|Alma mater||University of Chicago|
|Institutions||University of California, Berkeley|
|Doctoral advisor||Leonard Jimmie Savage|
Roy Radner (born 29 June 1927)is Leonard N. Stern School Professor of Business at New York University. He is a micro-economic theorist. Radner's research interests include strategic analysis of climate change, bounded rationality, game-theoretic models of corruption, pricing of information goods, statistical theory of data mining. Previously he was a faculty member at the University of California, Berkeley, and a Distinguished Member of Technical Staff at AT&T Bell Laboratories.
Among Radner's various contributions, the one that bears his name, Radner equilibrium (1968), is a model of financial markets.In the traditional approach if the value of an asset or a contingent claim is affordable then it can be achieved. Not so with incomplete market as the payoff has to be replicable by trading of available assets that are now part of the definition of the economy. The first consequence of such a requirement is that budget sets do not fill the available space and are typically smaller than hyperplanes. Because the dimension of vectors orthogonal to the budget set is larger than one there is no reason for the price systems supporting an equilibrium to be unique up to scaling, likewise the first order conditions no longer implies that gradient of agents are collinear at equilibrium. Both happen to fail to hold generically: the first theorem of welfare economics is hence the first victim of incompleteness. Pareto-optimality of equilibria generally does not hold. In traditional complete markets any policy would be undone through trading of rational expectation agents. This is no longer the case with incomplete markets as such policy-neutralising trading is no longer necessarily possible. Various policies (tax-related, monetary, etc. ) have an effect when introduced when markets are incomplete. Additionally incompleteness opens the door for a theory of financial innovation with real impact. This was not possible in the traditional complete market general equilibrium model as any contingent claim could be replicated by trading and financial innovation would have no real effect.
In economics, general equilibrium theory attempts to explain the behavior of supply, demand, and prices in a whole economy with several or many interacting markets, by seeking to prove that the interaction of demand and supply will result in an overall general equilibrium. General equilibrium theory contrasts to the theory of partial equilibrium, which only analyzes single markets. In general equilibrium, constant influences are considered to be noneconomic, therefore, resulting beyond the natural scope of economic analysis.
Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on both sides of a trade". Its concern is thus the interrelation of financial variables, such as prices, interest rates and shares, as opposed to those concerning the real economy. It has two main areas of focus: asset pricing and corporate finance; the first being the perspective of providers of capital, i.e. investors, and the second of users of capital. It thus provides the theoretical underpinning for much of finance.
Gérard Debreu was a French-born economist and mathematician. Best known as a professor of economics at the University of California, Berkeley, where he began work in 1962, he won the 1983 Nobel Memorial Prize in Economic Sciences.
In economics, an Edgeworth box, sometimes referred to as an Edgeworth-Bowley box, is a graphical representation of a market with just two commodities, X and Y, and two consumers. The dimensions of the box are the total quantities Ωx and Ωy of the two goods.
Harold Hotelling was an American mathematical statistician and an influential economic theorist, known for Hotelling's law, Hotelling's lemma, and Hotelling's rule in economics, as well as Hotelling's T-squared distribution in statistics. He also developed and named the principal component analysis method widely used in finance, statistics and computer science.
In mathematical economics, the Arrow–Debreu model suggests that under certain economic assumptions there must be a set of prices such that aggregate supplies will equal aggregate demands for every commodity in the economy.
In economics, the term sunspots refers to an extrinsic random variable, that is, a random variable that does not affect economic fundamentals. Sunspots can also refer to the related concept of extrinsic uncertainty, that is, economic uncertainty that does not come from variation in economic fundamentals. David Cass and Karl Shell coined the term sunspots as a suggestive and less technical way of saying "extrinsic random variable".
Sanford "Sandy" Jay Grossman is an American economist and hedge fund manager specializing in quantitative finance. Grossman’s research has spanned the analysis of information in securities markets, corporate structure, property rights, and optimal dynamic risk management. He has published widely in leading economic and business journals, including American Economic Review, Journal of Econometrics, Econometrica, and Journal of Finance. His research in macroeconomics, finance, and risk management has earned numerous awards. Grossman is currently Chairman and CEO of QFS Asset Management, an affiliate of which he founded in 1988. QFS Asset Management shut down its sole remaining hedge fund in January 2014.
In economics, incomplete markets are markets in which the number of Arrow–Debreu securities is less than the number of states of nature. In contrast with complete markets, this shortage of securities will likely restrict individuals from transferring the desired level of wealth among states.
David Cass was a professor of economics at the University of Pennsylvania, mostly known for his contributions to general equilibrium theory. His most famous work was on the Ramsey–Cass–Koopmans model of economic growth.
The Sonnenschein–Mantel–Debreu theorem is an important result in general equilibrium economics, proved by Gérard Debreu, Rolf Mantel, and Hugo F. Sonnenschein in the 1970s. It states that the excess demand curve for a market populated with utility-maximizing rational agents can take the shape of any function that is continuous, has homogeneity degree zero, and is in accordance with Walras's law. This implies that market processes will not necessarily reach a unique and stable equilibrium point.
The following outline is provided as an overview of and topical guide to finance:
Martin Shubik was an American economist, who was Professor Emeritus of Mathematical Institutional Economics at Yale University.
Pradeep Dubey is an Indian game theorist. He is Professor of Economics at State University of New York, Stony Brook and a member of the Stony Brook Center for Game Theory. He also holds a visiting position at Cowles Foundation, Yale University. He did his schooling from the St. Columba's School, Delhi. He received his Ph.D. in Applied Mathematics from Cornell University and B.Sc. from the University of Delhi. His areas of research interests are game theory and mathematical economics. He has published, among others, in Econometrica, Games and Economic Behavior, Journal of Economic Theory and Quarterly Journal of Economics. He is a Fellow of The Econometric Society and a member of the council of Game Theory Society.
Jacques H. Drèze is a Belgian economist noted for his contributions to economic theory, econometrics, and economic policy as well as for his leadership in the economics profession. Drèze was the first President of the European Economic Association in 1986 and was the President of the Econometric Society in 1970.
In economics, non-convexity refers to violations of the convexity assumptions of elementary economics. Basic economics textbooks concentrate on consumers with convex preferences and convex budget sets and on producers with convex production sets; for convex models, the predicted economic behavior is well understood. When convexity assumptions are violated, then many of the good properties of competitive markets need not hold: Thus, non-convexity is associated with market failures, where supply and demand differ or where market equilibria can be inefficient. Non-convex economies are studied with nonsmooth analysis, which is a generalization of convex analysis.
Convexity is an important topic in economics. In the Arrow–Debreu model of general economic equilibrium, agents have convex budget sets and convex preferences: At equilibrium prices, the budget hyperplane supports the best attainable indifference curve. The profit function is the convex conjugate of the cost function. Convex analysis is the standard tool for analyzing textbook economics. Non‑convex phenomena in economics have been studied with nonsmooth analysis, which generalizes convex analysis.
John Geanakoplos is an American economist, and the current James Tobin Professor of Economics at Yale University.
David Alan Easley is an American economist. Easley is the Henry Scarborough Professor of Social Science and is a Professor of Information Science at Cornell University.
Felix Kübler is a German economist who currently works as Professor of Financial Economics at the University of Zurich. His research interests include computational economics, general equilibrium theory and portfolio choice. In 2012, he was awarded the Gossen Prize in recognition of his contributions to economic research.