Key Speakers

The existence of a solution for the model is proved under weaker conditions than the ones generally used in the literature. In particular, the results did not require the existence of a continuous equilibrium price selection or concavity assumptions on the profit function.

We consider infinite horizon economies with incomplete markets and limited enforcement of credit contracts, in which agents are subject to endogenous debt limits designed to prevent default and allow for maximal credit expansion. We show that a large class of bubbles can be introduced in asset prices by appropriately tightening agents’ debt limits, without affecting consumption.

Let us consider a sequence of problems (P)_n, n a natural number and let (a_n) be a sequence of solutions corresponding to (P)_n. If the sequence (a_n) converges (in a certain space) to an element x, then is it true that x is a solution of another problem (P)? In general our goal is to establish (sufficient) conditions such that x to be a solution of the problem (P). Consider the parametric vector optimization (VO)_n with the solution set S(n). If S(&#8734) is the solutions set of the “limit” vector optimization problem, how these affects the correspondence between S(n) and S(&#8734)? This general idea is extended to parametric Pareto optimization.

We illustrate the applicability of option valuation methodology, most often used in financial asset pricing, for modeling worker-firm dynamics in the labor market, by means of two concrete examples. In the first example, we develop a model based on efficient bargaining between one worker and one firm. Starting a job requires an irreversible specific investment, lost upon separation between the worker and the firm. The combination of investment irreversibility and worker productivity following a random walk allows the application of real option theory. We derive the worker-firm separation rule and compute the distribution of job tenures. Assuming a standard bargaining rule for wage determination, we calculate the tenure profiles in wages. We show how to identify and estimate the model with panel data containing information on worker job spells and related wages. In the second example, we develop a dynamic labor demand framework of a firm with many workers, where the firm is facing uncertainty in the demand for its products. Irreversible firing costs and the Brownian process assumed for the evolution of the exogenous market demand imply that firing workers has an option value. We use real options techniques to compute the firm’s optimal worforce adjustment behavior. We analyze a specific case of firing costs heterogenous in the worker’s eligibility for early retirement, and show how that affects the workers’ layoff probability. The model’s implications are tested on the entire set of mass layoff events in large Danish firms over two decades, using exhaustive linked employer-employee data.

The Rome Report, published in 1972, drew attention on the contradiction between unlimited growth and consumption in relation to the limited resources of Earth. This paper presents an application of AHP (Analytic Hierarchy Process) in the ranking of regional sustainable development policy options. It will be presented a comparative analysis of the weights obtained with different methods and their impact on the environmental, economic and social objectives. The case study, the scenario of different regional policy options, will refer to Mure? County, Romania. Furthermore, numerical results will be obtained using the Expert Choice software package.

Stochastic Optimal Control has an increasingly important role in science, economics and the sectors of environment and finance, and is extensively used in various applications. We present applications of Stochastic Hybrid models in biology, ecology, monetary systems and finance to account for regime switching dynamics. Stochastic models with a motion part and additionally a jump part are able to capture abrupt fluctuations that are a usual phenomenon in genetic and environmental networks and in financial markets. These kinds of models allow for more realistic investigation of portfolio optimization and utility maximization in financial markets and in genetic, metabolic and ecological interaction. The models comprise portfolio optimization with optimal investment and consumption strategies. Explicit consideration of risk aversion in an optimal investment and consumption problem allows for optimality conditions that are related to specific risk types in a market. A more general model for portfolio and gene-environment optimization is established afterwards. We conclude with an outlook on future studies.