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Technical Addendum to Market Culture:How Rules Governing Exploding Offers Affect Market Performance
Technical Addendum Market Culture Rules Governing Market Performance
2015/7/23
In the exploding offer treatment, when firms and applicants are all risk neutral, there is a perfect Bayesian equilibrium with efficient late matching. At this equilibrium, in period 7 firm j makes an...
Market Culture:How Rules Governing Exploding Offers Affect Market Performance
Market Culture Rules Governing Market Performance
2015/7/23
Many markets encounter difficulty maintaining a thick marketplace because they experience transactions made at dispersed times. To address such problems, many markets try to establish norms concerning...
Environment, Market Share, and Market Power
Marketing Strategy Market Share Market Power Fixed Effect Estimation
2014/11/27
In this paper we develop a process model relating market share to firm profits. In particular, we specify average price and average cost equations as a function of previous year market share position,...
Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
dynamic coherent acceptability index conic finance dynamic coherent risk measures transaction costs dividend paying securities
2012/6/5
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a versi...
BSDEs in Utility Maximization with BMO Market Price of Risk
BSDEs BMO Market Price of Risk
2011/7/20
This article studies quadratic semimartingale BSDEs arising in power utility maximization
when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...
Stability of exponential utility maximization with respect to market perturbations
Stability exponential utility market perturbations
2011/7/19
Abstract. We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...