We consider the estimation of dynamic binary choice models in a semiparametric setting, which per-period utility functions are known up to finite number parameters, but distribution shocks is left unspecified. This setup differs from most existing identification and literature for discrete models. To show we derive exploit new recursive representation unknown quantile function shocks. Our estim...

In strictly competitive games, equilibrium mixed strategies are invariant to changes in the ultimate prizes. Dixit & Skeath (1999) argue that this seems counter-intuitive. We show that this invariance is robust to dropping the independence axiom, but is removed if we drop the reduction axiom. The conditions on the resulting recursive expected-utility model to get the desired outcome are analogo...

We study marginal pricing and optimality conditions for an agent maximizing generalized recursive utility in a financial market with information generated by Brownian motion and marked point processes. The setting allows for convex trading constraints, non-tradable income, and non-linear wealth dynamics. We show that the FBSDE system of the general optimality conditions reduces to a single BSDE...

This review article describes recent literature on asset allocation, covering both static and dynamic models. The article focuses on the bond–stock decision and on the implications of return predictability. In the static setting, investors are assumed to be Bayesian, and the role of various prior beliefs and specifications of the likelihood are explored. In the dynamic setting, recursive utilit...

We examine the optimal portfolio selection problem of a single agent who receives an unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but construct a recursive computational algorithm which approximates the optimal one. We present an “intelligent” initial portfolio which requires, numerically,...

This paper is concerned with a stochastic optimal control problem where the controlled system is described by a forward–backward stochastic differential equation (FBSDE), while the forward state is constrained in a convex set at the terminal time. An equivalent backward control problem is introduced. By using Ekeland’s variational principle, a stochastic maximum principle is obtained. Applicati...

This paper develops a new set-membership estimation algorithm for the identification of time-varying parameters in linear models, where both additive and multiplicative uncertainties are considered explicitly. We show that a recursive algorithm we develop is capable of providing nonconservative approximations to the feasible solution set. Examples are considered to demonstrate the utility and e...

In this paper we argue that a large class of recursive contracts can be studied by means the conventional Negishi method. A planner is responsible for prescribing current actions along with distribution future utility values to all agents, so as maximize their weighted sum utilities. Under convexity method yields exact efficient frontier. Otherwise implementation re- quires contingent on public...

background & purpose: in the health sector, in addition to the important consequence of treatment, health system should meet the expectations regarding the desirability of services. expectations and perceptions of patients about the desirability of services play an important role in selecting hospitals, their loyalty to the organization & replanning to purchase. thus the present study has been ...