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Avoiding Root-Finding in the Krusell-Smith Algorithm Simulation 在Krusell-Smith算法模拟中避免寻根
Pub Date : 2020-07-06 DOI: 10.2139/ssrn.3702256
Ivo Bakota
This paper proposes a novel method to compute the simulation part of the Krusell-Smith (1997, 1998) algorithm when the agents can trade in more than one asset (for example, capital and bonds). The Krusell-Smith algorithm is used to solve general equilibrium models with both aggregate and uninsurable idiosyncratic risk and can be used to solve bounded rationality equilibria and to approximate rational expectations equilibria. When applied to solve a model with more than one financial asset, in the simulation, the standard algorithm has to impose equilibria for each additional asset (find the market-clearing price), for each period simulated. This procedure entails root-finding for each period, which is computationally very expensive. I show that it is possible to avoid this root-finding by not imposing the equilibria each period, but instead by simulating the model without market clearing. The method updates the law of motion for asset prices by using Newton-like methods (Broyden’s method) on the simulated excess demand, instead of imposing equilibrium for each period and running regressions on the clearing prices. Since the method avoids the root-finding for each time period simulated, it leads to a significant reduction in computation time. In the example model, the proposed version of the algorithm leads to a 32% decrease in computational time, even when measured conservatively. This method could be especially useful in computing asset pricing models (for example, models with risky and safe assets) with both aggregate and uninsurable idiosyncratic risk since methods which use linearization in the neighborhood of the aggregate steady state are considered to be less accurate than global solution methods for these particular types of models.
本文提出了一种新的方法来计算Krusell-Smith(1997,1998)算法的模拟部分,当代理人可以交易多个资产(例如资本和债券)时。Krusell-Smith算法用于求解具有总量和不可保特殊风险的一般均衡模型,并可用于求解有限理性均衡和逼近理性期望均衡。当应用于解决具有多个金融资产的模型时,在模拟中,标准算法必须为每个模拟时期的每个额外资产(找到市场出清价格)施加均衡。这个过程需要为每个周期查找根,这在计算上非常昂贵。我表明,通过不强加每个时期的均衡,而是通过模拟没有市场出清的模型,有可能避免这种寻根。该方法通过对模拟的过剩需求使用类似牛顿的方法(Broyden方法)来更新资产价格的运动规律,而不是对每个时期施加均衡并对清算价格进行回归。由于该方法避免了模拟每个时间段的寻根,因此大大减少了计算时间。在示例模型中,即使在保守测量时,所提出的算法版本也可以使计算时间减少32%。这种方法在计算具有总体和不可保险的特殊风险的资产定价模型(例如,具有风险和安全资产的模型)时特别有用,因为在总体稳态附近使用线性化的方法被认为比这些特定类型模型的全局解决方法更不准确。
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引用次数: 0
Herding Behaviour and Investment Decisions of Individuals With Fraudulent Microfinance Institutions in Ghana 加纳欺诈性小额信贷机构的羊群行为和个人投资决策
Pub Date : 2018-11-30 DOI: 10.26803/myres.2018.15
A. Abotsi, Theophilus Edward Richardson
Access to credit and financial services of sections of the societies in low-income developing countries has led to the proliferation of genuine and fraudulent microfinance institutions in recent times and this has been the subject of intense interest by researchers. This study explores the sociological and psychological factors that influence investment decisions of individuals with microfinance institutions to maximize their economic wellbeing in spite of the high incidence of atrophy of such institutions and fraud. This is an exploratory research which adopted a descriptive analytic approach in the analysis. In all 165 respondents were purposively selected from five administrative areas in the Brong Ahafo Region in Ghana. The study found that out of the total respondents of 165 who ever engaged in business with microfinance institutions, 119 of them have ever been swindled by microfinance institution. The respondents exhibited herding behaviour in their investment decisions with these fraudulent microfinance institutions. These fraudulent microfinance institutions used interest rate as a conduit to deceive and lure people to save with them. The respondents used bounded rationality in their investment decisions which resulted in the bad investment with these fraudulent microfinance institutions.
