EconStor Community: Institute of Mathematical Economics (IMW), Universität Bielefeld
http://hdl.handle.net/10419/43753
Institute of Mathematical Economics (IMW), University of BielefeldEconStorhttp://www.econstor.eu/retrieve/99883
http://hdl.handle.net/10419/43753
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Social welfare and wage inequality in search equilibrium with personal contacts
http://hdl.handle.net/10419/81126
Title: Social welfare and wage inequality in search equilibrium with personal contacts
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<br/>Authors: Zaharieva, Anna
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<br/>Abstract: This paper incorporates job search through personal contacts into an equilibrium matching model with a segregated labour market. Job search in the public submarket is competitive which is in contrast with the bargaining nature of wages in the informal job market. Moreover, the social capital of unemployed workers is endogenous depending on the employment status of their contacts. This paper shows that the traditional Hosios (1990) condition continues to hold in an economy with family contacts but it fails to provide efficiency in an economy with weak ties. This inefficiency is explained by a network externality: weak ties yield higher wages in the informal submarket than family contacts. Furthermore, the spillovers between the two submarkets imply that wage premiums associated with personal contacts lead to higher wages paid to unemployed workers with low social capital but the probability to find a job for those workers is below the optimal level.American options with multiple priors in continuous time
http://hdl.handle.net/10419/81125
Title: American options with multiple priors in continuous time
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<br/>Authors: Vorbrink, Jörg
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<br/>Abstract: We investigate American options in a multiple prior setting of continuous time and determine optimal exercise strategies form the perspective of an ambiguity averse buyer. The multiple prior setting relaxes the presumption of a known distribution of the stock price process and captures the idea of incomplete information of the market data leading to model uncertainty. Using the theory of (reflected) backward stochastic differential equations we are able to solve the optimal stopping problem under multiple priors and identify the particular worst-case scenario in terms of the worst-case prior. By means of the analysis of exotic American options we highlight the main difference to classical single prior models. This is characterized by a resulting endogenous dynamic structure of the worst-case scenario generated by model adjustments of the agent due to particular occurring events that change the agent's beliefs.Coherent price systems and uncertainty-neutral valuation
http://hdl.handle.net/10419/81124
Title: Coherent price systems and uncertainty-neutral valuation
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<br/>Authors: Beißner, Patrick
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<br/>Abstract: We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a microeconomic foundation of sublinear price systems and present an extension result. In this context we introduce a prior dependent notion of marketed spaces and viable price systems. We associate this extension with a canonically altered concept of equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of such sets when volatility uncertainty is modeled by a stochastic di erential equation, driven by Peng's G-Brownian motions.An algebraic approach to general aggregation theory: Propositional-attitude aggregators as MV-homomorphisms
http://hdl.handle.net/10419/81123
Title: An algebraic approach to general aggregation theory: Propositional-attitude aggregators as MV-homomorphisms
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<br/>Authors: Herzberg, Frederik
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<br/>Abstract: This paper continues Dietrich and List's [2010] work on propositional-attitude aggregation theory, which is a generalised unification of the judgment-aggregation and probabilistic opinion-pooling literatures. We first propose an algebraic framework for an analysis of (many-valued) propositional-attitude aggregation problems. Then we shall show that systematic propositional-attitude aggregators can be viewed as homomorphisms in the category of C.C. Chang's [1958] MV-algebras. Since the 2-element Boolean algebra as well as the real unit interval can be endowed with an MV-algebra structure, we obtain as natural corollaries two famous theorems: Arrow's theorem for judgment aggregation as well as McConway's [1981] characterisation of linear opinion pools.