This paper is concerned with estimation of functionals a latent weight function that satisfies possibly high‐dimensional multiplicative moment conditions. Main examples are stochastic discount factors in asset pricing, missing data problems, and treatment effects. We propose to estimate the by an information theoretic approach combined ℓ 1 ‐penalization technique deal conditions under sparsity....

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure systematic risk factors, which are typically assumed be strong. In this paper we consider two aspects of the APT. Firstly relate factors statistical factor model a theoretically consistent set defined by their conditional covariation with stochastic discount (mt) used price securities within inter-temporal...

gent claims. The ~wo factors are the instantaneous riskless (short-term) interest rate and the instantaneous variance of changes in this short-term interest rate. The model is attractive not only because it provides for closed form expressions in a two-factor world. but also because it explicitly allows for a stochastic volatility f.lctOr. As the parameters of the model can be estimated using b...

⎯This paper investigates the case where a failed product can be detected only through inspections. During the lifetime of the product, it is inspected once and then must be replaced by either corrective or preventive replacement depending on the result of the inspection. By incorporating a discount factor, a mathematical model is established to take the time value of costs into account. Based o...

Scrip systems provide a non-monetary trade economy for exchange of resources. We model a scrip system as a stochastic game and study system design issues on selection rules to match potential trade partners over time. We show the optimality of one particular rule in terms of maximizing social welfare for a given scrip system that guarantees players’ incentives to participate. We also investigat...

Background Tobacco smoking harms health, so why do people smoke and fail to quit? An explanation originating in behavioural economics suggests a role for time-discounting, which describes how the value of a reward, such as better health, decreases with delay to its receipt. A large number of studies test the relationship of time-discounting with tobacco outcomes but the temporal pattern of this...