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Ninjbat, Uuganbaatar. "Essays on Mathematical Economics." Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2233.
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Hartley, Peter M. "Some topics in mathematical finance." Thesis, University of Bath, 2003. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.275788.
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Fatouros, Dimitrios Michael. "Mathematical modelling for international tax planning." Thesis, Imperial College London, 1998. http://hdl.handle.net/10044/1/7954.
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Popa, Gabriela. "A theoretical constructivisation of mathematical economics." Thesis, University of Canterbury. Mathematics and Statistics, 2003. http://hdl.handle.net/10092/5487.
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This thesis deals with some problems in mathematical economics, looked at constructively; that is, with intuitionistic logic. In particular, we look at the connection between approximate Pareto optima and approximate equilibria. We then examine the classically vacuous, but constructively nontrivial, problem of locating the exact point where a line segment crosses the boundary of a convex subset of RN. We also prove the pointwise continuity of an associated boundary crossing mapping.
Turning to a rather different aspect of the theory, we discuss Ekeland's Theorem giving approximate minima of certain functions, as well as some fundamental notions in related areas of optimisation. The thesis ends with a discussion of some problems associated with the possible constructivisation of McKenzie's proof of the existence of competitive equilibria.
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Partain, Roy Andrew. "Altruism, rationality, and alternative mathematical structures in economics." Thesis, Georgia Institute of Technology, 1992. http://hdl.handle.net/1853/28764.
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GIRIBONE, PIER GIUSEPPE. "Mathematical modeling in Quantitative Finance and Computational Economics." Doctoral thesis, Università degli studi di Genova, 2021. http://hdl.handle.net/11567/1046108.
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The first part of my PhD Thesis deals with different Machine Learning techniques mainly applied to solve financial engineering and risk management issues. After a short literary review, every chapter analyzes a particular topic linked to the implementation of these models, showing the most suitable methodologies able to solve it efficiently.
The following topics are therefore covered:
*) Data Fitting and Regression
*) Forecasting
*) Classification
*) Outlier Detection and Data Quality
*) Pricing
Every chapter provides the theoretical explanation of the model, the description of the implementation in a numerical computing environment and the solution for real case-studies.
Among others, the main technologies discussed in this work are the following:
*) Shallow Multi-Layers networks
*) Feed-forward and static networks
*) Radial Basis Functions (RBF) networks
*) Recurrent and Dynamic Neural Networks
*) Nonlinear Autoregressive (NAR) networks and Nonlinear Autoregressive networks with exogenous variables (NARX)
*) Deep Neural networks
*) Convolutional Networks (Conv Net)
*) Fuzzy C-Means (FCM) clustering
*) Self-Organizing Maps (SOM) and Kohonen networks
*) Neural Networks with Circular Neurons
*) Auto-Associative Neural Networks (AANN) and Auto-encoders for Nonlinear Principal Component Analysis (NLPCA)
The second part of my PhD Thesis deals with the problem of Optimal Control in Quantitative Finance and Labour Economics. Even if the fields of application are hugely different, they share the same mathematical instrument for their solution: the Bellman principle of optimality. After a short literary review that introduces the financial and economic problems solved in this part, the following four chapters show the most popular pricing techniques used to evaluate an option: closed formulas, Partial Differential Equations (PDE), Lattice methods and Stochastic Differential Equations (SDE). Chapter 6 faces the problem of early-exercise in option pricing and shows how to apply the principle of optimality in the models presented in the previous chapters.
The following pricing methodologies are covered:
*) Stochastic Trees and Lattice models (Cox-Ross-Rubinstein, Tian, Jarrow-Rudd, Drifted CRR, Leisen-Reimer, CRR Trinomial, Adaptive Mesh Method (AMM), Pentanomial and Heptanomial Trees)
*) PDE numerical schemes (Finite Difference Method - FDM, Finite Elements Method - FEM and Radial Basis Function - RBF)
*) SDE numerical solution (Longstaff-Schwartz Monte Carlo)
*) Quasi-closed formulas (Roll-Geske-Whaley, Barone-Adesi-Whaley, Bjerksund- Stensland model)
The last two chapters examine two important Labour Economics dynamic problems in the field of Optimal Control Theory: Implicit Contracts and Wage Bargaining. They share the same procedure for the solution which can be synthesized in these steps:
*) Infinite-horizon deterministic optimal control problem formulation. The solution for this kind of problem can be found applying the Hamilton – Jacobi – Bellman (HJB) Equation.
*) Design of a Markov Decision Chain for the numerical solution of the previous problem.
*) Infinite-horizon stochastic optimal control problem formulation. After the validation of the discretization scheme in the deterministic context, the Markov Decision Chain can be extended in order to solve the stochastic version of the problem. In particular, an Ornstein-Uhlenbeck process has been introduced in the model.
The third part of my PhD Thesis deals with Forecasting and Risk Management in Energy Markets.
The first chapter introduces the two studies presented in this field through a short literary review and the Regulatory framework.
The second chapter suggests some quantitative methods with the aim of managing the main risks of Guarantees of Origin (Gos). Given that Gos trading is rather recent, it implements an innovative integrated control system in order to handle market and counterparty risks.
The following techniques are covered:
*) Market Risk: Historical, parametric and Monte Carlo VaR with a special focus on volatility modeling (historical, implied, GARCH, SABR).
*) Liquidity Risk: Bid-Ask spread analysis.
*) Counterparty Risk: Probability of Default estimation starting from: listed CDS premium, traded bond prices and statement analysis (KMV model).
The third chapter deals with the energy spot prices forecasting problem. The aim of the study is to establish a time-horizon within which it is reasonable to predict prices. The state-of-the-art architectures based on Deep Learning methods are implemented in order to solve this econometric issue.
The analyzed techniques are:
*) A multi-layered Nonlinear Autoregressive (NAR) network (Endogenous variable: prices).
*) A multi-layered Nonlinear Autoregressive with an exogenous variable (NARX) network (Endogenous variable: prices - Exogenous variable: demand).
*) A Long Short-Term Memory (LSTM) network with one feature (prices).
*) A Long Short-Term Memory (LSTM) network with two features (prices and demand).
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Xotyeni, Zukisa Gqabi. "A study of the existence of equilibrium in mathematical economics." Thesis, Rhodes University, 2008. http://eprints.ru.ac.za/1114/.
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Catney, Denise Catherine. "Mathematical modelling of abbatoir condemnation data." Thesis, Queen's University Belfast, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.388044.
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Derakhshan-Nou, Masoud. "Mathematical economics and control theory : studies in policy optimisation." Thesis, SOAS, University of London, 1996. http://eprints.soas.ac.uk/29576/.
