Showing papers by "Central Economics and Mathematics Institute published in 1991"
TL;DR: The following typographical errors appeared in my paper "Optimal Pilfering Policies for Dynamic Continuous Thieves," Management Sci., Vol. 25, No. 6 (1979), pp. 535-542 as discussed by the authors.
Abstract: The following typographical errors appeared in my paper "Optimal Pilfering Policies for Dynamic Continuous Thieves," Management Sci., Vol. 25, No. 6 (1979), pp. 535-542. (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.)
36 citations
TL;DR: Let xr(k, A, 6) denote the kth approximate solution found by the method as applied to the problem (A, b) (this solution is produced after k iterations, or, which is the same, after k multiplications of A and recursively computed vectors).
31 citations
TL;DR: In this paper, the authors studied the risk-aversion behavior of an agent in the dynamic framework of consumption/investment decision making that allows the possibility of bankruptcy, where the agent's consumption utility is represented by a strictly increasing, strictly concave, continuously differentiable function in general case and by a HARA-type function in the special case treated in the paper.
Abstract: In this paper, we study the risk-aversion behavior of an agent in the dynamic framework of consumption/investment decision making that allows the possibility of bankruptcy. Agent’s consumption utility is assumed to be represented by a strictly increasing, strictly concave, continuously differentiable function in the general case and by a HARA-type function in the special case treated in the paper. Coefficients of absolute and relative risk aversion are defined to be the well-known curvature measures associated with the derived utility of wealth obtained as the value function of the agent’s optimization problem. Through an analysis of these coefficients, we show how the change in agent’s risk aversion as his wealth changes depends on his consumption utility and the other problem parameters, including the payment at bankruptcy. Moreover, in the HARA case, we can conclude that the agent’s relative risk aversion is nondecreasing with wealth, while his absolute risk aversion is decreasing with wealth only if he is sufficiently wealthy. At lower wealth levels, however, the agent’s absolute risk aversion may increase with wealth in some cases.
19 citations
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TL;DR: The great leap toward a market economy that is being forced on our society is a risky enterprise as mentioned in this paper, and we have been on the road to the market for a long time.
Abstract: The great leap toward a market economy that is being forced on our society is a risky enterprise. We have been on the road to the market for a long time, but which reference points are false and which reference points are true?
4 citations