Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Author "Riedel, Frank"

Now showing items 1-13 of 13

1997-02-07Buch

A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds

Riedel, Frank

The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage ...
2005-10-12Buch

Arrow-Debreu Equilibria With Asymptotically Heterogeneous Expectations Exist

Riedel, Frank

In infinite horizon economies only local equivalence of beliefs is needed to ensure the existence of an Arrow–Debreu equilibrium. In fact, agents can even disagree completely in the long run in the sense that asymptotically, ...
1998-04-13Buch

Evolutionary Dynamics on Infinite Strategy Spaces

Oechssler, Jörg; Riedel, Frank
2000-12-13Buch

Existence and Structure of Stochastic Equilibria with Intertemporal Substitution

Bank, Peter; Riedel, Frank
2006-01-13Buch

Heterogeneous Time Preferences and Interest Rates

The Preferred Habitat Theory Revisited

Riedel, Frank

The influence of heterogeneous time preferences on the term structure is investigated. Motivated by the Preferred Habitat Theory of Modigliani and Sutch, a model for intertemporal preferences accounting for preferred ...
2000-01-01Buch

Implementing Efficient Market Structure

Grimm, Veronika; Riedel, Frank; Wolfstetter, Elmar
2005-10-12Buch

Low Price Equilibrium in Multi–Unit Auctions: The GSM Spectrum Auction in Germany

Grimm, Veronika; Riedel, Frank; Wolfstetter, Elmar

The second–generation GSM spectrum auction in Germany is probably the most clear cut example of a low price outcome in a simultaneous ascending–bid auction. The present paper gives an account of the events, describes the ...
2006-03-16Buch

Non-Time Additive Utility Optimization

the Case of Certainty

Riedel, Frank; Bank, Peter

We study the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities. Necessary and sufficient conditions for optimality are given. An explicit solution is provided for a large class of utility functions. ...
2000-04-04Buch

On the Dynamic Foundation of Evolutionary Stability in Continuous Models

Oechssler, Jörg; Riedel, Frank
2005-10-24Buch

Optimal Consumption Choice for Ratchet Investors

Riedel, Frank

The utility maximization problem of ’ratchet investors’ who do not tolerate any decline in their consumption rate is solved explicitly for all felicity functions in a Markovian framework which includes Brownian motion and ...
2005-09-09Buch

Optimal Consumption Choice under Uncertainty with Intertemporal Substitution

Bank, Peter; Riedel, Frank

We extend the analysis of the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities reported in Bank and Riedel (1998) to the stochastic case. Existence and uniqueness of optimal consumption plans are ...
1997-09-23Buch

The Term Structure of Interest Rates when the Growth Rate is Unobservable

Riedel, Frank

The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty. When the growth rate of the aggregate endowment is known, the term ...
2001-08-01Buch

The Third Generation (UMTS) Spectrum Auction in Germany

Grimm, Veronika; Riedel, Frank; Wolfstetter, Elmar

The third generation UMTS auction in Germany raised an enormous amount of revenue, and at the same time achieved a more competitive market structure than other UMTS auctions in Europe. The present paper explains the design ...