1,720,988 research outputs found
Optimizing index tracking: A Random Matrix Theory approach to portfolio selection
Get PDFTheory with network-based eigenvalue centrality to construct compact and representative
portfolios. The approach filters out noise and systemic effects from the asset correlation
structure, enabling the identification of stock communities and the selection of their most
influential members. A tunable parameter balances the trade-off between minimizing tracking
error and maximizing excess return. Extensive empirical validation across diverse market
conditions—classified using a volatility-based regime framework—confirms the robustness and
adaptability of the method. This framework offers a scalable and computationally efficient
solution for index tracking, suitable for both institutional investors and practical portfolio
management
NONLINEAR DYNAMICS AND ECONOMIC GROWTH. THE INFLUENCE OF ELASTICITY OF SUBSTITUTION BETWEEN INPUT FACTORS AND DIFFERENTIAL SAVINGS PROPENSITIES.
Get PDFQuesta tesi analizza le dinamiche qualitative e quantitative del modello di crescita economica Solow-Swan con differenti tassi di risparmio per lavoratori e capitalisti considerando differenti funzioni di produzione, al fine di studiare come le dinamiche di lungo periodo di un’economia sono influenzate dall’elasticità di sostituzione tra i fattori della produzione e da differenti propensioni al risparmio.
Nel primo capitolo è discusso il problema di stabilire una relazione tra elasticità di sostituzione ed i livelli di capitale ed output pro capite quando si considera una funzione di produzione con elasticità di sostituzione variabile. Nel capitolo vengono proposte definizioni di elasticità di sostituzione associata a differenti attrattori ed è introdotto un metodo di misura. L’obiettivo è di comparare modelli dinamici di crescita con funzioni di produzione di tipo VES, sigmoidale o CES. A tal fine, il metodo proposto è applicato al modello di Kaldor considerando una tecnologia VES. Ne emerge che quando le dinamiche sono semplici (convergenza ad un punto fisso), un Paese in cui l’elasticità di sostituzione tra capitale e lavoro è più elevata è caratterizzato da un più alto livello di equilibrio del capitale e dell’output pro capite. Nel caso in cui l’equilibrio di lungo periodo è invece un ciclo o una dinamica più complessa, tale relazione è ambigua.
Nel secondo capitolo è analizzato il modello di Kaldor assumendo che la tecnologia sia descritta dalla funzione di produzione Shifted Cobb-Douglas, una funzione di produzione che, differentemente dalla CES e VES precedentemente considerate in letteratura, permette di analizzare le dinamiche sia delle economie non sviluppate che di quelle in via di sviluppo e delle economie sviluppate. Il modello che ne risulta è descritto da una mappa discontinua con presenza di trappola della povertà. Inoltre fenomeni di multistabilità possono emergere: oltre al “vizioso circolo della povertà”, le dinamiche di lungo periodo possono includere fluttuazioni economiche o convergenza ad un livello positivo di capitale pro capite. Possono inoltre emergere bacini complessi; in tal caso una politica economica finalizzata ad aumentare il capitale pro capite può fallire e l’economia può essere catturata dalla trappola della povertà.
Nell’ultimo capitolo il modello di crescita neoclassico a tempo discreto e con differenti propensioni al risparmio è studiato assumendo la funzione di produzione Kadiala, rilevante dal punto di vista economico per la sua peculiarità di presentare una elasticità di sostituzione simmetrica rispetto al capitale ed al lavoro. Viene mostrato che, se i lavoratori risparmiano più dei capitalisti, il percorso di crescita è limitato ed il limite è indipendente dal tasso di risparmio dei capitalisti. Inoltre, la crescita delle economie non sviluppate è influenzata dal tasso di risparmio dei capitalisti mentre il livello di capitale pro capite delle economie sviluppate è influenzato dalla propensità al risparmio dei lavoratori. Fenomeni di multistabilità possono emergere, pertanto il modello è in grado di spiegare la coesistenza di economie non sviluppate, in via di sviluppo e sviluppate. Fluttuazioni e dinamiche complesse si verificano quando l’elasticità di sostituzione tra i fattori della produzione è minore di uno ed i capitalisti risparmiano più dei lavoratori.This thesis investigates the qualitative and quantitative dynamics of the Solow-Swan growth model with differential saving considering different production functions in order to analyse how the long run behaviour of the economy is influenced by the elasticity of substitution between production factors and by different savings propensity between workers and shareholders.
In the first chapter the economic growth problem of establishing a relation between the elasticity of substitution, capital and output per-capita levels when dealing with a non constant elasticity of substitution production function is discussed. Starting from a discrete-time setup, some definitions of elasticity of substitution associated to an attractor are proposed and a method to measure it is suggested. The main goal is to compare dynamic growth models with VES, sigmoidal and CES production functions. To this end, the method proposed is applied to the Kaldor’s model using a VES production function with constant returns to scale. It is found that when simple dynamics are exhibited, a country characterized by production functions with higher elasticity of substitution experiences higher capital and output per-capita equilibrium levels. On the other hand, when the long term dynamics consist of cycles or more complex features, then an ambiguous relation between elasticity of substitution and asymptotic dynamics is shown.
In the second chapter the Kaldor growth model is analysed, assuming the Shifted Cobb-Douglas (SCD) production function, a technology that - differently from CES and VES one - allow to consider the dynamics of non developed and developing countries as well as that of developed economies. The resulting model is a discontinuous map generating a poverty trap. Furthermore multistability phenomena may emerge: next to the ”vicious circle of poverty”, long run behaviours may include boom and bust period (fluctuations may arise when the elasticity of substitution is lower then one) and convergence to a positive level of capital per-capita.
