Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case
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DOI: 10.1007/s00199-002-0302-y
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- Peter Hammond & Yeneng Sun, 2001. "Monte Carlo Simulation of Macroeconomic Risk with a Continuum of Agents: The Symmetric Case," Working Papers 01015, Stanford University, Department of Economics.
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- Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
- Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
- Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
- Hammond, Peter J. & Sun, Yeneng, 2016. "The One-way Fubini Property and Conditional Independence : An Equivalence Result," CRETA Online Discussion Paper Series 22, Centre for Research in Economic Theory and its Applications CRETA.
- Khan, M. Ali & Rath, Kali P. & Sun, Yeneng & Yu, Haomiao, 2013.
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- M. Ali Khan & Kali P. Rath & Yeneng Sun & Haomiao Yu, 2012. "Large Games with a Bio-Social Typology," Working Papers 035, Toronto Metropolitan University, Department of Economics.
- Hellwig, Martin, 2022.
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- Martin Hellwig, 2019. "Incomplete-Information Games in Large Populations with Anonymity," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2019_14, Max Planck Institute for Research on Collective Goods.
- Martin F. Hellwig, 2020. "Incomplete-Information Games in Large Populations with Anonymity," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2020_20, Max Planck Institute for Research on Collective Goods, revised 09 Mar 2021.
- Peter J. Hammond & Lei Qiao & Yeneng Sun, 2021.
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Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 1161-1187, April.
- Hammond, Peter J & Qiao, Lei & Sun, Yeneng, 2019. "Monte Carlo Sampling Processes and Incentive Compatible Allocations in Large Economies," The Warwick Economics Research Paper Series (TWERPS) 1229, University of Warwick, Department of Economics.
- Hammond, Peter J. & Qiao, Lei & Sun, Yeneng, 2020. "Monte Carlo Sampling Processes and Incentive Compatible Allocations in Large Economies," CRETA Online Discussion Paper Series 65, Centre for Research in Economic Theory and its Applications CRETA.
- Hammond, Peter J. & Qiao, Lei & Sun, Yeneng, 2019. "Monte Carlo Sampling Processes and Incentive Compatible Allocations in Large Economies," CRETA Online Discussion Paper Series 54, Centre for Research in Economic Theory and its Applications CRETA.
- Lei Qiao & Yeneng Sun & Zhixiang Zhang, 2016. "Conditional exact law of large numbers and asymmetric information economies with aggregate uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 43-64, June.
- Sun, Yeneng & Yannelis, Nicholas C., 2007. "Core, equilibria and incentives in large asymmetric information economies," Games and Economic Behavior, Elsevier, vol. 61(1), pages 131-155, October.
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2005. "Information Acquisition and Portfolio Underdiversification," 2005 Meeting Papers 77, Society for Economic Dynamics.
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- Krueger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers.
- Peter Hammond & Yeneng Sun, 2008.
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Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(2), pages 303-325, August.
- Hammond, Peter J. & Sun, Yeneng, 2007. "Monte Carlo Simulation of Macroeconomic Risk with a Continuum Agents : The General Case," The Warwick Economics Research Paper Series (TWERPS) 803, University of Warwick, Department of Economics.
- Sun, Yeneng, 2006. "The exact law of large numbers via Fubini extension and characterization of insurable risks," Journal of Economic Theory, Elsevier, vol. 126(1), pages 31-69, January.
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Keywords
Keywords and Phrases: Large economy; Continuum of agents; Law of large numbers; Exchangeability; Joint measurability problem; de Finetti's theorem; Monte Carlo convergence; Monte Carlo $sigma$-algebra.; JEL Classification Numbers: D80; C00; E00.;All these keywords.
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