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作者：Macaulay, Alistair; Shi, Chenchuan
作者单位：University of Surrey; University of Oxford; University of Oxford
摘要：This paper studies how wealth and aging affect portfolio choices in a life-cycle model with ambiguity aversion. Ambiguity aversion implies wealthier and older agents are endogenously more optimistic about risky asset returns, relative to poorer/younger agents. As life expectancy grows, old agents become even more optimistic, while young agents become more pessimistic, amplifying age gaps in portfolio composition. We find evidence for the mechanism in survey data on portfolios and subjective li...
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作者：Iwasaki, Kohei
作者单位：Kyoto University
摘要：This paper develops a model of a cryptocurrency by incorporating mining into the otherwise standard search-theoretic monetary framework. As usual, multiple equilibria exist. To obtain a sharp prediction on whether a cryptocurrency' s value will last in the future, I propose a notion of equilibrium refinement based on the feature that mining uses real resources. This refinement eliminates all equilibria where the value of the cryptocurrency is zero at some point in time or converges to zero ove...
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作者：de Souza, Gustavo; Luduvice, Andre Victor D.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：In the United States, workers must satisfy two requirements to receive unemployment insurance (UI): a tenure requirement of a minimum work spell and a monetary requirement of past minimum earnings. Using discontinuity of UI rules at state borders, we find that both requirements reduce unemployment and that the monetary requirement decreases the number of employers and the share of part-time workers, while the tenure requirement has the opposite effect. We develop a heterogeneous agents model w...
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作者：Eraslan, Hulya; Tang, Xun
作者单位：Rice University; National Bureau of Economic Research; University of Osaka
摘要：We study the identification and estimation of large network games in which individuals choose continuous actions while holding private information about their links and payoffs. Extending the framework of Galeotti et al., we build a tractable empirical model of such network games and show that the parameters in individual payoffs are identified under large-market asymptotics in which the number of individuals increases to infinity on a single large network. We then propose a semiparametric two...
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作者：Ghysels, Eric; Morgan, Jack
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：We formulate quantum computing solutions to a large class of dynamic nonlinear asset pricing models using algorithms, in theory exponentially more efficient than classical ones, which leverage the quantum properties of superposition, entanglement, and interference. The equilibrium asset pricing solution is a quantum state. We use quantum decision-theoretic foundations of ambiguity and model/parameter uncertainty to deal with model selection.
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作者：Gierlinger, Johannes; Milan, Pau
作者单位：Autonomous University of Barcelona; Barcelona School of Economics
摘要：We propose a model of categorization in financial markets where states are defined by payoff-relevant variables, but all securities are measurable with respect to strict subsets of these variables. This limits insurance against variable interactions: no combination of securities can compensate the absence of an instrument targeting a given set of variables. We provide a decomposition result that identifies the uninsurable component of income risk for any market. We derive a lower bound on the ...
