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  • Economics  (2)
  • 1
    Online Resource
    Online Resource
    Cambridge University Press (CUP) ; 2021
    In:  Macroeconomic Dynamics Vol. 25, No. 7 ( 2021-10), p. 1779-1809
    In: Macroeconomic Dynamics, Cambridge University Press (CUP), Vol. 25, No. 7 ( 2021-10), p. 1779-1809
    Abstract: This paper studies the macroeconomic effects of shocks to idiosyncratic business risk in an economy with endogenously incomplete markets. I develop a model in which firms face idiosyncratic risk and obtain insurance from intermediaries through contracts akin to credit lines. Insurance is imperfect due to limited commitment in financial contracts. Although steady-state capital is higher than if firms were constrained to issue only standard equity, a rise in uncertainty about idiosyncratic business outcomes leads to an endogenous reduction in risk sharing. This deterioration in risk sharing results from a general-equilibrium shortage of pledgeable assets and implies that the economy’s response to an increase in idiosyncratic business risk can be amplified by financial contracting rather than dampened. In a parametrized version of the model, a rise in idiosyncratic business risk generates a large increase in uncertainty about aggregate investment.
    Type of Medium: Online Resource
    ISSN: 1365-1005 , 1469-8056
    RVK:
    Language: English
    Publisher: Cambridge University Press (CUP)
    Publication Date: 2021
    detail.hit.zdb_id: 1501533-6
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  • 2
    Online Resource
    Online Resource
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2012
    In:  INFORMS Journal on Computing Vol. 24, No. 2 ( 2012-05), p. 328-341
    In: INFORMS Journal on Computing, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 24, No. 2 ( 2012-05), p. 328-341
    Abstract: The 𝒩 𝒫 -hard maximum monomial agreement problem consists of finding a single logical conjunction that is most consistent with or “best fits” a weighted data set of “positive” and “negative” binary vectors. Computing weighted voting classifiers using boosting methods involves a maximum agreement subproblem at each iteration, although such subproblems are typically solved in practice by heuristic methods. Here, we describe an exact branch-and-bound method for maximum agreement over Boolean monomials, improving on the earlier work of Goldberg and Shan [Goldberg, N., C. Shan. 2007. Boosting optimal logical patterns. Proc. 7th SIAM Internat. Conf. Data Mining, SIAM, Philadelphia, 228–236]. Specifically, we develop a tighter upper bounding function and an improved branching procedure that exploits knowledge of the bound and the particular data set, while having a lower branching factor. Experimental results show that the new method is able to solve larger problem instances and runs faster within a linear programming boosting procedure applied to medium-sized data sets from the UCI Machine Learning Repository. The new algorithm also runs much faster than applying a commercial mixed-integer programming solver, which uses linear programming relaxation-based bounds, to an integer linear programming formulation of the problem.
    Type of Medium: Online Resource
    ISSN: 1091-9856 , 1526-5528
    RVK:
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2012
    detail.hit.zdb_id: 2070411-2
    detail.hit.zdb_id: 2004082-9
    SSG: 3,2
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