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Optimal multi-period leverage-constrained portfolios: A neural network approach 最优多期杠杆约束投资组合：神经网络方法
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-05-29 DOI: 10.1016/j.jedc.2025.105127
Chendi Ni, Yuying Li, Peter Forsyth
{"title":"Optimal multi-period leverage-constrained portfolios: A neural network approach","authors":"Chendi Ni,&nbsp;Yuying Li,&nbsp;Peter Forsyth","doi":"10.1016/j.jedc.2025.105127","DOIUrl":"10.1016/j.jedc.2025.105127","url":null,"abstract":"<div><div>We present a neural network approach for multi-period portfolio optimization that relaxes the long-only restriction and instead imposes a bound constraint on leverage. We formulate the optimization problem for such a relaxed-constraint portfolio as a multi-period stochastic optimal control problem. We propose a novel relaxed-constraint neural network (RCNN) model to approximate the optimal control. Using our proposed RCNN model transforms the original leverage-constrained optimization problem into an unconstrained one, which makes solving it computationally more feasible. We prove mathematically that the proposed RCNN control model can approximate the optimal relaxed-constraint strategy with arbitrary precision. We further propose to compute the optimal outperforming strategy over a benchmark based on cumulative quadratic shortfall (CS). Using U.S. historical market data from Jan 1926 to Jan 2023, we computationally compare and assess the proposed neural network approach to the optimal leverage-constrained strategy and long-only strategy respectively. We demonstrate that the leverage-constrained optimal strategy can achieve enhanced performance over the long-only strategy in outperforming a benchmark portfolio.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105127"},"PeriodicalIF":1.9,"publicationDate":"2025-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144196070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Generalizing heuristic switching models and a (boundedly) rational route away from randomness 推广启发式切换模型和一条远离随机性的（有界）理性路径
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-05-22 DOI: 10.1016/j.jedc.2025.105125
Giorgos Galanis , Iraklis Kollias , Ioanis Leventides , Joep Lustenhouwer
{"title":"Generalizing heuristic switching models and a (boundedly) rational route away from randomness","authors":"Giorgos Galanis ,&nbsp;Iraklis Kollias ,&nbsp;Ioanis Leventides ,&nbsp;Joep Lustenhouwer","doi":"10.1016/j.jedc.2025.105125","DOIUrl":"10.1016/j.jedc.2025.105125","url":null,"abstract":"<div><div>The behavioral economics literature on evolutionary discrete choice models typically relies on the standard logit framework. However, this approach imposes significant limitations on the types of economic environments it can represent as it, e.g., does not allow for heterogeneity in preferences regarding observables (random taste variation) and assumes independence of irrelevant alternatives (IIA). We relax the assumptions underlying standard logit and address two key questions: (i) to what extent do the theoretical insights of <span><span>Brock and Hommes (1997)</span></span> (BH) hold in more general economic settings? (ii) can the standard logit's shortcomings in capturing relevant experimental findings be resolved by using more flexible forms of discrete choice models? We find that a probit-based model that meaningfully relaxes the IIA assumption fits experimental data with four choice alternatives considerably better than standard logit, especially if the model additionally allows for random taste variation. Further, we demonstrate that while the key insights of BH remain valid in broader environments, allowing for taste variation can provide a route away from the chaotic dynamics emerging in BH.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105125"},"PeriodicalIF":1.9,"publicationDate":"2025-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144114717","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The sleeper effect of comparative advertising in oligopolistic markets 寡头垄断市场比较广告的睡眠者效应
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-05-19 DOI: 10.1016/j.jedc.2025.105122
Rabah Amir , Dominika Machowska , Andrzej Nowakowski
{"title":"The sleeper effect of comparative advertising in oligopolistic markets","authors":"Rabah Amir ,&nbsp;Dominika Machowska ,&nbsp;Andrzej Nowakowski","doi":"10.1016/j.jedc.2025.105122","DOIUrl":"10.1016/j.jedc.2025.105122","url":null,"abstract":"<div><div>This research deals with comparative advertising strategies of firms in an oligopolistic market in the presence of the sleeper effect, through the lens of a differential game with time delay. We examine the open-loop Nash equilibrium and, for its validation, propose a new verification theorem that determines if a given strategy profile constitutes a Nash equilibrium. Our results reveal how the sleeper effect influences the equilibrium of comparative advertising strategies across two decision-making periods. Moreover, we highlight how market factors and firm attributes can significantly affect these strategies and derive conditions under which a firm will abstain from such strategies. Overall, our study provides novel insights into how market dynamics, firm attributes, and the sleeper effect interact in shaping comparative advertising strategies.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105122"},"PeriodicalIF":1.9,"publicationDate":"2025-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144106676","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A robust asymptotic control model to analyze climate policy with CDR options 具有CDR选项的气候政策鲁棒渐近控制模型分析
