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Essays on search theory.

Carrasco Novoa, Jose Antonio.

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Essays on search theory.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on search theory./
作者:	Carrasco Novoa, Jose Antonio.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
面頁冊數:	73 p.
附註:	Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.
Contained By:	Dissertation Abstracts International77-10A(E).
標題:	Economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10125944
ISBN:	9781339840024

Essays on search theory.
Carrasco Novoa, Jose Antonio.

Essays on search theory. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 73 p.

Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.

Thesis (Ph.D.)--The University of Wisconsin - Madison, 2016.

In the first chapter, we formulate and solve a dynamic programming exercise that extends search theory to perfectly divisible assets, leading us to a theory of search at the margin. We recursively characterize three properties of the Bellman value. First, even though dividend payoffs rise linearly in the position, so long as selling opportunities are individually bounded in size, there is ''diminishing returns to optionality'': The value function is strictly concave. Second, we establish that the value function is twice continuously differentiable, even when the optimal policy is often at corner solutions. Third, the marginal value of assets is strictly convex.

ISBN: 9781339840024Subjects--Topical Terms:

517137
Economics.

Essays on search theory.
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520 $a In the first chapter, we formulate and solve a dynamic programming exercise that extends search theory to perfectly divisible assets, leading us to a theory of search at the margin. We recursively characterize three properties of the Bellman value. First, even though dividend payoffs rise linearly in the position, so long as selling opportunities are individually bounded in size, there is ''diminishing returns to optionality'': The value function is strictly concave. Second, we establish that the value function is twice continuously differentiable, even when the optimal policy is often at corner solutions. Third, the marginal value of assets is strictly convex.
520 $a In the second chapter, we study the optimal liquidation sale of a perfectly divisible asset such as the time of an accountant, or a physical asset like recently inherited land. The seller faces the random arrival of limit orders and his trading behavior optimally adjusts as the asset position falls, reflecting the endogenous time-varying value of the asset position. Our search theory story adds different dimensions to liquidity: the waiting time between trades, the purchase premium, and the induced-market depth. The seller takes greater advantage of more generous offers, and his marginal value shifts up as he unwinds his position, making him less willing to trade. He also chargers larger purchase premiums, the supply response is less elastic at higher prices, and the depth of the induced market rises in the asset position.
520 $a In the third chapter we examine the dynamically optimal trading strategy and inventory management of a middleman trading in illiquid assets. He optimally avails himself of buying and selling opportunities that periodically and randomly arrive in the form of stop-limit orders. He optimally devises a supply and demand schedule for the asset. This presents a novel and economically rich dynamic search model to study how inventories evolve with time. The model thus yields a steady-state inventory distribution. The characterization of the steady-state distribution show how inventory holdings evolve during business cycles, since one might characterize improved or worsened business cycles by an increased or diminished arrival rate of trading opportunities.
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