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Chapter 1 deals with the origin and limitations of mathematical economics and its implications for economic applications of optimal control theory. Using an historical approach, we have proposed a hypothesis on the origin and limitations of classical and modern mathematical economics. Similar hypotheses proposed by Cournot, Walras, von Neumann-Morgenstern and Debreu are shown not to be convincing. Conditions are established under which applications of mathematical methods, in general, and optimal control theory, in particular, may produce economic results of value. Chapter 2 concerns the formation and development of optimal control applications to economic policy optimisation. It is shown that the application of mathematical control theory (as compared with engineering control) may significantly contribute to mathematical economics (as compared to econometrics). The development of optimal growth theory has been examined as an example. Within the context of economic policy optimisation, a critical examination of the recent developments in macroeconomic modelling, the relationship between theory and observation, rational expectations, the Lucas critique and the problem of time- inconsistency is presented. Chapter 3 provides the first illustration of the main theme of the earlier chapters. Using the generalised Hamiltonian in Pontryagin's maximum principle, as well as using Bellman's dynamic programming, we have obtained a number of new results on the mathematical properties of optimal consumption under liquidity constraints. For example, we have demonstrated how the response of optimal consumption to liquidity constraints is conditioned by the consumer's intertemporal elasticity of substitution. Considered as a mathematical structure, this is shown to capture the effects of the following variables on the optimal consumption path; pure preference parameters, the interest rates variations and the structural parameters prevailing in the credit markets. In chapter 4, the dynamic Leontief model, which according to the conditions established in chapter 1, is one of the most successful applications of mathematical methods to economic policy analysis, is first considered as a control problem. We have then obtained the optimal consumption path for deterministic and stochastic dynamic Leontief models with substitute activities which are in turn formulated in deterministic and stochastic environments. Our solution uses Pontryagin's maximum principle. Bellman's method and Astrom's Lemma on stochastic dynamic programming.
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Oladi, Gholamreza. "Three essays in international economics." Thesis, McGill University, 2000. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=36784.
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In international economics literature, different variants of the Nash equilibrium have been used to formulate strategic and retaliative behavior. However, the negotiation process underlying the Nash equilibrium does not capture the notion of retaliation properly. We use the "contingent threat situation" (Greenberg, 1990) to reformulate three different international economic environments.First, a two-country, two-commodity model of trade is considered to reformulate the tariff retaliations. It is known that tariff retaliations lead to a Nash equilibrium outcome, a non-free trade outcome. We show, in the framework of the "theory of social situations", that the free trade equilibrium is supported by a "stable standard of behavior".
Second, the basic two-country, single commodity model is employed to formulate the interactive and retaliatory policies regarding the choice between foreign investment and immigration. Considering three different strategic environments, we investigate the outcomes supported by "stable standards of behavior" under these strategic scenarios. We also provide a critical examination of Jones-Coelho-Easton's proposition (Jones, Coelho, and Easton, 1986).
Third, a simple model of international debt is formulated using a strategic form game. In the game, a country in financial crisis and on the verge of default is requesting a new loan, and a bank, with exposure to the foreign country's debt, contemplates whether it should issue the new loan. We show that "issue a new loan" and "not default", a Pareto optimum pair of strategies, is stable. Interestingly, we get this result by using a non-cooperative negotiation process, offered by the "individual contingent threat situation".
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Lear, John B. "The effects of uncertainty on the economics of optimising control." Phd thesis, Department of Chemical Engineering, 1992. http://hdl.handle.net/2123/5999.
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Wu, Zhou. "Extension theorems and minimax inequalities with applications to mathematical economics." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq24767.pdf.
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Zaczkowski, Pawel Maciej. "Applications of stochastic optimisation methods to problems in mathematical economics." Thesis, University of Cambridge, 2014. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.648538.
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Haven, Emmanuel. "The use of fuzzy set theory in economics : applications in micro-economics and finance." Thesis, McGill University, 1995. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=23335.
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This paper attempts to show how fuzzy set theory can be used to weaken some of the stringent, rationality assumptions used in classical micro-economics. The objective of the paper is to see whether by introducing fuzziness we arrive to new results or just only generalizations of classical micro-economic results. We discover that the axiom of completeness is not needed anymore. Using fuzziness will also allow us to better explain the existing gap between delimiting possible choices and making the actual choice. We also introduce the notions of a fuzzy indifference set with a measurable area. The fuzzy utility surface is also discussed. The demand curve is now 'thick'.In the producer area, the classical hypothesis that maximum profit entails maximum utility of profit is now substantially weakened when introducing fuzziness.
Finally, we consider revealed preference within a fuzzy context.
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Donald, Stephen Geoffrey. "Estimation of heteroskedastic limited dependent variable models." Thesis, University of British Columbia, 1990. http://hdl.handle.net/2429/30691.
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This thesis considers the problem of estimating limited dependent variable models when the latent residuals are heteroskedastic normally distributed random variables. Commonly
used estimators are generally inconsistent in such situations. Two estimation methods that allow consistent estimation of the parameters of interest are presented and shown to be consistent when the latent residuals are heteroskedastic of unknown form. Both estimators use recent advances in the econometric literature on nonparametric estimation
and deal with the unknown form of heteroskedasticity by approximating the variance using a Fourier series type approximation.
The first estimator is based on the method of maximum likelihood and involves maximising
the likelihood function by choice of the parameters of the variance function approximation
and the other parameters of interest. Consistency is shown to hold in the three most popular limited dependent variable models — the Probit, Tobit, and sample selection models — provided that the number of terms in the approximation increases with the sample size. The second estimator, which can be used to estimate the Tobit and sample selection models, is based on a two-step procedure, using Fourier series approximations
in both steps. Consistency and asymptotic normality are proven under restrictions on the rate of increase of the number of parameters in the approximating functions.
Finally, a small Monte Carlo experiment is conducted to examine the small sample properties of the estimators. The results show that the estimators perform quite well and in many cases reduce the bias, relative to the commonly used estimators, with little or no efficiency loss.Arts, Faculty of
Vancouver School of Economics
Graduate
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Baroni, Marian Alexandru. "The constructive theory of Riesz spaces and applications in mathematical economics." Thesis, University of Canterbury. Mathematics and Statistics, 2004. http://hdl.handle.net/10092/5607.
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This thesis is an introduction to a constructive development of the theory of ordered vector spaces. Order structures are examined constructively; that is, with intuitionistic logic.
Since the least-upper-bound principle does not hold constructively, some problems that are classically trivial are much more difficult from a constructive standpoint. The first problem in a constructive development of a theory is to find appropriate counterparts of the classical notions. We introduce a positive definition of an ordered vector space and we extend the constructive notions of supremum, order locatedness, and Dedekind completeness from the real number line to arbitrary partially ordered sets. As a main result, we prove that the supremum of a subset S exists if and only if S is upper located and has a weak supremum-that is, the classical least upper bound.
We investigate ordered vector spaces and, in particular, Riesz spaces with order units and their order duals. For an Archimedean space, we obtain several constructive counterparts of a classical theorem that links order units and Minkowski functionals. We also examine linearly ordered vector spaces; it turns out that, as in the classical case, any nontrivial Archimedean space with a linear order is isomorphic to R.
Various notions of monotonicity for mappings and for preference relations are discussed. In particular, we examine positive operators and highlight the relationship between strong extensionality and strong positivity-a stronger counterpart of the classical positivity.
The last chapter is dedicated to applications in mathematical economics. We deal with the problem of the representation of a preference by a continuous utility function. Since strong extensionality is a necessary condition for such a representation, we examine in detail the relationship between continuity and strong extensionality and we obtain sufficient conditions for the latter property. We apply these results to obtain a theorem of representation for preferences with unit elements.
