimal investment
2011/3/31
A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used in more general case.
Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
Portfolio Optimization Optimisation Random Portfolio Monte Carlo Simplex
2010/10/21
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and conside...
A Formal Economic Theory for Happiness Studies: A Solution to the Happiness-Income Puzzle
Economics of Happiness Happiness-Income Puzzle Reference Group Theory Pareto Optimality
2010/7/2
This paper develops a formal economic theory that is mainly proposed to explain and study the Easterlin paradox — a puzzle at the heart of our lives: average happiness levels do not increase as countr...
System Reduction and Solution Algorithms for Singular Linear Difference Systems under Rational Expectations
system reduction algorithm models solutions in practice
2014/3/18
A first-order linear difference system under rational expectations is,AEyt+1|It =Byt +C(F)Ext|It ,Whereyt is a vector of endogenous variables; xt is a vector of exogenous variables; Eyt+1|It is the ex...
THE SOLUTION OF SINGULAR LINEAR DIFFERENCE SYSTEMS UNDER RATIONAL EXPECTATIONS
SINGULAR LINEAR DIFFERENCE SYSTEMS RATIONAL EXPECTATIONS
2014/3/18
Many linear rational expectations macroeconomic models can be cast in the first-order form, AEtyt+ 1 =Byt + CEtxt, if the matrix A is permitted to be singular. We show that there ...
RECURSIVE SOLUTION METHODS FOR DYNAMIC LINEAR RATIONAL EXPECTATIONS MODELS
SOLUTION METHODS DYNAMIC LINEAR RATIONAL EXPECTATIONS MODELS
2014/3/18
This paper develops recursive solution methods for linear rational expectations models. The underlying structural model is transformed into a state-space representation, which can...