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1	Essays on non-Walrasian economics Sabourian, H. January 1987 (has links) This thesis consists of five essays on non-Walrasian economics. There are two essays on rational conjectural equilibrium, RCE, two on repeated games and one on general equilibrium with price-making firms and increasing returns to scale. The first two essays consider rational conjectural equilibrium from a game theoretic perspective. It is shown that (i) in general there is a continuum of RCE. (ii) Some interesting price behaviour, such as kinked demand behaviour and mark-up pricing can be supported as a RCE in a partial equilibrium model. (iii) Conjectural models can be regarded as a static representation of either a repeated game story with adjustment cost, or an instantaneous response repeated game, and that the rationality condition (in the 'correctness' sense) on conjectures amounts to sub-game perfectness in the super-game. In the third essay the solutions to repeated games with bounded memory are considered. It is shown that the Folk Theorem of repeated games (multiplicity of equilibria) can be extended to repeated games with one-period memory either if the action space of each player at each stage of the repeated game contains 'many elements' or if there is uncertainty. In the fourth essay the solutions to anonymous repeated game with a large but finite number of players are considered. In the fifth essay a General Equilibrium model with oligopolistic firms is developed (the model is based on my results in earlier chapters). Each oligopolistic firm is assumed to perceive (correctly) a kinked demand curve. I shall prove the existence of an equilibrium for such an economy without excluding increasing returns to scale or assuming concave revenue functions for the oligopolists. 330 Arrow-Debreu Walrasian model
2	Efficient Algorithms for Market Equilibria Devanur, Nikhil Rangarajan 18 May 2007 (has links) The mathematical modelling of a market, and the proof of existence of equilibria have been of central importance in mathematical economics. Since the existence proof is non-constructive in general, a natural question is if computation of equilibria can be done efficiently. Moreover, the emergence of Internet and e-commerce has given rise to new markets that have completely changed the traditional notions. Add to this the pervasiveness of computing resources, and an algorithmic theory of market equilibrium becomes highly desirable. The goal of this thesis is to provide polynomial time algorithms for various market models. Two basic market models are the Fisher model: one in which there is a demarcation between buyers and sellers, buyers are interested in the goods that the sellers possess, and sellers are only interested in the money that the buyers have; and the Arrow-Debreu model: everyone has an endowment of goods, and wants to exchange them for other goods. We give the first polynomial time algorithm for exactly computing an equilibrium in the Fisher model with linear utilities. We also show that the basic ideas in this algorithm can be extended to give a strongly polynomial time approximation scheme in the Arrow-Debreu model. We also give several existential, algorithmic and structural results for new market models: - the spending constraint utilities (defined by Vazirani) that captures the "diminishing returns" property while generalizing the algorithm for the linear case. - the capacity allocation market (defined by Kelly), motivated by the study of fairness and stability of the Transmission Control Protocol (TCP) for the Internet, and more generally the class of Eisenberg-Gale (EG) markets (defined by Jain and Vazirani). In addition, we consider the adwords market on search engines and show that some of these models are a natural fit in this setting. Finally, this line of research has given insights into the fundamental techniques in algorithm design. The primal-dual schema has been a great success in combinatorial optimization and approximation algorithms. Our algorithms use this paradigm in the enhanced setting of Karush-Kuhn-Tucker (KKT) conditions and convex programs. Combinatorial Network flow Utilities Arrow-Debreu Fisher
3	Sobre un Lema de representación de Debreu Jordán Liza, Abelardo 25 September 2017 (has links) En el presente artículo de divulgación se expone un gran aporte que Gerard Debreu hizo en el tema de representación de relaciones en (4). En realidad, su aporte yace dentro de la demostración del Lema 1 de (4), donde reconstruye la imagen de una funión con valores en R para conseguir continuidad, este hecho es lo que posteriormente se hace referencia como el Lema Gap de Debreu. Aquí exponemos las construcciones de Debreu para conseguir una función continua que represente a una relación completamente ordenada definida en un espacio topológico. Orden Completo Representación de Un Orden Lema Gap de Debreu