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Ajmone, Marsan Giulia. "New paradigms and mathematical methods for complex systems in behavioral economics." Thesis, IMT Alti Studi Lucca, 2009. http://e-theses.imtlucca.it/49/1/Ajmone%20Marsan_phdthesis.pdf.
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This dissertation is devoted to the mathematical investigation of properties of complex socio-economic systems, where individual behaviors, and their interactions,
exert a crucial influence on the overall dynamics of the whole system. In order to understand the importance of such an investigation, it is necessary to briefly analyze some conceptual aspects relating to the interaction between applied mathematics and socio-economic sciences. The main issue in this field consists in coupling the usual qualitative interpretation of socio-economic phenomena with an innovative quantitative description by means of mathematical equations. This dialogue, however difficult, is necessary to reach a deeper understanding of socio-economic phenomena, where deterministic rules may be stochastically perturbed by individual behaviors. The difficulty mostly stems from the fact that the
behavior of socio-economic systems, where the collective dynamics differ from the sum of the individual behaviors, is a paradigmatic example of a complex system. These aspects are discussed in the introductory section that follows. The mathematical framework presented in this dissertation is built by suitable developments of the so-called mathematical kinetic theory for active particles,
which proved to be a useful reference for applications in many fields of life sciences. The description of a system by the methods of the mathematical kinetic theory essentially implies the definition of the microscopic state space of the interacting entities and of the distribution function over this state space. In the case of living systems, the identification of the microscopic state space
requires the definition of an additional variable, called activity, which captures the specific dynamical aspects of the system under consideration. Entities of living systems, called active particles, may be organized into several interacting populations. This dissertation presents in a unified context the results of the doctoral work, mostly described in four peer-reviewed research papers that are included as appendices of this dissertation. The essential ideas of each of the papers are introduced and summarized next. The first three papers exploit tools and developments of the kinetic theory for active particles, while the fourth paper is based on a different tool, namely on agents’ methods. The first paper,[3], develops a mathematical framework based on the kinetic theory for active particles, which describes the evolution of large systems of interacting entities. These entities are carriers of specific functions, in this case economic activities. The mathematical framework is constructed by means of a suitable decomposition into functional subsystems, namely aggregations of entities, which have the ability of expressing socio-economic purposes and unctions. The paper shows how this framework can be implemented to describe some specific complex economic applications. Specifically, the applications are focused on
opinion dynamics and job mobility phenomena. These two examples offer a first insight into multi-scale issues: starting from the application, a preliminary mathematical
framework which takes into account both microscopic and macroscopic interactions is developed. This framework may be adapted to a great variety of complex phenomena. The second paper,[4], contains the initial elements of the development of the mathematical theory for complex socio-economic systems, already introduced in the first paper. The approach is based on the methods of the mathematical
kinetic theory for active particles. The key concept of functional subsystem is analyzed in detail, developing suitable mathematical models, which involve the decomposition of the overall system into functional subsystems. Different examples of socio-economic phenomena are taken into account, in order to provide an application background. The theoretical framework is then adapted to a specific application, dealing with opinion formation dynamics, which leads to numerical simulations, that show some preliminary interesting results. The third paper,[5], further develops the theory introduced in the first and second papers, with the setting of a mathematical model, where external actions play a key role. The aim of [5] consists in showing the emergence of collective behaviors or macroscopic trends from interactions at the microscopic scale, where agents are grouped into functional subsystems. The approach is, again, based on the methods of the mathematical kinetic theory for active particles: in this application the specific functions expressed by the interacting entities are socio-political activities subjected to the influence of media. Also in this case, numerical simulations show a direct application of the theoretical model, by means of specific settings of key parameters of the model. Finally, the fourth paper,[6], derives an agent-based model, which allows the investigation of the socio-economic phenomenon of fashion. The model introduces two classes of agents, common agents and trend-setters, which play the dynamics that rule the emerging behaviors investigated by means of numerical
simulations. Both the numerical and analytical tools used in this last paper differentiate it from the previous three works. Nevertheless, except for some conceptual differences, the approach is still focused on extracting emerging behaviors from individual-based interactions. The goal is to illustrate and implement different methodologies within the same research environment.
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Menzies, Nicolas Alan. "Mathematical Modeling to Evaluate Disease Control Policy." Thesis, Harvard University, 2014. http://dissertations.umi.com/gsas.harvard:11356.
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In this dissertation I assessed three distinct policy questions: the implications of introducing a new tuberculosis diagnostic in southern Africa, the potential value of research related to HIV treatment policy in South Africa, and the causal effect of state cigarette taxes imposed between 1996 and 2013 on health outcomes in the United States.
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Shing, Chak Hung, and 盛澤鴻. "Invariance of resource allocation under the following contractual arrangements: share contract, piece rate andtime rate." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31954686.
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Hamburg, Maryanna P. "Financial Mathematical Tasks in a Middle School Mathematics Textbook Series: A Content Analysis." University of Akron / OhioLINK, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=akron1258164585.
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Yang, Yibai. "Economic growth under endogenous technological change and time preference : empirical evidence from selected OECD countries." Thesis, The University of Sydney, 2012. https://hdl.handle.net/2123/28824.
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Technological change and time preference are two important factors affecting the mechanics of the process of economic growth, and the endogeneity of these factors receives increasing attention in recent studies. This thesis provides analyses of the roles of endogenous technological change and endogenous time preference in the growth process, With particular interests in long—run growth7 the organization and direction of innovation, equilibrium dynamics, and improvements of household welfare. The thesis consists of the following chapters.
Chapter 1 introduces the research. Chapter 2 reviews the related literature and the modelling foundations that are extended in the thesis.
Chapter 3 extends the basic Schumpeterian growth model to investigate the relation between the cooperative R&D decision by firms and the aggregate technological Change (productivity growth). In a duopolistic intermediate—good market, duopolistic firms are concerned With their individual R&D cost and profits in noncooperative R&D, Which yields a constant successful probability of innovation; whereas in cooperative R&D, the learning ability and the probability of successful innovation for the duopohsts increase as the level of technology grows, but the R&D cost and profits are shared equally. We show that the duopolists prefer to cooperate in R&D as the economy converges Closer toward the frontier, Which is consistent With our empirical evidence. Moreover, we analyse the dynamics of the convergence paths induced by both R&D cooperation options, implying that if the learning ability of the duopolists is sufficiently high, the economy converges toward a high—technology steady state near the frontier; however, the economy’s technology relative to the frontier may stop growing in a nonconvergence trap if the cost of imitation is relatively low.
Chapter 4 focuses on the direction of technological change and its effect on the growth process and individual welfare. This chapter proposes a directed technological change model where managerial skills become complementary to the production skills in intermediate—good production, and it provides the solutions of high— relative to low—skilled technologies and long-run growth rates. We derive several results from this framework. First, weak and strong equilibrium biases of technological change still hold for the management sectors such that an increase in the relative managerial skills raises the wage inequality between high— and low-skilled managers, which explains the empirical evidence in the US, Australian and British labour markets. Second, the transitional dynamics of the economy—wide technology implies that a sectoral management shock causes temporary growth in both the aggregate total factor productivity and the aggregate output, which is higher than the balanced growth path level. Third, we show that education but not on—the—job training can be a feasible scheme to acquire managerial skills if individuals are heterogeneous in their ability.
