Econometrics

Finding Equilibrium Points (Part II)

Author: 
Alejandro Jofré
Ralph Tyrrell Rockafellar
Roger J-B Wets
Michael C. Ferris
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Finding equilibrium points

Finding Equilibrium Points (Part I)

Author: 
Alejandro Jofré
Ralph Tyrrell Rockafellar
Roger J-B Wets
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Finding equilibrium points.

Information and Markets (Part IV)

Author: 
William Zame
Date: 
Fri, Jul 1, 2011
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Information and markets.

Information and Markets (Part III)

Author: 
William Zame
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Information and markets.

Information and Markets (Part II)

Author: 
William Zame
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Information and markets.

Information and Markets (Part I)

Author: 
William Zame
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Information and Markets.
Notes: 

Decision Theory in Economics: an overview of where we are and where we're going

Author: 
Jacob S. Sagi
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Decision Theory in Economics: an overview of where we are and where we're going.
Notes: 

Safequarding in Optimization Under Uncertainty

Author: 
Terry Rockafellar
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Safequarding in Optimization Under Uncertainty

Continuous-time Models in Corporate Finance

Author: 
Jean-Charles Rochet
Date: 
Sat, Jul 1, 2006
Location: 
UBC
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
Continuous-time Models in Corporate Finance

Optimal Security Design and Dynamic Capital Structure in a Continuous-Time Agency Model

Author: 
Peter DeMarzo
Yuliy Sannikov
Date: 
Sat, Jul 1, 2006
Location: 
UBC, Vancouver, Canada
Conference: 
Summer School Frontiers in Mathematics and Economics
Abstract: 
We derive the optimal dynamic contract in a continuous-time principal-agent setting, and implement it with a capital structure (credit line, long-term debt, and equity) over which the agent controls the payout policy. While the project’s volatility and liquidation cost have little impact on the firm’s total debt capacity, they increase the use of credit versus debt. Leverage is nonstationary, and declines with past profitability. The firm may hold a compensating cash balance while borrowing (at a higher rate) through the credit line. Surprisingly, the usual conflicts between debt and equity (asset substitution, strategic default) need not arise.
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