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Comparative Statics under Uncertainty : Single Crossing Properties and Log-Supermodularity

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  • Athey, S

Abstract

This paper develops necessary and sufficient conditions for monotone comparative statics predictions in several general classes of stochastic optimization problems. There are two main results, where the first pertains to single crossing properties (of marginal returns, incremental returns, and indifference curves) in stochastic problems with a single random variable, and the second class involves log-supermodularity of functions with multiple random variables (where log-supermodularity of a density corresponds to the property affiliation from auction theory).

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Bibliographic Info

Paper provided by Massachusetts Institute of Technology (MIT), Department of Economics in its series Working papers with number 96-22.

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Length: 57 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:mit:worpap:96-22

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Postal: MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), DEPARTMENT OF ECONOMICS, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA
Phone: (617) 253-3361
Fax: (617) 253-1330
Web page: http://econ-www.mit.edu/
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Postal: MASSACHUSETTS INSTITUTE OF TECHNOLOGY (MIT), DEPARTMENT OF ECONOMICS, 50 MEMORIAL DRIVE CAMBRIDGE MASSACHUSETTS 02142 USA
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Keywords: STATISTICS ; DECISION MAKING ; RISK ; UNCERTAINTY;

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Cited by:
  1. Mathias Dewatripont & Patrick Legros & Steven A. Matthews, 2003. "Moral Hazard and Capital Structure Dynamics," PIER Working Paper Archive 03-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  2. McAdams, David, 2002. "Isotone Equilibrium in Games of Incomplete Information," Working papers 4248-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  3. Federico Echenique., 2000. "Comparative Statics by Adaptive Dynamics and The Correspondence Principle," Economics Working Papers, University of California at Berkeley E00-273, University of California at Berkeley.
  4. Hennessy, David A., 1997. "The short- and long-run comparative statics of uncertainty," Economics Letters, Elsevier, Elsevier, vol. 55(3), pages 347-353, September.
  5. Jonathan Levin & Susan Athey, 2001. "The Value of Information in Monotone Decision Problems," Working Papers, Stanford University, Department of Economics 01003, Stanford University, Department of Economics.
  6. Ghossoub, Mario, 2010. "Supplement to "Belief heterogeneity in the Arrow-Borch-Raviv insurance model"," MPRA Paper 37717, University Library of Munich, Germany, revised 22 Mar 2012.
  7. Lones Smith, 2000. "Private Information and Trade Timing," American Economic Review, American Economic Association, American Economic Association, vol. 90(4), pages 1012-1018, September.
  8. Saak, Alexander E. & Hennessy, David A., 2001. "Location, Land Quality, And Rental Volatility," 2001 Annual meeting, August 5-8, Chicago, IL, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) 20747, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  9. Jorge Ibarra-Salazar, 2005. "The Newsboy Model: Changes in Risk and Price," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 30(1), pages 99-109, June.
  10. Athey, Susan. & Stern, Scott, 1969-, 1998. "An empirical framework for testing theories about complementarity in orgaziational design," Working papers WP 4022-98., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  11. Steven Matthews, 2002. "Moral Hazard and Capital Structure Dynamics (joint with Mathias Dewatripont and Patrick Legros) Note the special time," Theory workshop papers, UCLA Department of Economics 357966000000000095, UCLA Department of Economics.
  12. Susan Athey & Scott Stern, 1998. "An Empirical Framework for Testing Theories About Complimentarity in Organizational Design," NBER Working Papers 6600, National Bureau of Economic Research, Inc.

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