Information and Efficiency in Economic Decision (Advanced Studies in Theoretical and Applied Econometrics, 4)

Sengupta, Jati

ISBN 10: 9401087377 / ISBN 13: 9789401087377

Editore: Springer, 2011

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Dati bibliografici

• Titolo: Information and Efficiency in Economic Decision (Advanced Studies in Theoretical and Applied Econometrics, 4)
• Editore: Springer
• Data di pubblicazione: 2011
• Lingua: Inglese
• ISBN 10: 9401087377
• ISBN 13: 9789401087377
• Rilegatura: Paperback
• Condizione: Like New
• Tipo di libro: book

Descrizione articolo

Riassunto

Use of information is basic to economic theory in two ways. As a basis for optimization, it is central to all normative hypotheses used in eco­ nomics, but in decision-making situations it has stochastic and evolution­ ary aspects that are more dynamic and hence more fundamental. This book provides an illustrative survey of the use of information in econom­ ics and other decision sciences. Since this area is one of the most active fields of research in modern times, it is not possible to be definitive on all aspects of the issues involved. However questions that appear to be most important in this author's view are emphasized in many cases, without drawing any definite conclusions. It is hoped that these questions would provoke new interest for those beginning researchers in the field who are currently most active. Various classifications of information structures and their relevance for optimal decision-making in a stochastic environment are analyzed in some detail. Specifically the following areas are illustrated in its analytic aspects: 1. Stochastic optimization in linear economic models, 2. Stochastic models in dynamic economics with problems of time-inc- sistency, causality and estimation, 3. Optimal output-inventory decisions in stochastic markets, 4. Minimax policies in portfolio theory, 5. Methods of stochastic control and differential games, and 6. Adaptive information structures in decision models in economics and the theory of economic policy.

Contenuti

I. Introductory problems.- 1. Stochastic optimization: examples and applications.- 2. Stochastic optimization in linear economic models.- A. Stochastic linear programming.- B. Linear stochastic control.- II. Linear quadratic models.- 3. Informetric analysis of dynamic decision rules in applied economic models..- 4. Optimal output—inventory decisions in stochastic markets.- 5. A minimax policy for optimal portfolio choice.- 6. A two-period stochastic inventory model.- 7. Risk in supply response: an econometric application.- 8. Optimal portfolio investment in a dynamic horizon.- 9. Short-term industry — output behavior: an economic analysis.- III. Game theory in economics.- 10. Optimal control in limit pricing under uncertain entry.- 11. Game theory models applied to economic systems: their information structure and stability.- 12. Stochastic models in dynamic economics: problems of time inconsistency, causality and estimation.- IV. Efficiency analysis and risk aversion in economic models.- 13. Multivariate risk aversion with applications.- V. Economic planning and stochastic optimization.- 14. Uncertainty and economic planning, selective survey and appraisal.- 15. Risk aversion in decision models.- 16. Risk aversion, robustness and adaptive information in decision models.- VI. Index.