Registered Data

[CT173]

  • Session Time & Room
    • CT173 (1/1) : 3C @A508 [Chair: Marko Hans Weber]
  • Classification
    • CT173 (1/1) : Mathematical economics (91B)

[02674] General Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents

  • Session Time & Room : 3C (Aug.23, 13:20-15:00) @A508
  • Type : Contributed Talk
  • Abstract : We solve a general equilibrium model in which aggregate consumption has uninsurable growth shocks, rendering the market dynamically incomplete. Agents' stochastic discount factors depend on the history of unhedgeable shocks, agents trade assets dynamically, and the dispersion of agents' preferences impacts both the interest rate and asset prices, hence no representative agent exists.
  • Classification : 91B50
  • Format : Talk at Waseda University
  • Author(s) :
    • Marko Hans Weber (National University of Singapore)
    • Paolo Guasoni (Dublin City University)

[02683] When to Sell an Asset? – A Distribution Builder Approach

  • Session Time & Room : 3C (Aug.23, 13:20-15:00) @A508
  • Type : Contributed Talk
  • Abstract : We revisit the question of the optimal time of an asset sale from the point of view of Sharpe’s “Distribution Builder” approach: Instead of assuming the investor’s risk preferences in form of a utility function, the investor provides themself a distribution that should be attained when selling the asset at a stopping time (specified a priori). This obviously begs the question of which distributions are attainable for an investor. We connect this problem to the Skorokhod embedding problem for one-dimensional diffusions and provide explicit representation for optimal stopping times as well as their expected values. In the case that the target distribution is specified from a parametrized family (e.g., log-normal distributions), we show that optimality involves a mean-variance trade-off similar to the efficient frontier in Markowitz’s approach to portfolio optimization. This is joint work with Peter Carr.
  • Classification : 91B70, 60G40
  • Format : Talk at Waseda University
  • Author(s) :
    • Stephan Sturm (Worcester Polytechnic Institute)

[01207] Optimal analysis of ecological-economic model with fishing tax and tourist entry-fee

  • Session Time & Room : 3C (Aug.23, 13:20-15:00) @A508
  • Type : Industrial Contributed Talk
  • Abstract : A market-based fishing strategy in a multi-species fishery with a fair taxation policy may provide long-term sustainable growth. Fishery-based ecotourism with an entry fee for the tourist may further contribute to the financial improvement of the local people. Here we have proposed and analyzed a harvesting model that integrates fishery and fishery-based ecotourism with the open market economy theory. We determine the optimal fishing tax and entry fee that maximizes the social benefit.
  • Classification : 91B76, 92B05, 91B55, 92D25, 92D40
  • Author(s) :
    • Nandadulal Bairagi (Jadavpur University)
    • Santaanu Bhattacharya (Jadavpur University)