-consistent Expectations Equilibria This Piece of Research Was Supported by the Austrian Science Foundation (fwf) under Grant Sfb#010 (`adaptive Information Systems and Modelling in Economics and Management Science'). -consistent Expectations Equilibria
نویسنده
چکیده
We modify the concept of consistent expectations equilibria introduced in Hommes and Sorger (1998) in two ways: (i) the consistency condition requires that the probability that the agents reject their perceived law of motion in any period does not exceed a given level and (ii) there may exist exogenous stochastic shocks. The concept is illustrated by two examples using a linear economic system. In one of the examples consistency implies rational expectations, in the other example it does not.
منابع مشابه
On a Conjectured Inequality for a Sum of Legendre Polynomials
∗This work was financially supported by the Austrian Science Foundation (FWF) grant SFB F013 and the Christian Doppler Research Association (CDG). S. Gerhold gratefully acknowledges a fruitful collaboration and continued support by the Austrian Federal Financing Agency and Bank Austria through CDG. M. Kauers was supported by the Austrian Science Foundation FWF under SFB F013 grant number F1305 ...
متن کاملUtility maximization in incomplete markets with random endowment
This paper solves a long-standing open problem in mathematical finance: to find a solution to the problem of maximizing utility from terminal wealth of an agent with a random endowment process, in the general, semimartingale model for incomplete markets, and to characterize it via the associated dual problem. We show that this is indeed possible if the dual problem and its domain are carefully ...
متن کاملEngel Expansions of q-Series by Computer Algebra
The q-Engel Expansion is an algorithm that leads to unique series expansions of qseries. Various examples related to classical partition theorems, including the RogersRamanujan identities together with the elegant generalization found by Garrett, Ismail and Stanton, have been described recently. The object of this paper is to present the computer algebra package Engel, written in Mathematica, t...
متن کاملThe Fundamental Theorem of Asset Pricing for Continuous Processes under Small Transaction Costs
A version of the fundamental theorem of asset pricing is proved for continuous asset prices with small proportional transaction costs. Equivalence is established between: (a) the absence of arbitrage with general strategies for arbitrarily small transaction costs ε > 0, (b) the absence of free lunches with bounded risk for arbitrarily small transaction costs ε > 0, and (c) the existence of ε-co...
متن کاملA Method for Determining the Mod-2k Behaviour of Recursive Sequences, with Applications to Subgroup Counting
We present a method to obtain congruences modulo powers of 2 for sequences given by recurrences of finite depth with polynomial coefficients. We apply this method to Catalan numbers, Fuß–Catalan numbers, and to subgroup counting functions associated with Hecke groups and their lifts. This leads to numerous new results, including many extensions of known results to higher powers of 2. ∗Research ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2007