-
作者：Challe, E
摘要：This paper uses a stylised asset-pricing model to show that sunspots may cause asset returns to be predictable, a widely documented feature of many speculative markets. This result parallels and extends previous works showing that sunspots render asset prices excessively volatile. (C) 2003 Elsevier Inc. All rights reserved.
-
作者：Ghirardato, P; Maccheroni, F; Marinacci, M
作者单位：University of Turin; University of Turin; Bocconi University; Bocconi University
摘要：The objective of this paper is to show how ambiguity, and a decision maker (DM)'s response to it, can be modelled formally in the context of a general decision model. We introduce a relation derived from the DM's preferences, called unambiguous preference, and show that it can be represented by a set of probabilities. We provide such set with a simple differential characterization, and argue that it is a behavioral representation of the ambiguity that the DM may perceive. Given such revealed a...
-
作者：Haimanko, O; Le Breton, M; Weber, S
作者单位：Southern Methodist University; Ben-Gurion University of the Negev; Universite de Toulouse; Universite Toulouse 1 Capitole; Southern Methodist University
摘要：In this paper we examine a group formation problem, where heterogeneous individuals partitioned themselves into communities, each choosing its own public project from the given space of feasible projects. The model is that of horizontal product differentiation where individuals display distinct preferences over the policy space. We consider the notion of efficient configuration that minimizes the total project-related costs and aggregate personalized costs of all individuals, and sustainable c...
-
作者：Ghosal, S; Morelli, M
作者单位：University of Warwick; University System of Ohio; Ohio State University
摘要：When agents are not price takers, they typically cannot obtain an efficient real location of resources in one round of trade. This paper presents a non-cooperative model of imperfect competition where agents can retrade allocations, consistent with Edgeworth's idea of recontracting. We show (a) there are Pareto optimal allocations, including competitive equilibrium allocations, that can be approximated arbitrarily closely when trade is myopic, i.e., when agents play a static Nash equilibrium a...
-
作者：Neeman, Z
作者单位：Boston University; Hebrew University of Jerusalem; Hebrew University of Jerusalem
摘要：Recent results in mechanism design show that as long as agents have correlated private information and are sufficiently risk neutral, it is possible to design mechanisms that leave agents with arbitrarily small information rents. We show that these full-rent-extraction results hinge on the implicit assumption that the agents' beliefs uniquely determine their preferences. We present an example of the voluntary provision of a public good in which this assumption is relaxed, and consequently, eve...
-
作者：Marinacci, M; Montrucchio, L
作者单位：University of Turin; University of Turin
摘要：We establish a calculus characterization of the core of supermodular games, which reduces the description of the core to the computation of suitable Gateaux derivatives of the Choquet integrals associated with the game. Our result generalizes a classic result of Shapley (Internat. J. Game Theory 1 (1971) 11) to infinite games. As an application, we show that this representation takes a stark form for supermodular measure games. (C) 2003 Elsevier Inc. All rights reserved.
-
作者：Milchtaich, I
作者单位：Bar Ilan University; Hebrew University of Jerusalem; Hebrew University of Jerusalem
摘要：Congestion externalities may result in nonoptimal equilibria. For these to occur, it suffices that facilities differ in their fixed utilities or costs. As this paper shows, the only case in which equilibria are always socially optimal, regardless of the fixed components, in that in which the costs increase logarithmically with the size of the set of users. Therefore, achieving a socially optimal choice of facilities generally requires some form of external intervention or cooperation. For hete...
-
作者：Jun, B; Vives, X
作者单位：INSEAD Business School; Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE); Korea University
摘要：We compare steady states of open loop and locally stable Markov perfect equilibria (MPE) in a general symmetric differential game duopoly model with costs of adjustment. Strategic incentives at the MPE depend on whether an increase in the state variable of a firm hurts or helps the rival and on whether at the MPE there is intertemporal strategic substitutability or complementarity. A full characterization is provided in the linear-quadratic case. Then with price competition and costly producti...
-
作者：Sertel, M; Yildiz, M
作者单位：Massachusetts Institute of Technology (MIT); Turk Standardlari Enstitusu (TSE); Turkish Academy of Sciences
摘要：Any allocation rule that picks only core allocations is manipulable via segmentation. That is, there exists an economy with a coalition of agents such that, once this coalition splits momentarily from the rest of the economy and institutes the allocation rule within itself, no matter which individually rational sub-allocation the complementary coalition picks, when we paste all the agents back together at their new endowments and apply the allocation rule to this collage economy, each member o...
-
作者：Thanassoulis, J
作者单位：University of Oxford
摘要：Using a model of substitutable goods I determine generic conditions on tastes which guarantee that fixed prices are not optimal: the fully optimal tariff includes lotteries. That is, a profit maximising seller would employ a haggling strategy. We show that the fully optimal selling strategy in a class of cases requires a seller to not allow themselves to focus on one good but to remain haggling over more than one good. This throws new light on the selling strategies used in diverse industries....