Chapter 5 investigates the determinants of time preference and their effects on equilibrium dynamics in the canonical neoclassical growth model, the AK model, and the real business cycle (RBC) model. Two types of marginal impatience endogenize the representative household’s discount function to alter its time preference: increasing (Koopmans—Uzawa type) and decreasing (Becker-Mulligan type), which are induced by current consumption and future—oriented capital, respectively. In the canonical neo—classical growth model, we derive a set of sufficient conditions for a unique steady state equilibrium, in which local stability still holds when marginal return to capital
decreases more slowly than marginal impatience. Moreover, based on functional forms and assumptions, this framework can be extended to the endogenous version of neo—classical growth: the AK model, which sustains long—run growth. In an application of the uncertainty version—the RBC model in a small open economy—the equilibrium
level of future—oriented capital is obtained in a reduced form, which simultaneously overcomes the nonstationarity problem. The positive relation (procyclicality) between the turnover of future—oriented and current consumption is also consistent with the empirical evidence from Australia.
Chapter 6 summarises the research results and points out directions of future research.
This thesis has implications for improving a household’s welfare. In Chapter 3, we find that the representative household in a country that converges towards the frontier along the cooperative R&D path can have higher welfare than the household in a country along the noncooperative R&D convergence path. Moreover, we claim that the government could contribute a lump—sum subsidy as a growth maximization policy for the economy to ameliorate the under contribution to learning ability of duopolistic firms resulted from the decentralized equilibrium, which could lead to growth and welfare maximization, simultaneously. Chapter 4 shows that subsidies to encourage education can increase the supply of one type of skill. If an individual belongs to this type of skilled group, the between-group wage inequality will increase this individual’s welfare if the bias of technological change is strong enough to offset the time cost of education. Finally, Chapter 5 demonstrates that expenditures by the household on particular goods reduce the remoteness of future pleasures. If the effect of these expenditures on the rate of time preference exceeds their counterpart in current utility, the household’s welfare will also be improved.
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Sgroi, Daniel. "Theories of learning in economics." Thesis, University of Oxford, 2000. http://ora.ox.ac.uk/objects/uuid:b8d832af-57e7-45c2-a846-b69de3d25ec0.
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How should we model learning behaviour in economic agents? This thesis addresses this question in two distinct ways. In the first set of chapters the assumption is that agents learn through the observation of others. They use Bayesian updating which together with specific informational assumptions can generate the problem known as herding with the potential for significant welfare losses. In the final set of chapters the agent is instead modelled as learning by example. Here the agent cannot learn by observing others, but has a pool of experience to fall back on. This allows us to examine how an economic agent will perform if he sees a particular economic situation (or game) for the first time, but has experience of playing related games. The tool used to capture the notion of learning through example is a neural network. Throughout the thesis the central theme is that economic agents will naturally use as much information as they can to help them make decisions. In many cases this should mean they take into consideration others' actions or their own experiences in similar but non-identical situations. Learning throughout the thesis will be rational or bounded-rational in the sense that either the best possible way to learn will be utilized (so players achieve full rational play, for example, through Bayesian updating), or a suitable local error-minimizing algorithm will be developed (for example, a rule of thumb which optimizes play in a subclass of games, but not in the overall set of possible games). Several themes permeate the whole thesis, including the scope for firms or planners to manipulate the information that is used by agents for their own ends, the role of rules of thumb, and the realism of current theories of learning in economics.
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Perry, Stanley Foster. "Distributed Economic Systems with Agents that Learn." PDXScholar, 1992. https://pdxscholar.library.pdx.edu/open_access_etds/1271.
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Economic systems are distributed in the sense that economic agents make decisions without any central control. Prices, quantities, wealth, and market structure emerge from the interaction of agents acting in their own self interest. The concepts and language of systems science are used to define economic systems in a manner that captures and articulates the distributed nature of economic systems. Further, the systems definition permits multiple views of the economic system, and in addition, allows the agents to "step outside" the system in order to study it. Economic systems are defined in such a way that it is feasible to construct artificial economic systems, and in particular, ones that are composed of self-interested agents that operate according to principles that are prescribed by the researcher. An artificial economic system was actually constructed and tested in a computer environment. The model was verified with reference to several theoretical models such as static and adaptive expectations. The system constructed allows up to 1000 agents to interact without any central control. A computer "blackboard system" is used as the architecture for providing common information to the agents in the artificial economic system. The blackboard design successfully allows complex agents to compete and trade in an artificial economic system created by the researcher. Prices, quantities, wealth, and market structure emerge naturally in the artificial economy that depend on the characteristics and prescribed strategies of the agents in the system. After a transition period, the trading frequently produces price and quantity time series that have the characteristics of a random walk, a condition that is well known in real world markets. Three classes of producer agents were used in these artificial economic systems: optimizing agents that incorporate neural networks, satisficing agents that incorporate very simple rule-based approaches, and Stackelberg agents that have knowledge about the consumers in the system, but do not have knowledge about their competitor's strategies or intentions. Neural networks are used to model the behavior and strategies of economic agents that can be said to learn, i.e., those agents that develop general principles for adapting to changing market conditions that transfer across markets. The focus of this research was on the producers in the system. The consumption side of the economic system was represented by a set of simple consumers. An important result emerging from this research is that at least one agent out of four in these experiments with accurate knowledge about market demand increases the wealth of the system as a whole. Markets containing a single Stackelberg or neural agent produced far more wealth than markets composed only of satisficing agents. However, the agents with knowledge do not necessarily capture the highest share of the wealth. The success of individual agents depends on the agent's trading strategy, as expected, and in addition depends on the combination of agents in the system. Certain strategies appeared to be flexible while others were brittle, and were easily foiled by changing the agents in the market, or by changing the market conditions. Earlier studies attempted to use neural networks to simulate an entire economic system, but were rejected because the organizing principles of the two systems are not analogous. Additionally, neural networks were successfully tested for solving various economics problems that were not related to the simulation of economic systems. Neural networks were found to effectively solve problems with missing and redundant data that are not directly solvable with well known methods such as least squares.
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Cheix, Mathilde. "Jevons, Debreu and the foundations of mathematical economics : an historical and semiotic analysis." Thesis, University of St Andrews, 1997. http://hdl.handle.net/10023/15231.