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-05-14 DOI: 10.1016/j.jedc.2025.105114
Frédéric Babonneau , Alain Haurie , Marc Vielle
{"title":"A robust asymptotic control model to analyze climate policy with CDR options","authors":"Frédéric Babonneau ,&nbsp;Alain Haurie ,&nbsp;Marc Vielle","doi":"10.1016/j.jedc.2025.105114","DOIUrl":"10.1016/j.jedc.2025.105114","url":null,"abstract":"<div><div>A three-region optimal economic growth model is proposed to represent the global energy transition to net-zero emissions when carbon dioxide removal (CDR) technologies are available. The main features of the model are (i) the representation of the economy and energy use with nested CES production functions; (ii) the representation of climate policy through the use of a safety cumulative emissions budget concept; and (iii) the introduction of an international emissions trading scheme for the implementation of climate policy. Using an infinite horizon optimal control paradigm, several contrasting scenarios are analyzed both in an asymptotic steady state or “turnpike” point, and in an optimal transition to sustainability. This very compact model produces dynamic path simulations that are consistent with the main recommendations from IPCC for long term climate policies. The potential use of this simple model in future developments in climate and economic modeling is discussed.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105114"},"PeriodicalIF":1.9,"publicationDate":"2025-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144084124","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The role of capital expansion in stock evaluation: A variance decomposition approach 资本扩张在股票评价中的作用：方差分解方法
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-05-01 DOI: 10.1016/j.jedc.2025.105113
Huixuan Li , Jing Chen , Manling Zhang , Ya Tang
{"title":"The role of capital expansion in stock evaluation: A variance decomposition approach","authors":"Huixuan Li ,&nbsp;Jing Chen ,&nbsp;Manling Zhang ,&nbsp;Ya Tang","doi":"10.1016/j.jedc.2025.105113","DOIUrl":"10.1016/j.jedc.2025.105113","url":null,"abstract":"<div><div>We extend Cohen et al.'s (2003) variance decomposition framework to examine cross-sectional stock valuation drivers across Chinese and U.S. markets by incorporating expected capital expansion as an additional component. Our analysis demonstrates that in China's A-share market, 32.8 percent of cross-sectional valuation dispersion is attributable to future capital expansion. This positive relationship is mirrored in the NASDAQ market but contrasts with the negative effect observed in the NYSE/AMEX market. In particular, capital expansion exhibits strong explanatory power for valuations of small firms, high-tech companies, and firms listed on China's growth-oriented ChiNext and STAR market segments. Our decomposition approach also measures price informativeness—the degree to which stock valuations reflect future cash flows. We find a significant improvement in the price informativeness of China's stock prices since 2005. These findings enhance our understanding of stock pricing dynamics in growth-oriented markets.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"177 ","pages":"Article 105113"},"PeriodicalIF":1.9,"publicationDate":"2025-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143937941","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Intergenerational income mobility and income taxation 代际收入流动与所得税
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-04-25 DOI: 10.1016/j.jedc.2025.105111
Musab Kurnaz , Mehmet A. Soytas
{"title":"Intergenerational income mobility and income taxation","authors":"Musab Kurnaz ,&nbsp;Mehmet A. Soytas","doi":"10.1016/j.jedc.2025.105111","DOIUrl":"10.1016/j.jedc.2025.105111","url":null,"abstract":"<div><div>We study the impact of income taxation on intergenerational income correlation. We estimate a life cycle dynastic model and conduct counterfactual analysis to observe the effects of various tax regimes. Compared to a no tax environment, a flat tax regime reduces the correlation only by one percentage points. If the flat tax regime provides child benefits, the correlation additionally declines by four percentage points. Finally, if the taxes are progressive, the reduction, which is due to the increase in the fertility rate (quantity) and the decrease in the educational outcome of children (quality), is highly significant (seven percentage points).</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"176 ","pages":"Article 105111"},"PeriodicalIF":1.9,"publicationDate":"2025-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143887186","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic trading strategies for storage 存储的动态交易策略
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-04-23 DOI: 10.1016/j.jedc.2025.105110
Sergei Balakin, Guillaume Roger
