منابع مشابه
Optimal firm behavior under environmental constraints
The paper examines the Porter and induced-innovation hypotheses in a firm model where: (i) the firm has a vintage capital technology with two complementary factors, energy and capital ; (ii) scrapping is endogenous; (iii) technological progress is energy-saving and endogenous through purposive R&D investment; (iv) the innovation rate increases with R&D investment and decreases with complexity ;...
متن کاملConvex duality in optimal investment under illiquidity
We study the problem of optimal investment by embedding it in the general conjugate duality framework of convex analysis. This allows for various extensions to classical models of liquid markets. In particular, we obtain a dual representation for the optimum value function in the presence of portfolio constraints and nonlinear trading costs that are encountered e.g. in modern limit order market...
متن کاملIlliquidity Component of Credit Risk∗
We describe and contrast three different measures of an institution’s credit risk. “Insolvency risk” is the conditional probability of default due to deterioration of asset quality if there is no run by short term creditors. “Total credit risk” is the unconditional probability of default, either because of a (short term) creditor run or (long run) asset insolvency. “Illiquidity risk”is the diff...
متن کاملRegulating a Risk-Averse Firm Under Incomplete Information
We examine the optimal regulatory policy for a risk-averse rm when the rm is imperfectly informed about its e¢ ciency parameter for a project at the time of contracting. The rms risk aversion shifts the optimal regulatory policy from a xed-price contract to a cost-plus contract. The optimal regulatory policy entails undere¤ort by an ine¢ cient rm as in Lafont and Tirole (1986) and the e¤o...
متن کاملOptimal Illiquidity
We calculate the socially optimal level of illiquidity in a stylized retirement savings system. We solve the planner’s problem in an economy in which time-inconsistent households face a tradeoff between commitment and flexibility (Amador, Werning and Angeletos, 2006). We assume that the planner can set up multiple accounts for households: a perfectly liquid account and/or partially illiquid ret...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Mathematics Letters
سال: 2011
ISSN: 0893-9659
DOI: 10.1016/j.aml.2010.12.012