Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Pourbabaee, Farzad"'
We investigate the effects of a large (but finite) state space on models of efficient risk sharing. A group of risk-averse agents agree on a risk-sharing agreement in an economy without aggregate risk. The economy is subject to a perturbation, or sho
Externí odkaz:
http://arxiv.org/abs/2401.07337
In a misspecified social learning setting, agents are condescending if they perceive their peers as having private information that is of lower quality than it is in reality. Applying this to a standard sequential model, we show that outcomes improve
Externí odkaz:
http://arxiv.org/abs/2301.11237
We study mechanism design for public-good provision under a noisy privacy-preserving transformation of individual agents' reported preferences. The setting is a standard binary model with transfers and quasi-linear utility. Agents report their prefer
Externí odkaz:
http://arxiv.org/abs/2301.06967
Autor:
Manso, Gustavo, Pourbabaee, Farzad
We study a social bandit problem featuring production and diffusion of knowledge. While higher connectivity enhances knowledge diffusion, it may reduce knowledge production as agents shy away from experimentation with new ideas and free ride on the o
Externí odkaz:
http://arxiv.org/abs/2202.00729
Autor:
Pourbabaee, Farzad
I introduce a dynamic model of learning and random meetings between a long-lived agent with unknown ability and heterogeneous projects with observable qualities. The outcomes of the agent's matches with the projects determine her posterior belief abo
Externí odkaz:
http://arxiv.org/abs/2201.01813
Autor:
Pourbabaee, Farzad
Publikováno v:
Economics Letters, 2021, Elsevier
A decision maker's utility depends on her action $a\in A \subset \mathbb{R}^d$ and the payoff relevant state of the world $\theta\in \Theta$. One can define the value of acquiring new information as the difference between the maximum expected utility
Externí odkaz:
http://arxiv.org/abs/2105.00545
Autor:
Pourbabaee, Farzad
Publikováno v:
Economic Theory, pp. 1-31, 2000, Springer
We study the experimentation dynamics of a decision maker (DM) in a two-armed bandit setup (Bolton and Harris (1999)), where the agent holds ambiguous beliefs regarding the distribution of the return process of one arm and is certain about the other
Externí odkaz:
http://arxiv.org/abs/2104.00102
Large Deviations of Factor Models with Regularly-Varying Tails: Asymptotics and Efficient Estimation
Autor:
Pourbabaee, Farzad, Solari, Omid Shams
We analyze the \textit{Large Deviation Probability (LDP)} of linear factor models generated from non-identically distributed components with \textit{regularly-varying} tails, a large subclass of heavy tailed distributions. An efficient sampling metho
Externí odkaz:
http://arxiv.org/abs/1903.12299
Autor:
Pourbabaee, Farzad1 (AUTHOR) far@caltech.edu
Publikováno v:
Economic Theory. Dec2024, Vol. 78 Issue 4, p1075-1115. 41p.
We consider the problem of minimizing capital at risk in the Black-Scholes setting. The portfolio problem is studied given the possibility that a correlation constraint between the portfolio and a financial index is imposed. The optimal portfolio is
Externí odkaz:
http://arxiv.org/abs/1411.6657