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This thesis analyses whether the criticism that 20th c economic theory is too abstract, and lacking in economic meaning as a consequence of being mathematical, is justified, from a methodological perspective that is epistemological in character (cf ch2 and Cheix, 1996). Using, firstly the 'external' historical approach, that compares. Economics to the sciences (especially Mathematics chs 5, 6, 7, 8); and, secondly, the semiotic approach, that enquires into the contribution of notation to meaning, the thesis examines the historical and cognitive raison d'etre of mathematics in Economics. The thesis identifies (chs l, 2) 20th c mathematical-economics with model building and neoclassical theory. The main lines of argument are developed with reference to Jevons' Theory of Political Economy and Debreu's Theory of Value. This limitation is practical but not unnecessarily restrictive as the authors are major neo-classical writers, and mathematical economics has developed along the lines they envisaged. Further, neo-classical ideas have established themselves as paradigms of 20th c Economics, and have influenced theories in the social sciences and their mathematization. It is shown that Jevons (ch5) used the symbolism, and in particular, the linearity property of differentials to unify economic theory and the sciences on the pattern of Physics. For him however, the mathematization of economics involved also empirical and experimental inquiries using statistics. For the case of Debreu (ch6) it is shown how he used set-theoretic formalism and fixed point theorems to provide equilibrium theory with logico-mathematical content. This content is viewed as an axiomatic and deductive structure implying equilibrium. The definitions of mathematical economic models discussed in Part 3 show that economics was mathematized through influences not only from Physics, but also from Logic, and, more widely from the 20th c (socio-cultural) trend of model building in science. It is argued that this latter trend is not exclusively, or even necessarily, rooted in neo-classical economics. The semiotic analysis of chs 5 and 6 reveals how notations connect different interpretative levels ('isotopies') of mathematical theories, and how inconsistences may arise between these levels. The general conclusion of the thesis given certain methodological provisos, is that mathematization, in itself, is not a cause of, or explanation for, the emptiness of economic theories.
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Tsuneki, Atsushi. "Essays on the measurement of waste and project evaluation." Thesis, University of British Columbia, 1987. http://hdl.handle.net/2429/27554.
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Harberger's methodology for the measurement of deadweight loss is reformulated in a general equilibrium context with adopting the Allais-Debreu-Diewert approach and is applied to various problems with imperfect markets. We also develop second best project evaluation rules for the same class of economies.
Chapter 1 is devoted to the survey of various welfare indicators. We especially discuss the two welfare indicators due to Allais, Debreu, Diewert and Hicks, Boiteux in relation to Bergson-Samuelsonian social welfare function.
We first show that these two measures generate a Pareto inclusive ordering across various social states, but they are rarely welfarist, so that both are unsatisfactory as Bergson-Samuelsonian social welfare functions. We next show that second order approximations to the Allais-Debreu-Diewert measure of waste can be computed from local information observable at the equilibrium, whereas second order approximations to the Hicks-Boiteux measure of welfare or to the Bergson -Samuelsonian social welfare function require information on the marginal utilities of income of households, which is unavailable with ordinal utility theory. Finally, we give a diagrammatic exposition of the two measures and their approximations to give an intuitive insight into the economic implications of the two measures.
Chapter 2 and Chapter 3 study an economy with public goods. In Chapter 2, we compute an approximate deadweight loss measure for the whole economy when the endogenous choice of public goods by the government is nonoptimal and the government revenue is raised by distortionary taxation by extending the Allais-Debreu-Diewert approach discussed in Chapter 1. The resulting measure of waste is related to indirect tax rates, net marginal benefits of public goods, and the derivatives of aggregate demand and supply functions evaluated at an equilibrium. In Chapter 3, cost-benefit rules for the provision
of a public good are derived when there exist tax distortions. We derive the rules as giving sufficient conditions for Pareto improvement, but we also discuss when these rules are necessary conditions for an interior social optimum. When indirect taxes are fully flexible but lump-sum transfers
are restricted, we recommend a rule which generalized the cost-benefit rule due to Atkinson and Stern (1974) to a many-consumer economy. When both indirect taxes and lump-sum transfers are flexible, we suggest a rule which is based on Diamond and Mirrlees' (1971) productive efficiency principle. When only lump-sum transfers are variable, we obtain a version of the Harberger (1971)-Bruce-Harris (1982) cost-benefit rules.
Chapters 4 and 5 study an economy with increasing returns to scale in production and imperfect competition. In Chapter 4, we discuss a methodology for computing an approximate deadweight loss due to imperfect regulation of monopolistic industries by extending the Allais-Debreu-Diewert approach to incorporate the nonconvex technology. With the assumption of the quasi-con-cavity of production functions and fixed number of firms, we can derive an approximate deadweight loss formula which is related to markup rates of firms, and the derivatives of aggregate demand functions, factor supply and demand functions and the derivatives of marginal cost functions. We also discuss various limitations of our approach and the relation between our work and that of Hotelling (1938). In Chapter 5, we consider cost-benefit rules of a large project applicable in the presence of imperfect competition. We show that the index number approach due to Negishi (1962) and Harris (1978) can be extended to handle situations with imperfect competition.Arts, Faculty of
Vancouver School of Economics
Graduate
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Baudewyns, Didier. "Economie urbaine et localisation: essais sur les interactions stratégiques et spatiales des agents économiques." Doctoral thesis, Universite Libre de Bruxelles, 1997. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/212157.
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Manna, Ester. "Essays on behavioural economics." Doctoral thesis, Universite Libre de Bruxelles, 2014. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209225.
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Traditional economic theory assumes that individuals are self-interested. They only care about their own well-being and disregard the impact of their actions on the others. However, the assumption of selfish individuals is unable to explain a number of important phenomena and puzzles. Individuals frequently engage in actions that are costly to themselves with noapparent reward. Behavioural economics provides plausible explanations for these actions.
Individuals can be “boundedly rational" (Simon, 1955, and Kahneman et al. 1982) and/or can be driven by altruistic, equity and reciprocity considerations (see for an overview Fehr
and Schmidt, 2006). Over the past decade, researchers have applied behavioural economics
models to the study of organisations and how contracts should be designed in the presence
of non-standard preferences and asymmetric information or incomplete contracts (see for
an overview of the literature Köszegi, 2014).
In my current research, I try to be at the forefront of these new behavioural economics
applications into traditional industrial organisation and contract theory themes. The usual prescriptions of standard models can be misleading if potential differences in the agents' preferences are overlooked. Behavioural economics can make great progress if it takes into proper accountmarket and organisational features.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
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Xu, Li Da. "Fuzzy multiobjective mathematical programming in economic systems analysis: design and method." PDXScholar, 1986. https://pdxscholar.library.pdx.edu/open_access_etds/471.