In the last chapter the discrete tme neoclassical one-sector growth model with differential savings is studied assuming the Kadiyala production function which shows a variable elasticity of substitution symmetric with respect to capital and labor. It is shown that, if workers save more than shareholders, then the growth path is bounded from above and the boundary is independent from the savings rate of shareholders. The growth path for non-developed countries is influenced only by the savings rate of shareholders while level of capital per capita of developed economies is influenced by the savings rate of workers. Moreover, multistability phenomena may occur so that the model is able to explain co-existence of under-developed, developing and developed economies. Fluctuations and complex dynamics may arise when the elasticity of substitution between production factors is lower than one and shareholders save more than workers
On the Influence of Production Technologies and Savings Propensities on Economic Growth. Findings Considering a Solow's Type Growth Model
Get PDFThis review analyses the influence of technologies and saving propensities of workers and shareholders on economic growth, considering the [1] model. We show how investing behaviors and production peculiarities condition the evolution of capital over time. We highlight that fluctuations and multiple equilibria arise only when the elasticity of substitution between capital and labor is lower than one. Moreover, only production functions with variable elasticity of substitution between inputs are able to describe the poverty trap phenomenon. Complex dynamics emerge when the difference between the saving propensity of the two income groups is sufficiently high
Pandemic Crisis, Power and the Role of the State
No full textWe build on the experience of the COVID-19 crisis to investigate how a State owned and a private company, such as the national health system, are managed when a crisis may occur. We develop our analysis considering an incomplete contract model. We concentrate our attention on the incentives for economic agents assuming that the State expropriates property rights in the crisis event. The choice between public and private health system depends on three key elements: expropriation degree of the State/power of the private sector, damage of cost reduction innovations, probability of a crisis event. If the probability of the crisis is high, the damage is significant and the contracting power of the manager is strong then public ownership may be optimal because cost innovations are more aligned to the first best solution than in case of a private ownership
Poverty trap, boom and bust periods and growth. A nonlinear model for non-developed and developing countries
No full textThis work investigates the qualitative and quantitative dynamics of a Solow–Swan growth model with differential savings as proposed by Böhm and Kaas (J Econ Dyn Control 24:965–980, 2000) assuming the shifted Cobb–Douglas (SCD) production function (see Capasso et al. in Nonlinear Anal. 11:3858–3876, 2010) which makes it possible to consider the long-run dynamics of non-developed and developing countries as well as that of developed economies. The resulting model is described by a nonlinear discontinuous map generating both a poverty trap and complex dynamics. Furthermore, multistability phenomena may emerge: besides the “vicious circle of poverty”, long-run behaviours may include boom and bust periods. Complex basins can emerge, hence, economic policies trying to raise the capital per capita may fail and economies may be captured by the poverty trap
Capital exploitation and environmental awareness: How they affect the economy and the environment in a dynamic framework
Get PDFWe present a model in which capital and environmental quality co-evolve over time. To
improve the environmental quality, the government intervenes by means of a limitation of
the capital use and awareness campaigns. In case of severe degradation of the environment,
a restriction on capital use is introduced that is proportional to the damage caused by human
activity; at the same time, awareness campaigns are used to increase the public concern about
sustainability. By means of a discrete-time dynamical system and considering homogeneous
agents, we found that multiple equilibriamay exist and that awareness campaigns are a useful
tool to push an economy toward sustainable levels of production. The limitation in the use of
available capital, however, might be useless or even harmful, deteriorating the level of capital
disposable for those countries that are trapped in an equilibrium in which the environmental
quality is low
Economic growth, poverty traps and cycles: productive capacities versus inefficiencies
Get PDFAbstract
Purpose
The authors analyse a growth model to explain how economic fluctuations are primarily driven by productive capacities (i.e. capacity utilization driven by innovations and know-how) and productive inefficiencies.
Design/methodology/approach
This study’s methodology consists of the combination of the economic growth model, à la Solow–Swan, with a sigmoidal production function (in capital), which may explain growth, poverty traps or fluctuations depending on the relative levels of inefficiencies, productive capacities or lack of know-how.
Findings
The authors show that economies may experience economic growth, poverty traps and/or fluctuations (i.e. cycles). Economic growth is reached when an economy experiences both a low level of inefficiencies and a high level of productive capacities while an economy falls into a poverty trap when there is a high level of inefficiencies in production. Instead, the economy gets in cycles when there is a large level of the lack of know-how and low levels of productive capacity.
Originality/value
The authors conclude that more capital per capita (greater savings and investment) and greater productive capacity (with less lack of know-how) are the economic policy keys for an economy being on the path of sustained economic growth
Portfolio insurers and constant weight traders: who will survive?
Get PDFWe consider the dynamics of asset prices and wealth in an exchange economy with long-lived assets where agents adopt different portfolio strategies: one agent allocates wealth according to the Constant Weight Strategy while the other follows a Portfolio Insurance Strategy. In a Lucas’ tree setting, assuming a binomial model for the dividend process, we provide conditions for survival and (relative) dominance of agents and discuss them in terms of the expected log-return of the risky asset. Both strategies survive for low expected log-returns, while both strategies dominate, but on different paths, for high expected log- returns. We show that the portfolio insurance strategy plays a stabilizing effect on the market volatility
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