Listagem FGV EPGE - Escola Brasileira de Economia e Finanças por autor "Monteiro, P. K."
Itens para a visualização no momento 1-20 of 26
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Equilibria in security markets with a continuum of agents
2003-11-01We prove the existence of a competitive equilibrium for exchange economies with a measure space of agents and for which the commodity space is ` p, 1 < p < +∞. A vector x = (xn) in ` p may be interpreted as a security which ... -
Equilibrium theory with asymmetric information and infinitely many states
2008-02-28Radner (1968) proved the existence of a competitive equilibrium for differential information economies with finitely many states. We extend this result to economies with infinitely many states of nature. -
Exclusão e multidimensionalidade de tipos em leilões ótimos
2006-09-01Em um modelo de leil˜oes com valores privados independentes demonstramos que se os tipos s˜ao multidimensionais ent˜ao no leil˜ao ´otimo h´a exclus˜ao de tipos. -
Existence of nash equilibrium in competitive nonlinear pricing games with adverse selection
2003-10-09We show that for a large class of competitive nonlinear pricing games with adverse selection, the property of better-reply security is naturally satisfied - thus, resolving via a result due to Reny (1999) the issue of ... -
First-price auction symmetric equilibria with a general distribution
2006-05-01In this paper I obtain the mixed strategy symmetric equilibria of the first-price auction for any distribution. The equilibrium is unique. The solution turns out to be a combination of absolutely continuous distributions ... -
First-Price auction symmetric equlibria with a general distribution
2004-09-01In this paper I obtain the mixed strategy symmetric equilibria of the first-price auction for any distribution. The equilibrium is unique. The solution turns out to be a combination of absolutely continuous distributions ... -
Full surplus extraction with dominant strategies
2000-06-01In this note I consider the fuI! surplus extraction in an auction with private but possibly correlated values. I show that fuI! extraction in the continuum of types case is not possible in general. Neither is approximate ... -
Inflation and income inequality: a shopping-time aproach: (Forthcoming, Journal of Development Economics)
2004-09-01Our work is based on a simpliÖed heterogenous-agent shoppingtime economy in which economic agents present distinct productivities in the production of the consumption good, and di§erentiated access to transacting assets. ... -
Introdução a integração estocástica
1994-06 -
Introdução à integração estocástica (Revisado em Julho de 1999)
1999-08-01A integração estocástica é a ferramenta básica para o estudo do apreçamento de ativos derivados1 nos modelos de finanças de tempo contínuo. A fórmula de Black e Scholes é o exemplo mais conhecido. Os movimentos de preços ... -
Leilão ótimo com distribuição geral
2007-02-08 -
A note on convergence of Peck-Shell and Green-Lin mechanisms in the Diamond-Dybvig model
2011-07-27We study the effects of population size in the Peck-Shell analysis of bank runs. We find that a contract featuring equal-treatment for almost all depositors of the same type approximates the optimum. Because the approximation ... -
On the differentiability of the consumer demand function
1993-05For strictly quasi concave differentiable utility functions, demand is shown to be differentiable almost everywhere if marginal utilities are pointwise Lipschitzian. For concave utility functions, demand is differentiable ... -
On uniqueness of equilibrium in the Kyle Model
2014-12-27A longstanding unresolved question is whether the one-period Kyle Model of an informed trader and a noisily informed market maker has an equilibrium that is different from the closed-form solution derived by Kyle (1985). ... -
Optimal auction with a general distribution: virtual valuation without densities
2008-11-25We characterize the optimal auction in an independent private values framework for a completely general distribution of valuations. We do this introducing a new concept: the generalized virtual valuation. To show the wider ... -
Optimal auctions in a general model of identical goods
1999-10-01In this paper I study optimal auctions of identical goods. There is synergy in the number of goods and independent bidder’s signals. -
Optimal auctions with multidimensional types and the desirability of exclusion
2004-03-01Within the context of a single-unit, independent private values auction model, we show that if bidder types are multidimensional, then under the optimal auction exclusion of some bidder types will occur. A second contribution ... -
Porque favorecer firmas nacionais?
2000-04-06In this paper we offer a rationale for the existence of preferences for domestic…rms in government procurement. When the domestic…rm’s probability of completion of a government contract is larger than the foreign …rms ... -
Resultados uniformemente seguros e equilíbrio de Nash em jogos compactos
2006-09-01Nós introduzimos uma condição, resultados uniformemente seguros, para jogos compactos e resultados ('payoffs') limitados e mensur´aveis nas estrat´egias. Demonstramos que se um jogo compacto tem resultados uniformemente ...
