Showing papers in "Journal of Mathematical Economics in 2008"

TL;DR: In this article, the authors consider an extension of the Merton optimal investment problem, where the conditional distribution function of an agent's time-horizon is stochastic and correlated to returns on risky securities.

TL;DR: In this article, the authors used Gaussian hypergeometric functions to solve the Lucas-Uzawa model and showed that they can be used to model the transition dynamics of endogenous economic growth models.

TL;DR: In this article, the authors characterized the class of finite measure spaces (T, T, μ ) which guarantee that for a correspondence ϕ from ϕ to a general Banach space the Bochner integral of ϕ is convex.

TL;DR: The aim of this paper is to present a more entire picture of the theory moving from the individual raw experiences, through the inductive derivation of a view, to the implications for future behavior.

TL;DR: In this article, a weaker version of WARP, where the decision maker cannot select an alternative and reject another alternative in another context, was proposed, which is consistent with cyclic choices.

TL;DR: In this article, the optimal portfolio choice of utility maximizing agents in a general continuous-time financial market model under a joint budget and downside risk constraint is analyzed, and a closed-form solution to the optimization problem is provided.

TL;DR: In this paper, the heterogeneity of agents' heterogeneity is modelled both by the whole state space where each state corresponds to a different situation, and by the set of attainable states, which reflect uncertainty inherent both in decision-making and in external shocks.

TL;DR: In this paper, an individual does not have a preference relation on the set of lotteries and the primitive of choice is a choice probability that captures the likelihood of one lottery being chosen over the other.

TL;DR: In this paper, the authors compare theories that explain diverse belief by asymmetric private information (in short PI) with theories which postulate agents use subjective heterogenous beliefs (In short HB), and argue there is no a-priori conceptual basis to assuming PI about economic aggregates.

TL;DR: In this paper, the saturation property of a probability space can be used to routinely generalize results on the integration of Banach valued correspondences over a Loeb measure space to those over an arbitrary saturated probability space.

TL;DR: In this article, the optimal choice of risk in a two-stage tournament game between two players that have different concave utility functions is analyzed, and conditions are derived under which this linkage leads to a reversed likelihood effect so that the favorite (underdog) can increase his winning probability by increasing (decreasing) risk which is impossible in a completely symmetric setting.

TL;DR: In this article, a collective tournament between teams is considered, where each team may spend productive effort in order to increase its team's performance or sabotage the members of the opponent team.

TL;DR: In this paper, an axiomatic treatment of the Sugeno integral in terms of preferences is presented under uncertainty, and in an ordinal framework, which parallels some earlier derivations devoted to the Choquet integral.

TL;DR: In this paper, it is shown that the veto power of small coalitions in finite-dimensional, atomless economies can be extended to include the case of countably many commodities.

TL;DR: In this paper, a game-theoretical model of parimutuel betting markets with asymmetric information is presented, and all Bayesian-Nash equilibria of the simultaneous game are characterized depending on the number of bettors and the quality of their private information.

TL;DR: It is shown that if minimal rights first and consistency in the above characterization were replaced with composition up and null claims consistency, respectively, the constrained equal awards rule stands out as the only acceptable rule.

TL;DR: The analysis of competitive outcomes in TU market games of Shapley and Shubik [Shapley, L.S. as mentioned in this paper ] was extended to arbitrary TU games by adopting the C-stable set of Guesnerie and Oddou.

TL;DR: This article showed that in almost every economy with separable externalities, every competitive equilibrium can be improved by a package of anonymous commodity taxes that causes prices to adjust and markets to reclear at different levels of individual consumption.

TL;DR: In this article, the authors consider a pure exchange economy repeated from a fixed endowment for an indefinite number of periods and posit a learning rule which directs convergence to competitive equilibrium, where agents interpret the current (common) normalized utility gradient as a vector of prices to determine the implied wealth redistribution relative to their endowments.

TL;DR: In this article, the authors consider the problem of adjudicating conflicting claims in the context of a variable population and identify a number of properties that are lifted, such as equal treatment of equals, resource monotonicity, composition down and composition up, and show that continuity, anonymity and self-duality are not lifted.

TL;DR: In this article, the authors address the issue of the number of international monetary equilibria that the international finance model of Geanakoplos and Tsomocos (2002) possesses.

TL;DR: In this article, with continuity conditions on private beliefs about the bundle that will be delivered, the existence of a subjective expectations equilibrium is established, and the equilibrium is proven with respect to a subjective expectation equilibrium.

TL;DR: In this paper, the authors provide a weaker nonsatiation assumption than the one commonly used in the literature to ensure the existence of competitive equilibrium, which allows for satiation points inside the set of individually feasible consumptions.

TL;DR: In this article, a general framework for pricing perpetual American and real options in regime-switching Levy models is provided, where the payoff stream is a monotone function of the Levy process labeled by the state.

TL;DR: In this paper, a new characterization of competitive equilibrium allocations based on the veto mechanism is provided, and the welfare theorems are obtained as easy corollaries of the main result.

TL;DR: In this article, the authors extend the concepts of small group effectiveness and per capita boundedness to games without side payments and obtain results analogous to those for games with side payments, which can be applied to economies with nonconvexities, non-monotonicities, production, indivisibilities, clubs, and local public goods.

TL;DR: In this paper, the authors established the existence of a stationary equilibrium and a procedure to compute solutions to a class of dynamic general equilibrium models with two important features: occupational choice is determined endogenously as a function of heterogeneous agent type, defined by an agent's managerial ability and capital bequest.

TL;DR: In this paper, the existence of asset bubbles in an overlapping generations economy with borrowing constraints was studied, and it was shown that a monetary steady state (a steady state with bubbles) is constrained dynamically inefficient, whereas capital in the monetary steady states is underaccumulating relative to the quasi-golden rule.

TL;DR: In this paper, the authors consider an expected-utility-maximizing consumer living two periods who can invest in two assets, one of which is risk free, and examine the effect that a change in the opportunity set in the second period has on the optimal saving in the first period.

TL;DR: In this article, the authors proposed that equilibrium valuation is a powerful method to generate endogenous jumps in asset prices and showed that the persistence of a shock endogenously increases the magnitude of the induced price jump.