{"title":"Dynamic trading strategies for storage","authors":"Sergei Balakin,&nbsp;Guillaume Roger","doi":"10.1016/j.jedc.2025.105110","DOIUrl":"10.1016/j.jedc.2025.105110","url":null,"abstract":"<div><div>We consider a dynamic model of an oligopolistic market with demand shocks, in which a storage unit buys and sells over time subject to a capacity constraint. To make progress in this stochastic game with constraints, we restrict attention to simple heuristics, and we can characterize the optimal policy of a storage unit in this restricted class of strategies. The heuristics, the exogenous stochastic process and the capacity constraint interact to induce rich dynamics. The optimal policy is sensitive to the nature of demand shocks and to storage capacity. For a fixed capacity, the storage unit internalizes its unilateral market power; it acts like a monopolist on its arbitrage spread. We uncover a new phenomenon that we call <em>continuation risk</em>. It is a corollary of market power and induces the optimal capacity to be interior even absent investment cost. We discuss some implications.</div><div>This work applies to any storable commodity such as crops, raw materials or fuels, and more recently, electricity.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"176 ","pages":"Article 105110"},"PeriodicalIF":1.9,"publicationDate":"2025-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143881779","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Patent policy, invention and innovation in the theory of Schumpeterian growth 熊彼特增长理论中的专利政策、发明与创新
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-04-23 DOI: 10.1016/j.jedc.2025.105112
Michael A. Klein
{"title":"Patent policy, invention and innovation in the theory of Schumpeterian growth","authors":"Michael A. Klein","doi":"10.1016/j.jedc.2025.105112","DOIUrl":"10.1016/j.jedc.2025.105112","url":null,"abstract":"<div><div>I develop an endogenous growth model that separates firm decisions to invent, patent, and commercialize new innovations. I use the model to examine how multiple dimensions of patent policy impact economic growth by shaping these relative incentives. I pay particular attention to the role of patenting requirements that dictate how far along the development process an inventor must progress to obtain a patent. The model formalizes how strengthening such requirements generates competing effects on economic growth; stronger requirements reduce ex ante research incentives by increasing the expected cost of patenting, but increase ex post incentives to fully develop patented inventions into commercial innovations by decreasing the additional cost associated with commercialization. Overall, my analysis supports the use of stronger patenting requirements as an effective policy tool to improve economic outcomes by shifting incentives away from invention in the pursuit of patents and towards the development of commercial innovations.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"176 ","pages":"Article 105112"},"PeriodicalIF":1.9,"publicationDate":"2025-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143874414","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Financial conditions, business cycle fluctuations and growth-at-risk 金融状况、商业周期波动和增长面临风险
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-04-17 DOI: 10.1016/j.jedc.2025.105109
Andrea Falconio, Simone Manganelli
{"title":"Financial conditions, business cycle fluctuations and growth-at-risk","authors":"Andrea Falconio,&nbsp;Simone Manganelli","doi":"10.1016/j.jedc.2025.105109","DOIUrl":"10.1016/j.jedc.2025.105109","url":null,"abstract":"<div><div>We augment a quantile vector autoregressive model with the interquartile range of economic growth, a robust proxy for volatility, to assess the relative importance of financial conditions and economic risk in affecting the business cycle. We find that economic risk displays an asymmetric effect on economic growth distribution, very much similar to financial conditions: they substantially increase growth-at-risk, but have limited impact on upside potential. We also document that the asymmetric impact of economic risk depends on the state of the economy and is substantially amplified in times of high economic risk, while remaining subdued in tranquil times.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"176 ","pages":"Article 105109"},"PeriodicalIF":1.9,"publicationDate":"2025-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143868560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do search costs explain persistent investment in active mutual funds? 搜索成本能否解释对主动型共同基金的持续投资？
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2025-04-11 DOI: 10.1016/j.jedc.2025.105099
Aljoscha Janssen , Jurre Thiel
{"title":"Do search costs explain persistent investment in active mutual funds?","authors":"Aljoscha Janssen ,&nbsp;Jurre Thiel","doi":"10.1016/j.jedc.2025.105099","DOIUrl":"10.1016/j.jedc.2025.105099","url":null,"abstract":"<div><div>Active funds, though losing market share since the 1990s, make up nearly half of all mutual funds but charge more without better performance. We analyze fund data and a search model, highlighting the impact of search costs and active fund preferences. From 1993 to 2018, reduced search costs expanded the market and heightened competition, while a preference shift from active to passive funds increased the latter's market share. However, investors who choose active funds, facing higher search costs, and continue to show a strong preference for them, allow these funds to keep charging higher fees.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"176 ","pages":"Article 105099"},"PeriodicalIF":1.9,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143828529","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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