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We develop a framework to study the effects of policies of uncertain duration on consumption dynamics under both complete and incomplete markets. We focus on the dynamic implications of market incompl...
Pricing and learning with uncertain demand
Monopoly policy pricing discrete price elasticity of demand profits
2015/8/11
Practical policies for the monopolistic pricing problem with uncertain demand are discussed (for discrete time, continuous prices and demand, in a linear and Gaussian setting). With this model, the in...
We propose uncertainty shocks as a new shock that drives business cycles. First, we demonstrate that microeconomic uncertainty is robustly countercyclical, rising sharply during recessions, particular...
Regulating a Monopolist With Uncertain Costs Without Transfers
Monopolist Uncertain Costs Transfers
2015/7/15
We analyze the Baron and Myerson (1982) model of regulation under the restriction that transfers are infeasible. Extending the Lagrangian approach to delegation problems of Amador and Bagwell (2013a) ...
Data envelopment analysis with uncertain data: An application for Iranian electricity distribution companies
Data envelopment analysis Robust optimization Electricity distribution companies
2014/11/27
This paper presents Data Envelopment Analysis (DEA) model with uncertain data for performance assessment of electricity distribution companies. During the past two decades, DEA has been widely used fo...
The rich literature on the economics of externalities has been confined to the analysis of certainty-perfect knowledge of the impact an action taken by one economic unit will have on another unit. The...
Optimal Monetary Policy with an Uncertain Cost Channel
parameter uncertainty min–max cost channel optimal monetary policy Taylor rule.
2011/8/21
The cost channel of monetary transmission describes a supply-side effect of interest rates on firms' costs. Previous research has found this effect to vary, both over time and across countries. Moreov...
Expected Uncertain Utility and Subjective Sources
Expected Uncertain Utility Subjective Sources
2014/3/18
Source preference is the assertion that between two prospects yielding the same dis-
tribution of monetary rewards, decision makers may have a strict preference for one over
the other. Evidence on t...
We introduce and analyze expected uncertain utility theory (EUU). A prior and an
interval utility characterize an EUU decision maker. The decision maker transforms each
uncertain prospect into an in...
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
Risk assessment uncertain cash flows Model ambiguity
2010/10/18
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into accou...