4	Essays in financial economics Bova, Giuseppe January 2013 (has links) We present in this thesis three distinct models in Financial Economics. In the first chapter we present a pure exchange economy model with collateral constraints in the spirit of Kiyotaki and Moore (1997). As a first result in this chapter we prove the existence of an equilibrium for this type of economies. We show that in this type of models bubbles can exist and provide a bubble example in which the asset containing the bubble pays positive dividends. We also show for the case of high interest rates the equivalence between this type of models and the Arrow-Debreu market structure. In the second chapter we present a model with limited commitment and one-side exclusion from financial markets in case of default. For this type of models we prove a no-trade theorem in the spirit of Bulow and Rogoff (1989). This is done for an economy with and without bounded investment in a productive activity. The third chapter presents a 2 period economy with complete markets, and 250 states of the world and assets. For this economies we generate a sequence of observed returns, and we show that a market proxy containing only 80% of the assets in the economy provides similar results as the true market portfolio when estimating the CAPM. We also show that for the examples we present a vast amount of observations is required in order to reject the CAPM. This raises the question what the driving force behind the bad empirical performance of the CAPM is. 332
5	La surface bouillante de l'économie mathématique (et la mort de Monsieur Patate) Bélisle, François January 2007 (has links) Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal. Philosophie de l'économie Économie mathématique Histoire économique Théorie de l'équilibre général Économétrie Bachelier Mandelbrot
6	Integración en espacios de Banach Rodríguez Ruiz, José 01 March 2006 (has links) Esta tesis doctoral se enmarca dentro de la teoría de integración de funciones con valores en espacios de Banach. Analizamos con detalle la integral de Birkhoff de funciones vectoriales, así como sus correspondientes versiones dentro de los contextos de la integración respecto de medidas vectoriales y la integración de multi-funciones. Comparamos estos métodos de integración con otros bien conocidos (integrales de Bochner, Pettis, McShane, Debreu, etc.). Caracterizamos, en términos de integración vectorial, algunas propiedades de los espacios de Banach donde las (multi-) funciones toman valores. / The general framework of this memoir is the theory of integration of functions with values in Banach spaces. We analyze in detail the Birkhoff integral of vector-valued functions, as well as its corresponding versions within the settings of integration with respect to vector measures and integration of multi-valued functions. We compare these methods of integration with others which are well known (Bochner, Pettis, McShane, Debreu, etc.). We characterize, in terms of vector integration, some properties of the Banach spaces where the (multi-) functions take their values. Bochner Birkhoff integral vector measure Banach space operador absolutamente sumante multi-función Debreu McShane Pettis Bochner Birkhoff integral medida vectorial Espacio de Banach Pettis McShane Debreu multi-function absolutely summing operator Análisis matemático 51 510 517
7	An Empirical Comparison Of Interest Rate Models For Pricing Zero Coupon Bond Options Senturk, Huseyin 01 August 2008 (has links) (PDF) The aim of this study is to compare the performance of the four interest rate models (Vasicek Model, Cox Ingersoll Ross Model, Ho Lee Model and Black Der- man Toy Model) that are commonly used in pricing zero coupon bond options. In this study, 1{5 years US Treasury Bond daily data between the dates June 1, 1976 and December 31, 2007 are used. By using the four interest rate models, estimated option prices are compared with the real observed prices for the begin- ing work days of each months of the years 2004 and 2005. The models are then evaluated according to the sum of squared errors. Option prices are found by constructing interest rate trees for the binomial models based on Ho Lee Model and Black Derman Toy Model and by estimating the parameters for the Vasicek and the Cox Ingersoll Ross Models.
