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Asset prices and wealth inequality in a simple model with idiosyncratic shocks
(Universidad de Chile. Facultad de Economía y Negocios, 2017)
This paper analytically solves a heterogeneous agent model with idiosyncratic
shocks to marginal utility of consumption and explores the effects of the borrowing
constraint on the price of the asset, the composition of ...
STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET
(WORLD SCIENTIFIC PUBL CO PTE LTD, 2011)
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. ...
Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents
(ELSEVIER SCIENCE BV, 2009)
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within ...
Estimation of volatility of selected oil production projects
(Elsevier Science BvAmsterdamHolanda, 2006)
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...
Impact of the Level of Disclosure of Financial Information on the Pricing of Shares in the Context of Adverse Selection: an experimental research
(FUND ESCOLA COMERCIO ALVARES PENTEADO-FECAPSAO PAULO SP, 2012)
Managers know more about the performance of the organization than investors, which makes the disclosure of information a possible strategy for competitive differentiation, minimizing adverse selection. This paper's main ...
Influence diagnostics in the capital asset pricing model under elliptical distributions
(Routledge Journals, Taylor & Francis LtdAbingdonInglaterra, 2008)
Problemas de estimação de custo de capital de empresas concessionárias no Brasil: uma aplicação à regulamentação de concessões rodoviáriasProblems in the estimation of the cost of capital for highway operating contracts in Brazil: an application to the regulation of highway operating contractsProblemas de estimación de costo de capital de empresas concesionarias en Brasil: una aplicación a la reglamentación de concesiones de autopistas
(Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo, 2012)
Neste trabalho, discute-se a fixação de taxas de retorno de concessões no Brasil, com aplicação específica ao caso da metodologia da Agência Nacional de Transportes Terrestres (ANTT). Mostra-se a inadequação da regulamentação ...