Showing papers in "Journal of Economic Dynamics and Control in 2004"

TL;DR: In this paper, the authors derived a second-order approximation to the solution of a general class of discretetime rational expectations models, and showed that the coe1cients on the terms linear and quadratic in the state vector are independent of the volatility of the exogenous shocks.

TL;DR: This paper developed a method for combining the power of a dynamic, stochastic, general equilibrium model with the flexibility of a vector autoregressive time-series model to obtain a hybrid that can be taken directly to the data.

TL;DR: In this paper, the authors introduce a risk measure called shortfall, motivated from second-order stochastic dominance, and discuss its relation to other commonly used risk measures such as standard deviation, VaR, lower partial moments, and coherent risk measures.

TL;DR: In this paper, the optimal portfolio weights for n risky assets and a riskless one were found, assuming that agents like odd moments and dislike even ones, considering the three first moments and allowing short sales.

TL;DR: In this article, consumption and investment decisions in a life-cycle model with habit formation, stochastic opportunity set, stochy wages and labor supply flexibility are examined. And the effects of the retirement date and of habits on optimal decisions are investigated.

TL;DR: This paper developed a projection algorithm to approximate equilibria in overlapping generations economies with a large number of generations and stochastic aggregate production, where the state space includes the distribution of wealth across generations.

TL;DR: In this paper, three approaches are presented for generating scenario trees for 3nancial portfolio problems based on simulation, optimization and hybrid simulation/optimization.

TL;DR: In this paper, a geometric approach to discrete time multi-period mean variance portfolio optimization is presented, which largely simplifies the mathematical analysis and the economic interpretation of such model settings.

TL;DR: In this paper, the authors derive optimal time-dependent adjustment rules from Shannon's (1948) information theory for continuous-time LQ prediction problem with a costly rate of information acquisition-processing.

TL;DR: The authors investigated the stable distribution as a model of profit in motion pictures and found that the skew of this distribution and its Paretian tails capture with great fidelity the statistics of the movies.

TL;DR: In this article, the optimal weights on indicators in models with partial information about the state of the economy and forward-looking variables are derived and interpreted, both for equilibria under discretion and under commitment.

TL;DR: In this article, an adaptive grid scheme is used for finding the global solutions of discrete time Hamilton-Jacobi-Bellman equations and an adapting iteration for the discretization of the state space is developed.

TL;DR: Using a dynamic model of learning, this paper showed that the implications of the Peso problem hypothesis are much more far reaching than the ones commonly advocated, implying most of the stylized facts about stock returns, including high risk premia, time-varying volatility, asymmetric volatility reaction to good and bad news, excess sensitivity of price reaction to dividend changes and thus excess return volatility.

TL;DR: In this article, the optimal portfolio problem with a value-at-risk constraint is formulated as a constrained utility maximization problem over a period of time and the dynamic programming technique is applied to derive the Hamilton-Jacobi-Bellman equation and the method of Lagrange multiplier is used to tackle the constraint.

TL;DR: In this paper, an intertemporal portfolio selection model for pension funds or life insurance funds that maximizes the inter-temporal expected utility of the surplus of assets net of liabilities is presented.

TL;DR: In this paper, the authors characterize a firm's adoption decision as the solution to a continuous time, infinite horizon dynamic programming problem, which gives rise to an ordinary differential equation that is highly non-linear and does not have a closed-form solution.

TL;DR: In this article, the authors derived an approximate solution to a continuous-time portfolio and consumption choice problem, where the expected excess return on a risky asset follows an AR(1) process, while the riskless interest rate is constant.

TL;DR: In this article, the authors studied the dynamic effects of allocating public funds between basic and advanced education, and identified the effects of their composition on aggregate efficiency and (in)equality.

TL;DR: In this article, the authors study the dynamic properties of a standard one-sector model of endogenous growth with inelastic labor supply, in which capital taxes are used to finance public production and consumption services.

TL;DR: In this article, the optimal design of the minimum guarantee in a defined contribution pension fund scheme is studied, and the impact of the main parameters, and particularly the sharing rule between the contributor and the pension fund, is analyzed.

TL;DR: In this paper, a dynamic susceptible-infected-recovered (SIR) epidemic model is used to identify optimal vaccination policy mixes for the flu season, and a perfect-foresight equilibrium outcome for vaccination behavior in an unregulated market is derived.

TL;DR: In this article, the authors proposed a multi-period binomial model for the pricing of European options in a multinomial model characterised by ill-defined states of the world.

TL;DR: In this paper, the authors investigated theoretical and practical aspects of options that are based upon two or more assets which are co-integrated, and empirically studied the cointegration effect using spread options based upon the S&P500 and the NASDAQ100.

TL;DR: In this paper, the authors summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules, with applications to the term structure of interest rates, the time inconsistency of optimal monetary policy, the effects of expectations on the variances of inflation and output, and on whether central banks should make their forecasts public.

TL;DR: The authors construct an international term structure model that has excellent empirical performance in tracking movements of exchange rates and currency returns and find that exchange rates are also affected by other factors that are not in the interest rate dynamics.

TL;DR: Dempster et al. as discussed by the authors developed an efficient algorithm to price European options in the presence of proportional transaction costs, using the optimal portfolio framework of Davis (in: Dempster, M.A.H., Pliska, S.R. (Eds.), Mathematics of Derivative Securities.

TL;DR: In this article, a general model of cash management, viewed as an impulse control problem for a stochastic money flow process, is presented, and the closed-form results can be used to determine optimal values for the target and trigger values numerically.

TL;DR: Ayong Le Kama (J. Econ. Dyn. Environ. Manage. 11 (1981) 101) as discussed by the authors draws attention to two possible outcomes (thresholds and limit cycles) that are overlooked in Ayong LeKama (but also in other recent works).

TL;DR: This paper examined the economic effects of immigration using a neo-classical growth model with overlapping dynasties, and showed that in a dynamic model with endogenous capital accumulation, shifts in factor prices that result from changes in immigration policy will be very modest.

TL;DR: This paper presents a survey of randomized quasi-Monte Carlo methods, and examines the effects of Box–Muller and inverse transformation techniques when they are applied to low-discrepancy sequences.