8	Contribution à l'indicateur de Hicks-Moorsteen et à la théorie de la productivité. / A contrivution to the Hicks-Moorsteen index and productivity theory Stenger, Agathe 04 June 2015 (has links) Ce travail contribue à la définition des mesures de l'efficacité et de la productivité dans la théorie microéconomique. Il présente des apports théoriques et empiriques. En premier lieu, cette thèse élabore une critique sur certaines mesures classiques de l’efficacité et de la productivité. Il est montré que la mesure directionnelle, sous l'hypothèse de rendements d'échelle constants, pose un certain nombre de problèmes quant à l’évaluation des variations de la productivité. De plus, il est établi que la « slacks-based » et la directionnelle « slack-based » mesures (ou mesures de Färe-Lovell) ne permettent pas de caractériser la technologie de production. Il résulte que ce type de mesure ne permet pas d’évaluer l'efficacité et les variations de productivité. Une approche alternative est proposée qui permet de contourner cette difficulté. Ensuite, cette thèse introduit deux nouveaux indicateurs: un indicateur social de Luenberger-Hicks-Moorsteen et un indicateur de productivité généralisé. Le premier permet d'évaluer l'effet des politiques sur les capabilités au sens d'A. Sen. Il consiste en une transposition des indicateurs de Hicks-Moorsteen en considérant le rôle spécifique d’un sous-vecteur prenant en compte les facteurs sociaux. Le second indicateur généralise les indicateurs standards de productivité. Il permet de retrouver à la fois les indicateurs de Luenberger et le Luenberger Hicks-Moortsteen comme cas spéciaux de cet indicateur généralisé. En considérant la version multiplicative de l’indicateur généralisé, on retrouve comme cas particuliers, les indicateurs de Malmquist et le Hicks-Moorsteen. Enfin, cette thèse présente des applications empiriques qui illustrent la méthodologie. Ces études évaluent et comparent la performance des régions touristiques et plus précisément celle du Languedoc-Roussillon, qui mobilise un cadre d'analyse transfrontalier. / This phd contributes to the definition of efficiency measures and productivity indicator, in the microeconomic theory. It presents theoretical and empirical contributions. Firstly, this phd develops a review on standard measures of efficiency and productivity. It is shown that the directional measure, under the assumption of constant returns to scale, raises some problems in the assessment of productivity changes. Moreover, it is established that the "slacks-based" and directional "slack-based" measures (or Färe-Lovell measures) do not allow to characterize technology. It follows that such measures do not allow to evaluate efficiency and productivity changes. An alternative approach is proposed which overcomes this difficulty. Then, this phd introduces two new indicators: a social Luenberger-Hicks-Moorsteen indicator and a generalized indicator of productivity. The first mesure the impact of publics policies in the line of the capability theory introduce by A. Sen. This indicator consists on a transposition of the Hicks-Moorsteen indicator by considering a sub-vector of social factors. The second indicator generalizes standards productivity indicators. It allows to find the Luenberger and the Luenberger Hicks-Moortsteen as special cases of this general indicator. Considering the multiplicative version of the generalized indicator, on can find the Malmquist and Hicks-Moorsteen indicators, as special cases. Finally, this phd presents some empirical applications to illustrate the methodology. These studies evaluate and compare the performance of the tourist destination, and specifically for the Languedoc-Roussillon, which involves a cross-border analysis framework Micoéonomie de la Production Fonctions distances Indice de productivité de Malmquist Méthode par enveloppement des données Microeconomic theory of production Efficiency measures Productivity index Hicks-Moorsteen productivity index Tourism efficiency 338.5
9	The Social Construction of Economic Man: The Genesis, Spread, Impact and Institutionalisation of Economic Ideas Mackinnon, Lauchlan A. K. Unknown Date (has links) The present thesis is concerned with the genesis, diffusion, impact and institutionalisation of economic ideas. Despite Keynes's oft-cited comments to the effect that 'the ideas of economists and political philosophers, both when they are right and when they are wrong, are more powerful than is commonly understood'(Keynes 1936: 383), and the highly visible impact of economic ideas (for example Keynesian economics, Monetarism, or economic ideas regarding deregulation and antitrust issues) on the economic system, economists have done little to systematically