EconStor Community:
http://hdl.handle.net/10419/291
2017-09-19T17:14:22ZAn ANC payoff function for networks with sequentially Nash coherent plans
http://hdl.handle.net/10419/58353
Title: An ANC payoff function for networks with sequentially Nash coherent plans
Authors: Nieva, Ricardo
Abstract: I add endogenous bargaining possibilities do develop criteria to determine which statements are credible in a three-player model with complete information where pairs, in a sequential order, can formulate simultaneous negotiation statements. Joint plans are credible if they are the outcome of a plan Nash bargaining problem - the pair bargains cooperatively over the equilibrium payoffs induced by tenable and reliable plans - unless one or both bargainers are indifferent to bargaining. Then, a credible plan is up to the future-request by the oldest pair (of friends) among the past pairs that successfully cooperated and included one of the indifferent players. I interpret this model as an almost non cooperative (ANC) modification of the three-player Aumann-Myerson (1988) sequential network formation game. Whenever discussing a link two players can bargain non cooperatively out of the sum of their Myerson values (1977) in the prospective network and enunciate simultaneous negotiation statements. The disagreement plan suggests link rejection. Sequentially Nash (1950) coherent plans can be defined and exist. Analytical payoffs are unique. In strictly superadditive cooperative games the complete graph never forms.2005-01-01T00:00:00ZA theory of demand for gambles
http://hdl.handle.net/10419/58354
Title: A theory of demand for gambles
Authors: Nyman, John A.
Abstract: Although gambling is primarily an economic activity, no single theory of the demand for gambles has gained wide-spread acceptance among economists. This paper proposes a simple model of the demand for gambling that is based on the standard economic assumptions that (1) resources are scarce and (2) consumers utility increases with income at a decreasing rate. This model has the advantages that (1) it is based solely on changes in income, (2) is potentially applicable to most consumers, (3) preserves the assumption of diminishing marginal utility of income, (4) is consistent with the insurance-buying gambler, and (5) has intuitive appeal.2004-01-01T00:00:00ZConsumption-Based CAPM and Option Pricing under Jump-Diffusion Uncertainty
http://hdl.handle.net/10419/23495
Title: Consumption-Based CAPM and Option Pricing under Jump-Diffusion Uncertainty
Authors: Kusuda, Koji
Abstract: In Kusuda [45], we developed equilibrium analysis in security market
economy with jump-Wiener information where no finite number of securities can
complete markets. Assuming approximately complete markets (Björk et al. [11] [12])
in which a continuum of bonds are traded and any contingent claim can be replicated
with an arbitrary precision, we have shown sufficient conditions for the existence
of approximate security market equilibrium, in which every agent is allowed
to choose any consumption plan that can be supported with any prescribed precision.
In this paper, we derive the Consumption-Based Capital Asset Pricing Model
(CCAPM) using the framework in case of heterogeneous with additively separable
utilities (ASUs) and of homogeneous agents with a common stochastic differential
utility (SDU). The CCAPM says that the risk premium between a risky security
and the nominal-risk-free security can be decomposed into two groups of terms.
One is related to the price
uctuation of the risky security, and the other is related
to that of commodity. Each group can be further decomposed into two terms related
to consumption volatility and consumption jump in case of ASUs, and into
three terms related to consumption volatility, continuation utility volatility, and
jumps of consumption and continuation utility in case of SDU. Next, we present a
general equilibrium framework of jump-diffusion option pricing models in each case
of heterogeneous agents with CRRA utilities and of homogeneous agents with a
common Kreps-Porteus utility. Finally, we construct a general equilibrium version
of an affine jump-diffusion model with jump-diffusion volatility for option pricing
using the framework.2003-01-01T00:00:00ZThe Market for Liars: Reputation and Auditor Honesty
http://hdl.handle.net/10419/23499
Title: The Market for Liars: Reputation and Auditor Honesty
Authors: McLennan, Andrew
Abstract: In the model there are two types of financial auditors with identical technology, one
of which is endowed with a prior reputation for honesty. We characterize conditions under
which there exists a "two-tier equilibrium" in which "reputable" auditors refuse bribes
offered by clients for fear of losing reputation, while "disreputable" auditors accept bribes
because even persistent refusal does not create a good reputation. The main findings are:
(a) honest auditors charge higher fees, and have economic profits accruing to reputation;
(b) as the fraction of auditors who are honest increases, the premium charged by reputable
auditors eventually decreases, which diminishes the incentive to refuse bribes; (c) if the
fraction of honest auditors exceeds an upper bound, there does not exist a two-tier equilibrium;
(d) thus the reputation mechanism may be undermined by entry into the honest
segment of the industry, if it is possible; (e) increasing auditor independence increases the
upper bound.2003-01-01T00:00:00Z