Научная работа (экономика)
Научные статьи | Иное
Приложения теории игр
This paper focuses on industries, where patent protection is weak and innovations are commonly protected as trade secrets. It is shown that if potential innovations are major, but the chances of achieving a successful innovation are small, then Cournot duopolists prefer to keep their innovations trade secrets. Otherwise, if potential innovations are minor or the chances of success are large, the duopolists prefer to form a research joint venture.
There are two multiproduct firms that compete in prices. Each firm can assume either a functional structure, thus committing to centralized pricing, or it can assume a divisional structure, thus committing to decentralized pricing. Decentralized pricing, while suboptimal per se, is shown to be profitable if every firm produces a range of complementary products and if the products of one firm are strong substitutes to the products of the other firm. Broadly speaking, product differentiation matters for organizational choices.
Coauthor: Maarten Janssen.
We consider an oligopolistic market where firms compete in price and quality and where consumers have heterogeneous information: some consumers know both the prices and quality of the products offered, some know only the prices and some know neither. We show that two types of signalling equilibria are possible. Both are characterized by dispersion and Pareto-inefficiency of the price/quality offers. Better price/quality combinations are signalled with lower prices in one type and with higher prices in the other type.
Соавтор: Алексей Парахоняк.
We consider a dynamic (differential) game with three players competing against each other. Each period each player can allocate his resources so as to direct his competition towards particular rivals - we call such competition targeted. We show that if the players are myopic, the weaker players eventually lose the game to their strongest rival. If instead the players are sufficiently non-myopic, then each player concentrates more on fighting his strongest opponent. Consequently, the weaker players grow stronger, the strongest player grows weaker and eventually all the players converge and stay in the game. Targeted competition setting can be applied to a wide variety of cases: competition between firms, competition between political parties, warfare.
If a consumer faces two products of the same kind but different in their prices and quality, which one does he choose? I show that if firms compete in both prices and quality, and if there are some consumers on the market who do not search for the best offer, then the competition is always such that it is best for a consumer to buy the cheapest product. In an equilibrium the quality will either grow with price but not sufficiently, or it will fall with price. The result holds for a wide class of consumers' preferences.
Риск и рациональность
Taking the current wealth as a reference point and differentiating between gains and losses helps in explaining the choices people make (Markowitz, Kahneman and Tversky). However, this approach violates asset integration and does not explain why people tend to differentiate between gains and losses in the first place. The classical expected utility approach is theoretically more sound but fails descriptively. In this work I analyse a setting when there are extra transaction costs associated with losses. I show that expected utility with such transaction costs is equivalent to differentiation between gains and losses around a reference point without such transaction costs. Hence, depending upon whether transaction costs are accounted for or not, one or the other approach will seem suitable to explain individual choice.
Финансовая математика
Одним из известных подходов к оценке и хеджированию европейских опционов при наличии трансакционных издержек является подход так называемого суперхеджирования. В настоящей работе предложен новый алгоритм реализации этого подхода, допускающий обобщение на случай американских опционов. Данный алгоритм обладает рядом преимуществ по сравнению с известными и для случая европейских опционов. Приведены примеры использования данного алгоритма для построения интервала безарбитражных цен для европейских и американских опционов, а также приведены расчеты эффективности хеджирования европейских опционов при наличии трансакционных издержек.
Научная работа (экономика)