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Economic systems analysis is a systems analysis technique of setting out the factors that have to be taken into account in making economic systems decisions. The inquiring and operational systems of the technique are almost exclusively designed for well-structured systems. In review of economic systems analysis against systems thinking, there is a growing tendency to discard the analytical approach as inappropriate for dealing with an ill-structured issue. Therefore, economic systems analysis needs both the inquiring and operational systems which are appropriate for ill-structured systems. The foregoing leads to the introduction of an extensive methodology. Mainly, the weakness of economic systems analysis methodology can be traced to the philosophical paradigm upon which the technique is based. In this study, four main aspects of both the inquiring and operational systems of economic systems analysis are being explored: (1) A new philosophical paradigm is proposed as the foundation of general methodology in place of the traditional Newtonian-Kantian inquiring system. (2) The new philosophical paradigm needs new problem formulation and analysis space; therefore, a multidimensional, synergetic, and autopoietic model is proposed for systems synthesis and systems analysis. (3) The new philosophical paradigm is characterized as a Singerian inquiry, and as a result, Marglin's multiobjective analysis is replaced by a Singerian multiobjective analysis. (4) Markov communication theory and fuzzy sets theory are proposed as tools for handling complexity. Markov communication theory and fuzzy sets theory are introduced for systems design and multiple objective analysis. This study reports on the first application of a Singerian fuzzy multiobjective mathematical algorithm in economic systems analysis, concluding that fuzzy systems theory, especially Markov communication theory, can realize approximate reasoning in economic systems analysis. Fuzzy modeling offers a deeper understanding of complexity and a means of expressing the insights that result from that understanding; moreover, it provides a means of incorporating subjectivity and adaptation. Therefore, fuzzy modeling increases the validity of the systems approach for dealing with ill-structured systems. The proposed method represents an important theoretical improvement of Marglin's approach. The results, however, also hold practical importance, for they are of practical interest to systems analysts who would improve systems design and multiobjective analysis.
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Murgoci, Agatha. "Essays in mathematical finance." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-427.
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Do, Viet Dung 1975. "Three essays in the economics of globalization." Thesis, McGill University, 2009. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=111903.
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This thesis consists of three essays which explore different economic issues emerging in today's globalized world economy. Using a model of outsourcing by monopolistically competitive firms, the first essay shows that, even in the case of flexible domestic wages, international outsourcing (and/or re-location of plants to a low-wage economy) by home firms may worsen the welfare of the home country and reduce the profits of all firms in the industry, even though it is individually rational for each firm to choose to outsource. It shows that if a social planner for the home country can choose the extent of international outsourcing, his optimal choice will not coincide with the equilibrium outcome under laissez-faire. A wage subsidy may improve welfare. When the wage in the home country is rigid we show that outsourcing is welfare-improving for the home country if and only if the sum of the "trade creation" effect and the "exploitation effect" exceeds the "trade diversion" effect of the access to the low-wage labour in the foreign country. The essay also assesses the model in a two-period framework, where each domestic firm faces the choice between outsourcing (or re-location) in the first period, or in the second period. Delaying outsourcing can be gainful because the fixed cost of outsourcing may fall over time. On the other hand, delaying means the firm's variable production cost in period 1 will be higher than that of rivals who are outsourcing. The equilibrium of this two-period game may involve some firms outsourcing in period 1, while others will outsource in period 2, even though ex-ante they are identical firms. Under monopolistic competition, in equilibrium, the sum of discounted profits is identical for all firms. Again, a social planner for the home country may choose a different speed of outsourcing than the speed achieved by an industry under laissez-faire.The second essay explores the market for fair-trade products. It employs a duopoly model involving a firm producing a fair-trade product in competition against a conventional firm producing a standard product. The concept of "economic identity" (Akerlof and Kranton, 2000) is used to model consumers' demand for fair-trade products. The essay shows how, in the short run, the parameters of the identity function can impact the equilibrium prices, and in the medium run, how they impact the conventional firm's choice of its position in the product space. In the long run, however, the fair-trade firm may be able to influence the parameters of the identity function, for its own advantage.
The last essay uses the contest model (Tullock, 1980, Rowley et al., 1988, Hillman and Riley, 1989, Nitzan, 1994) to assess welfare effects of bilateral liberalization of government procurement. It shows that there exists a single condition that ensures active participations of all firms in all contests. When this condition is violated, i.e. under a dominant-country case, the dominating country always gains from trade liberalization, while welfare of the dominated country improves only if its corporate tax is sufficiently high. Under full participation of all firms, i.e. no country dominates the markets, and countries are partially symmetric, there exist conditions where bilateral liberalization is mutually beneficial to both countries. When countries are completely asymmetric, it is showed that a country may gain from bilateral trade liberalization if its tax rate is sufficiently high, while the tax rate of the other country is sufficiently low. The results obtained in this essay have shed lights on the current position of negotiations on liberalizing government procurement within the WTO. They suggest plurilateral agreements on government procurement could be formed among countries with similar economic conditions. Such agreements, however, are hard to reach between countries with a large degree of economic asymmetry.
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Melegaro, Alessia. "Epidemiology, mathematical modelling and economics of Streptococcus pneumoniae : assessing the potential impact of vaccination." Thesis, University of Warwick, 2005. http://wrap.warwick.ac.uk/61760/.
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This thesis explores aspects of Streptococcus pneumoniae (pneumococcus) epidemiology and control, in view of the possible widespread introduction of conjugate vaccines in England and Wales. A review and analysis of a range of different epidemiological data sources showed that the burden of pneumococcal disease in England and Wales is high and remains mostly a condition of the very young and the elderly. A meta-analysis demonstrated the effectiveness of the polysaccharide vaccine against invasive pneumococcal disease among healthy elderly, to whom vaccination was not recommended at the start of this work. Using this result, a costeffectiveness analysis assessed the economic acceptability of such a programme, from the public health perspective. A better understanding of pneumococcal carriage and transmission is required to assess the effectiveness and cost-effectiveness of mass vaccination strategies with the pneumococcal conjugate vaccine. A novel model framework was developed and fitted to a longitudinal dataset of carriage in UK families. The results demonstrated an inverse relationship between duration of carriage and age and highlighted the importance of both family size and composition for persistence in a household. Great dissimilarities were estimated among the specific serotypes in terms of transmissibility, duration of carriage and level of competition. Realistic age structured dynamic models were developed and used to investigate the impact of a range of vaccine strategies. The importance of serotype replacement, as a consequence of vaccination, was demonstrated. The economic acceptability of alternative interventions with the conjugate vaccine depended on the magnitude of its indirect effects. Herd immunity had a considerable impact on the overall cost-effectiveness of the programmes since it may substantially reduce the burden of disease in older age groups. However, serotype replacement may counterbalance this reduction and lead to a non cost-effective result.
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Newhard, Joseph Michael. "The Genesis of the State: Mathematical Models of Conflict and Cooperation." Bowling Green, Ohio : Bowling Green State University, 2009. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=bgsu1237824890.
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Riviere, Anouk. "Countries, constituencies and parties: three essays in political economics and on the strategic aspects of voting." Doctoral thesis, Universite Libre de Bruxelles, 1999. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211906.
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Figueroa-López, José Enrique. "Nonparametric estimation of Lévy processes with a view towards mathematical finance." Available online, Georgia Institute of Technology, 2003:, 2003. http://etd.gatech.edu/theses/available/etd-04072004-122020/unrestricted/figueroa-lopez%5Fjose%5Fe%5F200405%5Fphd.pdf.
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Thesis (Ph. D.)--Mathematics, Georgia Institute of Technology, 2004.Marcus C. Spruill, Committee Member ; Richard Serfozo, Committee Member ; Shijie Deng, Committee Member ; Christian Houdre, Committee Chair ; Robert P. Kertz, Committee Member. Vita. Includes bibliographical references.
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Carpentier, Line Chantal. "Agriculture and the environment : an economic-ecologic input-output model of the Canadian economy." Thesis, McGill University, 1994. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=55482.
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The current environmental movement calls for a re-evaluation of many economic-ecologic relationships. The objective of this study is to identify industrial sectors and final demands most responsible for particular types of residual discharge and resource use. An economic-ecologic model was constructed for the Canadian economy from the Statistics Canada I-O as modified by Thomassin et al. (1992). This modified version with its 12 agricultural sectors and 16 food processing sectors is best suited for agricultural policy analysis. The model estimates national erosion, pesticide and fertilizer use as well as air and water pollutants, solid waste, and water use associated with specified economic activities.Two different scenarios were analyzed. In the first, the impact on both the economy and the environment from changes in the final demand for agricultural and food commodities was simulated. Each commodity's final demand was increased by $1 million and its impact compared to the other simulated results. The ten commodities studied yielded similar economic impacts, while their environmental impacts differed considerably. Changes in the demand for wheat and oilseeds had the largest environmental impacts.
In the second scenario, the effects of a $1 million increase in each final demand category were compared. This scenario focussed on markets rather than products. The construction, exports and personal expenditures categories were the greatest generator of wastes and the largest user of free resources. The exports category yielded twice as much erosion than personal expenditures and twenty times more than the next highest value (construction).
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Chen, Fei, and 陳飛. "Linear programming techniques for algorithms with applications in economics." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206329.
Full textAbstract:
We study algorithms and models for several economics-related problems from the perspective of linear programming.
In network bargaining games, stable and balanced outcomes have been investigated in previous work. However, existence of such outcomes requires that the linear program relaxation of a certain maximum matching problem has integral optimal solution. We propose an alternative model for network bargaining games in which each edge acts as a player, who proposes how to split the weight of the edge among the two incident nodes. We show that the distributed protocol by Kanoria et. al can be modified to be run by the edge players such that the configuration of proposals will converge to a pure Nash Equilibrium, without the linear program integrality gap assumption. Moreover, ambiguous choices can be resolved in a way such that there exists a Nash Equilibrium that will not hurt the social welfare too much.
In the oblivious matching problem, an algorithm aims to find a maximum matching while it can only makes (random) decisions that are essentially oblivious to the input graph. Any greedy algorithm can achieve performance ratio 0:5, which is the expected number of matched nodes to the number of nodes in a maximum matching. We revisit the Ranking algorithm using the linear programming framework, where the constraints of the linear program are given by the structural properties of Ranking. We use continuous linear program relaxation to analyze the limiting behavior as the finite linear program grows. Of particular interest are new duality and complementary slackness characterizations that can handle monotone constraints and mixed evolving and boundary constraints in continuous linear program, which enable us to achieve a theoretical ratio of 0:523 on arbitrary graphs.
The J-choice K-best secretary problem, also known as the (J;K)-secretary problem, is a generalization of the classical secretary problem. An algorithm for the (J;K)-secretary problem is allowed to make J choices and the payoff to be maximized is the expected number of items chosen among the K best items. We use primal-dual continuous linear program techniques to analyze a class of infinite algorithms, which are general enough to capture the asymptotic behavior of the finite model with large number of items. Our techniques allow us to prove that the optimal solution can be achieved by a (J;K)-threshold algorithm, which has a nice \rational description" for the case K = 1.published_or_final_version
Computer Science
Doctoral
Doctor of Philosophy
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ENDERS, Zeno. "Transmission mechanisms of shocks in open economy and new Keynesian DSGE models." Doctoral thesis, European University Institute, 2007. http://hdl.handle.net/1814/7010.
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Defence date : 25 May 2007Examining Board: Prof. Rick van der Ploeg, (EUI, Supervisor) ; Prof. Giancarlo Corsetti, (EUI) ; Prof. Michael Burda, (Humboldt University) ; Prof. Jordi Gali, (Universitat Pompeu Fabra)
PDF of thesis uploaded from the Library digital archive of EUI PhD theses
Defence date : 25 May 2007; Examining Board: Prof. Rick van der Ploeg, (EUI) ; Prof. Giancarlo Corsetti, (EUI) ; Prof. Michael Burda, (Humboldt University) ; Prof. Jordi Gali, (Universitat Pompeu Fabra); PDF of thesis uploaded from the Library digital archive of EUI PhD theses
This thesis deals with the transmission of shocks, i.e. how economics adjust to unforeseen changes in either exogenous circumstances or policy variables. It is divided in three parts, including this introduction. The second part, containing two chapters, is devoted to the transmission of monetary shocks in closed economies. Chapter 1 looks at frictions at the price-setters side and chapter 2 at frictions at the consumers' side. Both chapters are developing alternative, more micro-founded explanations to the nowadays standard model in New Keynesian Economics, in which price setters are exogenously forced to set prices only at random dates.
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Ni, Lingfei. "Classic optimal control in continuous time with applications in economics." Kansas State University, 2014. http://hdl.handle.net/2097/18391.
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Master of ArtsDepartment of Economics
Steven P. Cassou
This report shows the mathematics behind the solution to continuous time optimization problems. It shows how to specify the Hamiltonian function, how to use the Hamiltonian to obtain the optimal conditions for a typical economic optimal control problem and applies these techniques to several optimal control problems commonly encountered in macroeconomics. An appendix shows how to set up the optimal conditions for the case in which the state and co-state variables are both vectors. A second appendix shows how to approach the control situation for a system of optimal control problems where the co-state variable for the first sub-optimal control problem is the state variable for the second sub-optimal control problem.
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Ghanem, Rima [Verfasser]. "Mathematical Economics of Human Capital in the Middle East in Long-Run Perspective / Rima Ghanem." Tübingen : Universitätsbibliothek Tübingen, 2019. http://d-nb.info/1227964536/34.
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Shing, Chak Hung. "Invariance of resource allocation under the following contractual arrangements : share contract, piece rate and time rate /." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk:8888/cgi-bin/hkuto%5Ftoc%5Fpdf?B23425052.
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Tian, Huilan 1964. "Three essays on trade, resource and environment." Thesis, McGill University, 2002. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38525.
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This dissertation comprises three essays under the title "Three Essays on Trade, Resource and Environment".The first essay develops a model of international duopoly involving competition both in prices and in levels of environmental friendliness, and studies the implications of government policies. It is shown that, contrary to the conventional wisdom, a regulatory increase in the minimum required level of environmental friendliness of the imported goods may harm the home firm, and may result in an increase in the volume of imports. It may also have adverse effects on the environment. Whether consumers lose or gain from such a regulatory increase depends on consumption spillover effects. We also show that, under certain conditions, the duopoly's equilibrium choice of levels of environmental friendliness is socially optimal.
The second essay investigates the properties of the dynamics of population and resource in a model where the objective function is to maximize the utility level of the least advantaged generation. Unlike in models with a utilitarian objective where the typical outcome is a unique steady state, it is found in our model that there is a continuum of steady states. Which steady state will be approached depends on the initial conditions. We show that for relatively large values of the resource stock, each steady state is conditionally stable in the saddlepoint sense; but for small values of the resource stock, the approach path to a steady state is non-monotone in the state space. Along the approach path to a steady state, the implicit discount rate varies over time.