近年来,低收入发展中国家社会各阶层获得信贷和金融服务的机会导致了真实和欺诈性小额信贷机构的激增,这一直是研究人员感兴趣的主题。本研究探讨了影响小额信贷机构个人投资决策的社会学和心理学因素,以最大限度地提高他们的经济福利,尽管此类机构萎缩和欺诈的发生率很高。这是一项探索性研究,在分析中采用了描述性分析方法。在所有165名答复者中,有目的地从加纳布隆阿哈福地区的五个行政区中选出。研究发现,在165名曾与小额信贷机构有过业务往来的受访者中,有119人曾被小额信贷机构诈骗。受访者在与这些欺诈性小额信贷机构的投资决策中表现出羊群行为。这些欺诈性的小额信贷机构利用利率作为欺骗和引诱人们在他们那里储蓄的渠道。受访者在投资决策中使用有限理性,导致这些欺诈性小额信贷机构的不良投资。
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引用次数: 1
Bounded Rationality, Heuristics, Computational Complexity, and Artificial Intelligence 有限理性,启发式,计算复杂性和人工智能
Pub Date : 2018-09-10 DOI: 10.1108/S0742-332220180000039010
R. Bettis, Songcui Hu
Herbert A. Simon and Alan Newell won the Turing Award jointly in Computer Science for foundational work on Artificial Intelligence. Simon also won the Nobel Prize in Economics for the concept of “bounded rationality.” In both cases, the same heuristic was deemed fundamental: “Search till a satisfactory solution is found.” We argue that behavioral strategy can learn a great deal from the Theory of Computational Complexity and Artificial Intelligence. These fields can provide a sounder theoretical grounding for bounded rationality and for the necessity and usefulness of heuristics. Finally, a concept of “organizational intractability” based roughly on the metaphor provided by the Theory of Computational Complexity may be useful in determining what analytical decision technologies are actually intractable in real organizations with constraints on time and managerial attention.
Herbert A. Simon和Alan Newell因在人工智能方面的基础性工作而共同获得了计算机科学奖图灵奖。西蒙还因为“有限理性”的概念获得了诺贝尔经济学奖。在这两种情况下,相同的启发式被认为是基本的:“搜索直到找到满意的解决方案。”我们认为行为策略可以从计算复杂性理论和人工智能中学到很多东西。这些领域可以为有限理性和启发式的必要性和有用性提供更坚实的理论基础。最后,基于计算复杂性理论(Theory of Computational Complexity)提供的隐喻的“组织难处理性”概念,可能有助于确定在时间和管理注意力受限的真实组织中,哪些分析决策技术实际上是难以处理的。
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引用次数: 8
Bundling Information Goods and Access – Simulating Competition 信息商品捆绑与准入——模拟竞争
Pub Date : 2018-05-17 DOI: 10.2139/ssrn.3368062
Bronwyn E. Howell, P. Potgieter
We discuss the effect of pricing strategies by two firms on the total firm revenue, consumer and total welfare using simulation and numerical analysis. We consider pricing decisions for mixed bundling and where each firm offers two closely related products as well as a bundle. Bundling is a key feature for information goods (Bakos & Brynjolfsson, 1999; Shapiro & Varian, 1999) and we might assume that the market has two differentiated content products (each of which is a bundle of channels, for example, or a bundle of content titles to which access is sold). In many markets, this would be a basic entertainment product and then a sports product or a premium bundle with recent films etc. We can also consider this to be an access and a content product, to consider the issues around merger of content and access firms. In the model for this paper, we introduce a principle of bounded rationality by limiting the ability of the firms to determine revenue-maximising pricing strategies. That means that the firms are able to reduce their effort to find a revenue optimum and will in general find a relatively good solution only but not necessarily an optimum one. Considering the effects of this approach might be useful for both regulators and firms. We also assume that the firms collude to maximise their joint revenue, which we regard as a realistic supposition in a duopoly market. The model can be extended to cover the case where one firm offers/bundles more than two products but this is a topic for future research.
本文采用模拟和数值分析的方法,讨论了两家企业定价策略对企业总收入、消费者福利和总福利的影响。我们考虑混合捆绑的定价决策,其中每个公司提供两种密切相关的产品以及捆绑。捆绑销售是信息产品的一个关键特征(Bakos & Brynjolfsson, 1999;夏皮罗和瓦里安,1999),我们可以假设市场上有两种不同的内容产品(例如,每一种都是一组频道,或者是一组内容标题,这些内容标题是出售访问权的)。在许多市场中,这将是一个基本的娱乐产品,然后是一个运动产品或与最近的电影等捆绑在一起的高级产品。我们也可以把它看作是一个访问和内容产品,来考虑有关内容和访问公司合并的问题。在本文的模型中,我们通过限制企业确定收益最大化定价策略的能力,引入了有限理性原则。这意味着企业能够减少寻找收益最优的努力,通常只会找到一个相对较好的解决方案,但不一定是最优的解决方案。考虑这种方法的影响可能对监管机构和企业都有帮助。我们还假设两家公司串通以使其共同收入最大化,我们认为这在双寡头垄断市场中是一个现实的假设。该模型可以扩展到一个公司提供/捆绑两种以上产品的情况,但这是一个未来研究的主题。
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引用次数: 0
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DecisionSciRN: Bounded Rationality (Sub-Topic)
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