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Power Utility Maximization in Constrained Exponential Lévy Models
(2009)arXivWe study power utility maximization for exponential L\'evy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the L\'evy triplet is constructed under minimal assumptions by solving the Bellman equation. We use a novel transformation of the model to avoid technical conditions. The consequences for q-optimal martingale measures are ...Working Paper -
How much do journal titles tell us about the academic interest and relevance of economic research?
(2009)Working PaperUnlike in other disciplines, research output in economics is commonly measured based on the journal titles in which an author has published. Here, I examine how much output measures based on journal titles tell us about the academic interest and relevance of economic papers as measured by citation frequency. Using data from the 2008 Handelsblatt ranking of economists in German speaking countries and interdisciplinary citation data from ...Working Paper -
Quasi-morphisms on Free Groups
(2009)arXivLet F be the free group over a set of two or more generators. In [2] R. Brooks constructed an infinite family of quasi-morphisms F -> R such that an infinite subfamily gives rise to independent classes in the second bounded cohomology H2b(F,R), which proves that this space is infinite dimensional, cf. [7]. We give a simpler proof of this fact using a different type of quasi-morphisms. After computing the Gromov norm of the corresponding ...Working Paper -
Policy Relevance of New Institutional Economics? Assessing Efficiency, Legitimacy and Effectiveness
(2009)Discussion paper series on the Coherence between institutions and technologies in infrastructuresWorking Paper -
Oil and growth in transition countries
(2009)OxCarre Research PaperThis paper examines the impact of oil on economic growth in transition economies of the former Soviet Union and Central and Eastern Europe. I use oil production and reserves data in a series of panel estimations to show that oil has had positive growth effects between 1990-2006, although they appear to be diminishing for very large producers. These positive effects are confirmed when I consider different oil ownership structures. Oil has ...Working Paper -
Energy demand and energy efficiency in the OECD countries
(2009)CEPE Working PaperThis paper attempts to estimate a panel ‘frontier’ whole economy aggregate energy demand function for 29 countries over the period 1978 to 2006 using stochastic frontier analysis (SFA). Consequently, unlike standard energy demand econometric estimation, the energy efficiency of each country is also modelled and it is argued that this represents a measure of the underlying efficiency for each country over time, as well as the relative ...Working Paper -
Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem
(2009)Working paperWe study a quadratic BSDE in a continuous filtration with an unbounded generator and an infinite time horizon. This equation comes from a stochastic control problem in the context of robust utility maximisation. We prove existence and uniqueness, in a suitable class, of a solution to the BSDE, and we show that the BSDE characterises the dynamic value process of the stochastic control problem.Working Paper -
The EU 20/20/2020 Targets
(2009)ESRI Working PaperThree computable general equilibrium models are used to estimate the economic implications of a stylized version of EU climate policy. If implemented at the lowest possible cost, the 20% emissions reduction would lead to a welfare loss of 0.5-2.0% by 2020. Second-best policies increase costs. A policy with two carbon prices (one for the ETS, one for the non-ETS) could increase costs by up to 50%. A policy with 28 carbon ...Working Paper