Showing papers in "Journal of Mathematical Economics in 2005"

TL;DR: In this article, the authors developed the notion of a large type limit (LTL) describing the dynamical behavior of heterogeneous markets with many trader types and showed that generic and persistent features of adaptive evolutionary systems with many traders types are well described by the LTL, and that an increase in the intensity of adaption or in the diversity of beliefs may lead to deviations from an unstable RE fundamental benchmark and excess volatility.

TL;DR: In this paper, the authors analyse financial market models in which agents form their demand for an asset on the basis of their forecasts of future prices and where their forecasting rules may change over time, as a result of the influence of other traders.

TL;DR: In this paper, the authors studied the evolution of wealth shares of portfolio rules in incomplete markets with short-lived assets and derived necessary and sufficient conditions for the evolutionary stability of portfolio rule.

TL;DR: This article provided a formal characterization of the empirically significant notions of kurtotic distributions by formulating the concept of outer risk and showed that ordering distributions by outer risk is equivalent to the ordering of distributions resulting from unanimous choice by all individuals whose utility function has a negative fourth derivative.

TL;DR: Zivney et al. as mentioned in this paper presented a simple model to study the effects of rumours on markets and showed that if the rumour dies out long run equilibrium prices correspond to pre-rumour values.

TL;DR: In this paper, the authors revisited the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world and investigated a dynamic version of the model in which agents' decision rules are updated using genetic algorithms.

TL;DR: In this article, the authors present an example that demonstrates the incorrectness of Iimura's discrete fixed point theorem and present a corrected statement using the concept of integrally convex sets.

TL;DR: In this paper, the authors examine the properties of financial market dynamics, under different trading protocols, and highlight the importance of the institutional setting in shaping the dynamics of the market but also suggest that the latter can become the outcome of a complicated interaction between the trading protocol and the ecology of traders behaviors.

TL;DR: In this article, the authors study the set of equilibria that can be achieved by adding general communication systems to Bayesian games in which some information can be certified or, equivalently, in which players’ types are partially verifiable.

TL;DR: The authors analyzes the process of market selection of investment strategies in an incomplete market of short-lived assets and shows that an investor allocating wealth across the assets according to their conditional expected payoffs eventually accumulates total market wealth, provided the investor's strategy is asymptotically distinct from the portfolio rule suggested by the CAPM.

TL;DR: In this article, the authors characterize the Walrasian expectations or Radner equilibria by using the veto power of the grand coalition in a pure exchange economy with a finite set of traders, physical commodities and states of nature.

TL;DR: In this article, it was shown that agents with more accurate beliefs will accumulate more wealth and therefore dominate the economy, regardless of agents preferences over risk and in both complete and incomplete market economies.

TL;DR: In this paper, the authors construct a universal type space for a class of possibility models by imposing topological restrictions on the players' beliefs, in the sense that any compact and continuous possibility structure can be uniquely represented within it.

TL;DR: In this article, a method to prove existence of solutions to some moral hazard problems with infinite set of outcomes is presented. The argument is based on the concept of non-decreasing rearrangement and on a supermodular version of Hardy-Littlewood's inequality.

TL;DR: In this paper, the authors investigate a neoclassical economy with heterogeneous agents, convex technologies and idiosyncratic production risk, and they show that investment risk combined with precautionary savings generates rich effects that do not arise in the presence of pure endowment risk.

TL;DR: In this article, the existence and generic regularity of equilibria in a general equilibrium model of a completely decentralized pure public good economy was proved. But the authors did not consider the presence of several private goods and nonlinear production technology.

TL;DR: In this article, an upper bound for the number of blocks required to get from one imputation to another, provided that accessibility holds, is shown. But the bound depends only on the players in the TU game considered.

TL;DR: In this paper, the authors characterize Nash equilibria of large anonymous games by providing the following necessary and sufficient condition for an equilibrium distribution: for no subset K of actions more players play in K than have a best response in K to the given distribution.

TL;DR: In this paper, the special issue of the Journal of Mathematical Economics on Evolutionary Finance (JMEF) is devoted to the study of evolutionary finance, and the authors introduce the special issues of the journal.

TL;DR: In this paper, the authors study a two-sector optimal growth model with elastic labor supply and show that the modified golden rule is saddle-point stable when the investment good is capital intensive.

TL;DR: In this paper, the authors consider the generalization of Shapley and Scarf's (1974) model of trading indivisible objects (houses) to so-called multiple-type housing markets and show that the prominent solution for these markets, the coordinate-wise core rule, is second-best incentive compatible.

TL;DR: In this paper, the authors model asset markets as a game where assets pay according to an arbitrary returns matrix, investors decide on fractions of wealth to allocate to each asset, and prices result from market clearing.

TL;DR: In this article, the authors show that the KrepsYan theorem is valid for a locally convex topological space (X;�), endowed with an order structure, if for each closed convex cone C in X such that

TL;DR: In this paper, the authors consider a dynamic game with imperfect information between a borrower and a lender who must write a contract to produce a consumption good, and introduce the concept of a coalitional perfect Bayesian Nash equilibrium (cPBNE).

TL;DR: In this article, the authors introduced the concept of Mobius value associated with a sharing system and showed that this value is characterized by three basic axioms (efficiency, null player, and additivity).

TL;DR: In this paper, an isotone recursive approach to the problem of existence, computation, and characterization of nonsymmetric locally Lipschitz continuous (and, therefore, Clarke-differentiable) Markovian equilibrium for a class of infinite horizon multiagent competitive equilibrium models with capital, aggregate risk, public policy, externalities, one sector production, and incomplete markets was developed.

TL;DR: In this article, a duality-based analysis of compensated and uncompensated decisions under income and/or price risk is provided, in which the individual maximizes expected utility subject to a stochastic budget constraint.

TL;DR: In this paper, an existence theorem for a class of infinite-dimensional non-convex problems arising in symmetric and asymmetric information models is given and sufficient conditions for monotonicity of solutions are also given.

TL;DR: In this article, the relationship between the Shimer-Smith restrictions and equilibrium matching pattern is considered, and alternative proofs of their results on assortative matching are provided, as well as alternative conditions on the production function that guarantee assortive matching in these settings.

TL;DR: In this article, an embedding of a Nash equilibrium into a sequence of perturbed games is introduced, which achieves continuous differentiability of best responses by mollifying them over a continuously differentiable density with compact support.