نتایج جستجو برای: discount factor
تعداد نتایج: 851118 فیلتر نتایج به سال:
This paper develops and studies a tough love model of intergenerational altruism. We model tough love by modifying the standard altruism model (Barro, Becker 1974) in two ways. First, the child’s discount factor is endogenously determined, so that low consumption at young age leads to a higher discount factor later in her life. Second, the parent evaluates the child’s life time utility with a c...
Most empirical and theoretical econometric studies of dynamic discrete choice models assume the discount factor to be known. We show the knowledge of the discount factor is not necessary to identify parts, or even all, of the payoff function. We show the discount factor can be generically identified jointly with the payoff parameters. On the other hand it is known the payoff function cannot be ...
A discounted-sum automaton (NDA) is a nondeterministic finite automaton with edge weights, valuing a run by the discounted sum of visited edge weights. More precisely, the weight in the i-th position of the run is divided by λ, where the discount factor λ is a fixed rational number greater than 1. The value of a word is the minimal value of the automaton runs on it. Discounted summation is a co...
When collusive agreements are illegal, oligopolies must rely on the threat of future price wars to sustain collusion. If firms’ objective is to maximize the present value of profits, the shadow of that threat changes with the interest rate. That is, the interest rate determines how much firms discount the future, and this affects the level of collusion that can be supported. In an environment o...
The stochastic discount factor (SDF) methodology is becoming quite popular in recent empirical asset pricing studies. It appears that this new methodology, as claimed, is going to replace traditional methodologies. In this paper, we point out that, because the current practice of the stochastic discount factor methodology ignores a fully specified model for asset returns, it suffers from two po...
Hansen and Jagannathan (HJ, 1991) describe restrictions on the volatility of stochastic discount factors (SDFs) that price a given set of asset returns. This paper compares the sampling properties of different versions of HJ bounds that use conditioning information in the form of a given set of lagged instruments. HJ describe one way to use conditioning information. Their approach is to multipl...
In this article we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on x2 statistics associated with null hypotheses that models are correct, our measures of model performance do not reward variability of discount factor proxies. One of our measures is des...
In the past decades, a range of discussions has been formed on coalition theory in economics and international sciences. The focus of this discussion is that in the absence of a superior power, and while some players want to expand their authorities, is it possible to cooperate or not. These theories agree on the principle that if such condition be a sequential game, cooperation will be perma...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید