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Robust Predictions in Infinite-Horizon Games—an Unrefinable Folk Theorem
Robustness Higher-order beliefs Dynamic games Folk Theorem
2014/9/10
We show that in any game that is continuous at infinity, if a plan of action ai is played by a type ti in a Bayesian Nash equilibrium, then there are perturbations of ti for which ai is the only ratio...
Horizon dependence of utility optimizers in incomplete models
Incompleteness Brownian motion
2010/10/20
This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal terminal wealth are co...
Hedging: Scaling and the Investor Horizon
Hedging Effectiveness Scaling Volatility Modelling Forecasting
2011/3/31
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ra...
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon
Black-Scholes Dupire formulae last passage times local martingales Part A infinite time horizon
2010/12/20
These notes are the first half of the contents of the course given by the second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They also correspond to topics studied by the first aut...
Limit of the Solutions for the Finite Horizon Problems as the Optimal Solution to the Infinite Horizon Optimization Problems
Limit Solutions Finite Horizon Problems Optimal Solution Infinite Horizon Optimization Problems
2010/12/17
We aim to generalize the results of Cai and Nitta (2007) by allowing both the utility and production function to depend on time. We also consider an additional intertemporal optimality criterion. We ...
Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems
Constructing Optimal Solutions Undiscounted Continuous-Time Infinite Horizon Optimization Problems
2010/12/17
We aim to construct the optimal solutions to the undiscounted continuous-time infinite horizon optimization problems, the objective functionals of which may be unbounded. We identify the condition un...