The third essay extends the existing literature on regulation of polluting firms by taking into account the dynamics of investment in pollution abatement capital. It confirms that, under perfect competition, a Pigouvian tax can create the correct incentive for firms to invest and guide firms to achieve the social optimum. This tax path is time consistent. However, when there is a large polluter with price taking behavior, while an efficient and time consistent tax path exists, it is no longer subgame perfect unless the damage cost function is linear in emission. A non-linear taxation rule needs to be designed to achieve the socially optimal outcome. In the case of monopoly, a pair of instruments, an emission tax and a production subsidy, can lead the monopolist to achieve the social optimum. However, if pre-commitment is not possible, it is shown that linear feedback rules cannot achieve the first best outcome.
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Shockley, Jordan Murphy. "WHOLE FARM MODELING OF PRECISION AGRICULTURE TECHNOLOGIES." UKnowledge, 2010. http://uknowledge.uky.edu/gradschool_diss/105.
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This dissertation investigated farm management concerns faced by grain producers due to the acquisition of various precision agriculture technologies. The technologies evaluated in the three manuscripts included 1) auto-steer navigation, 2) automatic section control, and 3) autonomous machinery. Each manuscript utilized a multifaceted economic model in a whole-farm decision-making framework to determine the impact of precision agriculture technology on machinery management, production management, and risk management. This approach allowed for a thorough investigation into various precision agriculture technologies which helped address the relative dearth of economic studies of precision agriculture and farm management. Moreover, the research conducted on the above technologies provided a wide array of economic insight and information for researchers and developers to aid in the advancement of precision agriculture technologies. Such information included the risk management potential of auto-steer navigation and automatic section control, and the impact the technologies had on optimal production strategies. This dissertation was also able to provided information to guide engineers in the development of autonomous machinery by identifying critical characteristics and isolating the most influential operating machine. The inferences from this dissertation intend to be employed in an extension setting with the purpose of educating grain producers on the impacts of implementing such technologies.
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Chow, Fung-kiu, and 鄒鳳嬌. "Modeling the minority-seeking behavior in complex adaptive systems." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B29367487.
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Cahill, Paul C. "The economics of fisheries and fisheries management : a partial review." Thesis, McGill University, 1985. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=63301.
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Lamorgese, Andrea. "Essays on the economics of cities." Doctoral thesis, Universite Libre de Bruxelles, 2001. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211602.
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Cosendey, Matheus Assaf. "A via não tão rápida entre Solow e Ramsey-Cass-Koopmans: o desenvolvimento da teoria do crescimento econômico na década de 1960." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-23112016-102132/.
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Resumo: Dois modelos formam a base da teoria moderna de crescimento econômico, conhecidos como modelo de Solow-Swan e modelo de Ramsey-Cass-Koopmans. Os dois modelos são apresentados por uma narrativa linear. O modelo de Solow representaria um primeiro modelo mais básico para compreender o crescimento econômico. Já Ramsey-Cass-Koopmans relaxaria a forte hipótese do primeiro modelo de que a propensão a poupar seria uma alíquota fixa, transformando a decisão de poupança em uma decisão derivada de um comportamento maximizador de utilidade e assim enriquecendo o modelo de Solow por clarificar a relação de crescimento econômico com a teoria do equilíbrio geral. O propósito deste trabalho é desafiar esta narrativa linear. Para isto, a dissertação apresenta outros assuntos de importância para a teoria do crescimento na década de 1960 que não se encaixam nesta narrativa, os teoremas de turnpike e os modelos de dois setores. Estes dois temas atuam como elos que ligam as três distintas comunidades representadas pelos atores Robert Solow, Tjalling Koopmans e David Cass, demonstrando que a relação entre os dois modelos é menos linear do que é usualmente apresentado.Abstract: Two models shape the basis of modern economic growth theory, known as the Solow-Swan model and the Ramsey-Cass-Koopmans model. Both models are usually presented by a linear narrative. The Solow model would represent a first basic model to understand economic growth. The Ramsey-Cass-Koopmans would come to enrich the basic Solow model, by relaxing the constant propensity to save hypothesis, making the savings decision derived from a utility maximizing behavior. The purpose of this work is to challenge this linear narrative. This dissertation introduce other subjects that were influential to the development of growth theory in the sixties, but don\'t fit in the linear narrative: the turnpike theorems and the two-sector models of growth. These two subjects operate as links that connect three different scientific communities, represented by the actors Robert Solow, Tjalling Koopmans and David Cass, and help to evidence that the relation between the Solow model and the Ramsey-Cass-Koopmans model is less linear than usually presented.
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Cisneros-Molina, Myriam. "Mathematical methods for valuation and risk assessment of investment projects and real options." Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.491350.
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In this thesis, we study the problems of risk measurement, valuation and hedging of financial positions in incomplete markets when an insufficient number of assets are available for investment (real options). We work closely with three measures of risk: Worst-Case Scenario (WCS) (the supremum of expected values over a set of given probability measures), Value-at-Risk (VaR) and Average Value-at-Risk (AVaR), and analyse the problem of hedging derivative securities depending on a non-traded asset, defined in terms of the risk measures via their acceptance sets. The hedging problem associated to VaR is the problem of minimising the expected shortfall. For WCS, the hedging problem turns out to be a robust version of minimising the expected shortfall; and as AVaR can be seen as a particular case of WCS, its hedging problem is also related to the minimisation of expected shortfall. Under some sufficient conditions, we solve explicitly the minimal expected shortfall problem in a discrete-time setting of two assets driven by correlated binomial models. In the continuous-time case, we analyse the problem of measuring risk by WCS, VaR and AVaR on positions modelled as Markov diffusion processes and develop some results on transformations of Markov processes to apply to the risk measurement of derivative securities. In all cases, we characterise the risk of a position as the solution of a partial differential equation of second order with boundary conditions. In relation to the valuation and hedging of derivative securities, and in the search for explicit solutions, we analyse a variant of the robust version of the expected shortfall hedging problem. Instead of taking the loss function $l(x) = [x]^+$ we work with the strictly increasing, strictly convex function $L_{\epsilon}(x) = \epsilon \log \left( \frac{1+exp\{−x/\epsilon\} }{ exp\{−x/\epsilon\} } \right)$. Clearly $lim_{\epsilon \rightarrow 0} L_{\epsilon}(x) = l(x)$. The reformulation to the problem for L_{\epsilon}(x) also allow us to use directly the dual theory under robust preferences recently developed in [82]. Due to the fact that the function $L_{\epsilon}(x)$ is not separable in its variables, we are not able to solve explicitly, but instead, we use a power series approximation in the dual variables. It turns out that the approximated solution corresponds to the robust version of a utility maximisation problem with exponential preferences $(U(x) = −\frac{1}{\gamma}e^{-\gamma x})$ for a preferenes parameter $\gamma = 1/\epsilon$. For the approximated problem, we analyse the cases with and without random endowment, and obtain an expression for the utility indifference bid price of a derivative security which depends only on the non-traded asset.
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Burth, Angela J. "Virtual military markets." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2005. http://library.nps.navy.mil/uhtbin/hyperion/05Sep%5FBurth.pdf.
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