Not logged in.

Contributions published at Financial Economics (Felix Kübler)

Contribution
Felix Kübler, Herakles Polemarchakis, The identification of beliefs from asset demand, In: International Conference on Microeconomic Theory. 2016. (Conference Presentation) The demand for assets as prices and initial wealth vary identies beliefs and attitudes towards risk. We derive conditions that guarantee identication with no knowledge either of the cardinal utility index (attitudes towards risk) or of the distribution of future endowments or payos of assets; the argument applies even if the asset market is incomplete and demand is observed only locally
Jürg Müller, Felix Kübler, Was ist eigentlich Quantitative Lockerung?, In: NZZ Finanzlexikon, 24 June 2016. (Media Coverage) null
Jürg Müller, Felix Kübler, Was ist eigentlich Vollgeld?, In: NZZ Finanzlexikon, 10 June 2016. (Media Coverage) null
Patrick Goncalves da Costa, Different Stock Weighting Methods and their Influence on Portfolio Performance, University of Zurich, Faculty of Business, Economics and Informatics, 2016. (Bachelor's Thesis) null
Jürg Müller, Felix Kübler, Was ist eigentlich Buchgeld?, In: NZZ Finanzlexikon, 27 May 2016. (Media Coverage) null
Jürg Müller, Felix Kübler, Was ist eigentlich Deflation?, In: NZZ Finanzlexikon, 29 April 2016. (Media Coverage) null
Felix Kübler, Recursive equilibria in dynamic economies with stochastic production, In: CMR Research Seminar. 2016. (Conference Presentation) null
Felix Kübler, Larry Selden, Xiao Wei, What Are Asset Demand Tests of Expected Utility Really Testing?, In: The Royal Economic Society Annual Conference 2016. 2016. (Conference Presentation) null
Jürg Müller, Felix Kübler, Was sind eigentlich Staatsanleihen?, In: NZZ Finanzlexikon, 4 March 2016. (Media Coverage) null
Christoph Rudolf, Fundamental Momentum Strategy Returns, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2016. (Master's Thesis) null
Tobias Aellig, The Impact of the Strategic Asset Allocation on Returns in the Context of Swiss Pension Funds, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2016. (Master's Thesis) null
Florian Eckert, Determinants of Momentum in Stock Prices, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2016. (Master's Thesis) null
Janis Wanner, Portfolio Insurance Strategies for Pension Funds, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2016. (Master's Thesis) null
Felix Kübler, Simple ε-equilibria in stochastic economies with overlapping generations, In: -, No. -, 2015. (Working Paper)
Johannes Brumm, Felix Kübler, Simon Scheidegger, Computing equilibria in dynamic stochastic macromodels with heterogeneous agents, In: -, No. -, 2015. (Working Paper)
Felix Kübler, High priority, short term next steps for HARK, In: International Monetary Fund, Open Computational Economics Workshop 2015. 2015. (Conference Presentation) null
Luzius Meisser, Mastering Agent-based Economics, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis) An agent-based production economy with saving consumers and a stock market is incrementally built, applying methods from modern software engineering and benchmarking outcomes with classic equilibrium results. A suite of complementary tools is key to attaining high accuracy and robustness: exponential search for price finding, sensor prices to separate information exploitation from information exploration, a stability ranking of seemingly identical firm decision heuristics, a decentralized variant of Walras’ tâtonnement process to accelerate convergence, and reincarnating agents to find selfconfirming equilibria in configurations with anticipated shocks. The production economy is extended by listing the dividend-bearing shares of firms on a stock market, where overlapping generations of mortal consumers save for retirement. Market makers provide liquidity and are shown to qualitatively impact price formation. Further adding fundamentalist traders that are listed companies themselves can lead to self-reinforcing, chaotic dynamics driven by circular ownership structures.
Felix Kübler, Simple ε-equilibria in stochastic economies with overlapping generations, In: CRETA Theory Seminar. 2015. (Conference Presentation) null
Felix Kübler, Runjie Geng, Temporary equilibria in stochastic OLG economies with boundedly rational expectations, In: Third ERSA Economic Theory Workshop. 2015. (Conference Presentation) null
Johannes Brumm, Simon Scheidegger, Dmitry Mikushin, Olaf Schenk, Scalable high-dimensional dynamic stochastic economic modeling, Journal of Computational Science, Vol. 11, 2015. (Journal Article) We present a highly parallelizable and flexible computational method to solve high-dimensional stochastic dynamic economic models. Solving such models often requires the use of iterative methods, like time iteration or dynamic programming. By exploiting the generic iterative structure of this broad class of economic problems, we propose a parallelization scheme that favors hybrid massively parallel computer architectures. Within a parallel nonlinear time iteration framework, we interpolate policy functions partially on GPUs using an adaptive sparse grid algorithm with piecewise linear hierarchical basis functions. GPUs accelerate this part of the computation one order of magnitude thus reducing overall computation time by 50%. The developments in this paper include the use of a fully adaptive sparse grid algorithm and the use of a mixed MPI-Intel TBB-CUDA/Thrust implementation to improve the interprocess communication strategy on massively parallel architectures. Numerical experiments on “Piz Daint” (Cray XC30) at the Swiss National Supercomputing Centre show that high-dimensional international real business cycle models can be efficiently solved in parallel. To our knowledge, this performance on a massively parallel petascale architecture for such nonlinear high-dimensional economic models has not been possible prior to present work.

Previous 1..3 4 5 6 789 10 11 12..15 Next