A two-person dynamic equilibrium under ambiguity
نویسندگان
چکیده
This paper describes a pure-exchange, continuous-time economy with two heterogeneous agents and complete markets. A novel feature of the economy is that agents perceive some security returns as ambiguous in the sense often attributed to Frank Knight. The equilibrium is described completely in closed-form. After identifying agents as countries, the model is applied to address the consumption home bias and equity home-bias puzzles. ? 2002 Elsevier Science B.V. All rights reserved. JEL classi#cation: D81; G11; G12; G15
منابع مشابه
Distribution Design of Two Rival Decenteralized Supply Chains: a Two-person Nonzero Sum Game Theory Approach
We consider competition between two decentralized supply chains network under demand uncertainty. Each chain consists of one risk-averse manufacturer and a group of risk-averse retailers. These two chains present substitutable products to the geographical dispensed markets. The markets’ demands are contingent upon prices, service levels, and advertising efforts of two supply chains. We formulat...
متن کاملMonetary and Fiscal Policy Interaction in Iran: A Dynamic Stochastic General Equilibrium Approach
Achieving the goals of price stability, sustainable economic growth, and the improvement of many economic variables require coordination between the monetary and financial authorities. In this study, a new modified Keynesian stochastic dynamic equilibrium general equilibrium model is introduced for Iran and in the framework of game theory, optimal policy of fiscal and monetary authorities are d...
متن کاملDynamic Choice under Ambiguity
This paper analyzes sophisticated dynamic choice for ambiguity-sensitive decision makers. It characterizes Backward Induction and a single-person version of Subgame Perfection via axioms on preferences over decision trees. Furthermore, it indicates how to elicit conditional preferences from prior preferences. The key axiom is a weakening of Dynamic Consistency, deemed Sophistication. The analys...
متن کاملVehicle Routing Problem in Competitive Environment: Two-Person Nonzero Sum Game Approach
Vehicle routing problem is one of the most important issues in transportation. Among VRP problems, the competitive VRP is more important because there is a tough competition between distributors and retailers. In this study we introduced new method for VRP in competitive environment. In these methods Two-Person Nonzero Sum games are defined to choose equilibrium solution. Therefore, revenue giv...
متن کاملBI-MATRIX GAMES WITH INTUITIONISTIC FUZZY GOALS
In this paper, we present an application of intuitionistic fuzzyprogramming to a two person bi-matrix game (pair of payoffs matrices) for thesolution with mixed strategies using linear membership and non-membershipfunctions. We also introduce the intuitionistic fuzzy(IF) goal for a choiceof a strategy in a payoff matrix in order to incorporate ambiguity of humanjudgements; a player wants to max...
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 2003