In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial endowments laying outside the solvency region but ending inside. Such a phenomenon was discovered by M. Rás...

Focus is here on coalitional games among economic agents plagued by aggregate pollutions of diverse sorts. Defecting players presumably pollute more than others. Then, granted convex preferences and technologies, the core is proven nonempty. In fact, under natural assumptions, a specific, computable core solution comes in terms of shadow prices on the said aggregates. Such prices may, in large ...

For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a shadow price, i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of an explicit counter-example, we show that shadow prices may fail to exist even in seemingly perfectly benign situations, i.e., for a log-investor trading in an...

The Internet search engine market has seen a proliferation of entrants over the past few years. Whereas Yahoo was the early market leader, there has been 138 TELANG, RAJAN, AND MUKHOPADHYAY entry by both lower-quality engines and higher-quality ones (such as Google). Prior work on quality differentiation requires that low-quality products have low prices in order to survive in a market with hig...

Interference across competing firms in RCTs can be informative about market structure. An experiment that subsidizes a random subset of traders who buy cocoa from farmers Sierra Leone illustrates this idea. Interpreting treatment-control differences prices and quantities purchased through model Cournot competition reveals differentiation between is low. Combining result with quasi-experimental ...

Using the exploratory spatial data analysis method to analyze level of residential land price, and calculate use urban intensive based on PSR model, exploring differences between price in city Hebei Province 2019 make relevant suggestions. The result shows (1) housing is characterized by differentiation circle structure with Langfang as center decreasing outward. (2) overall characteristics hig...

The ready-to-eat cereal industry is characterized by high concentration, high price-cost margins, large advertising to sales ratios, and numerous introductions of new products. Previous researchers have concluded that the ready-to-eat cereal industry is a classic example of an industry with nearly collusive pricing behavior and intense non-price competition. This paper empirically examines this...

We apply adjoint algorithmic differentiation (AAD) to the risk management of securities when their price dynamics are given by partial differential equations (PDE). We show how AAD can be applied to forward and backward PDEs in a straightforward manner. In the context of one-factor models for interest rates or default intensities, we show how price sensitivities are computed reliably and orders...