explore the spread and impact of economic ideas. In fact, with only a few notable exceptions, the majority of scholarly work concerning the spread and impact of economic ideas has been developed outside of the economics literature, for example in the political institutionalist literature in the social sciences. The present thesis addresses the current lack of attention to the spread and impact of economic ideas by economists by drawing on the political institutionalist, sociological, and psychology of creativity literatures to develop a framework in which the genesis, spread, impact and institutionalisation of economic ideas may be understood. To articulate the dissemination and impact of economic ideas within economics, I consider as a case study the evolution of economists' conception of the economic agent - "homo oeconomicus." I argue that the intellectual milieu or paradigm of economics is 'socially constructed' in a specific sense, namely: (i) economic ideas are created or modified by particular individuals; (ii) economic ideas are disseminated (iii) certain economic ideas are accepted by economists and (iv) economic ideas become institutionalised into the paradigm or milieu of economics. Economic ideas are, of course, disseminated not only within economics to fellow economists, but are also disseminated externally to economic policy makers and business leaders who can - and often do - take economic ideas into account when formulating policy and building economic institutions. Important economic institutions are thereby socially constructed, in the general sense proposed by Berger and Luckmann (1966). But how exactly do economic ideas enter into this process of social construction of economic institutions? Drawing from and building on structure/agency theory (e.g. Berger and Luckmann 1966; Bourdieu 1977; Bhaskar 1979/1998, 1989; Bourdieu 1990; Lawson 1997, 2003) in the wider social sciences, I provide a framework for understanding how economic ideas enter into the process of social construction of economic institutions. Finally, I take up a methodological question: if economic ideas are disseminated, and if economic ideas have a real and constitutive impact on the economic system being modelled, does 'economic science' then accurately and objectively model an independently existing economic reality, unchanged by economic theory, or does economic theory have an interdependent and 'reflexive' relationship with economic reality, as economic reality co-exists with, is shaped by, and also shapes economic theory? I argue the latter, and consider the implications for evaluating in what sense economic science is, in fact, a science in the classical sense. The thesis makes original contributions to understanding the genesis of economic ideas in the psychological creative work processes of economists; understanding the ontological location of economic ideas in the economic system; articulating the social construction of economic ideas; and highlighting the importance of the spread of economic ideas to economic practice and economic methodology. 410401 Design Theory 349901 Political Economy 370000 Studies in Human Society 340302 History of Economic Thought 349900 Other Economics 410402 Design Innovation 360201 Public Policy 360000 Policy and Political Science 380100 Psychology 360100 Political Science 360200 Policy and Administration 370101 Social Theory 370102 Social Policy and Planning 340100 Economic Theory genesis spread diffusion impact institutionalisation economic ideas idea ideation psychology of creativity Wallas Wertheimer stage model productive thinking creative creativity process economic economics sociology social methodology methodological self-altering self-fulfilling self-denying prophecy belief reflexive reflexivity institution institutionalise institutionalised social construction Berger Luckmann Bhaskar critical realism Lawson Bordieu habitus field spread impact ideation ideational structure social structure action creativity creative economists sociology philosophy of science homo economicus homo oeconomicus economic man economic agent rational economic man man lucas critique Goodhart's law Keynes Marx Mill Hayek Hicks Samuelson Walras Jevons Arrow Debreu Samuelson Merton sociology of economics sociology of scientific knowledge SSK Holton prediction control reflexive prediction reflexivity Whitley Mackie canonization Henshel Grunberg Modigliani Morgenstern Lucas Muth Simon Blyth Hall Sikkink Hira Hood institutionalize institutionalized socialise socialisation internalise internalisation internalization socialization behaviour behavior Thomas theorem expectations stage model productive thinking evolution

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