nep-cmp New Economics Papers
on Computational Economics
Issue of 2016‒10‒30
five papers chosen by
Stan Miles
Thompson Rivers University

  1. Efficient Simulation Method for Dynamic Portfolio Selection with Transaction Cost, Liquidity Cost and Market Impact By Rongju Zhang; Nicolas Langren\'e; Yu Tian; Zili Zhu; Fima Klebaner; Kais Hamza
  2. Fiscal Policy, Inequality and Poverty in Iran: Assessing the Impact and Effectiveness of Taxes and Transfer By Ali Enami
  3. INVESTMENT AND DISINVESTMENT UNDER UNCERTAINTY, FIRM HETEROGENEITY AND TRADABLE OUTPUT PERMITS By Feil, Jan-Henning; Mußhoff, Oliver
  4. PAMS.py: a GAMS-like Modeling System based on Python and SAGE By Roberto Roson
  5. Exploring the polycentric city with multi-worker households: an agent-based microeconomic model By Rémi Lemoy; Charles Raux; Pablo Jensen

  1. By: Rongju Zhang; Nicolas Langren\'e; Yu Tian; Zili Zhu; Fima Klebaner; Kais Hamza
    Abstract: We develop an efficient method for solving dynamic portfolio selection problems in the presence of transaction cost, liquidity cost and market impact. Our method, based on least-squares Monte Carlo simulation, has no restriction on return dynamics, portfolio constraints, intermediate consumption and investor's objective. We model return dynamics as exogenous state variables and model portfolio weights, price dynamics and portfolio value as endogenous state variables. This separation allows for incorporation of any formation of transaction cost, liquidity cost and market impact. We first perform a forward simulation for both exogenous and endogenous state variables, then use a least-squares regression to approximate the backward recursive dynamic programs on a discrete grid of controls. Finally, we use a local interpolation and an adaptive refinement grid to enhance the optimal allocation estimates. The computational runtime of this framework grows polynomially with dimension. Its viability is illustrated on a realistic portfolio allocation example with twelve risky assets.
    Date: 2016–10
    URL: http://d.repec.org/n?u=RePEc:arx:papers:1610.07694&r=cmp
  2. By: Ali Enami (Department of Economics, Tulane University.; Department of Economics, Tulane University and Commitment to Equity Institute; University of Akron, OH, USA)
    Abstract: Using the Iranian Household Expenditure and Income Survey (HEIS) for 2011/12, we apply the marginal contribution approach to determine the impact and effectiveness of each fiscal intervention, and the fiscal system as a whole, on inequality and poverty. Net direct and indirect taxes combined reduce the Gini coefficient by 0.0644 points and the headcount ratio by 61 percent. When the monetized value of in-kind benefits in education and health are included, the reduction in inequality is 0.0919 Gini points. Based on the magnitudes of the marginal contributions, we find that the main driver of these reductions is the Targeted Subsidy Program, a universal cash transfer program implemented in 2010 to compensate individuals for the elimination of energy subsidies. The main reduction in poverty occurs in rural areas, where the headcount ratio declines from 44 to 23 percent. In urban areas, fiscally-induced poverty reduction is more modest: the headcount ratio declines from 13 to 5 percent. Taxes and transfers are similar in their effectiveness in achieving their inequality-reducing potential. By achieving 40 percent of its inequality-reducing potential, the income tax is the most effective intervention on the revenue side. On the spending side, Social Assistance transfers are the most effective and they achieve 45 percent of their potential. Taxes are especially effective in raising revenue without causing poverty to rise, indicating that the poor are largely spared from being taxed. In contrast, since the bulk of transfers are not targeted to the poor, they are not very effective: the most effective ones achieve 20 percent of their poverty reduction potential. The effectiveness of the Targeted Subsidy Program could be improved by eliminating the transfer to top deciles and re-allocating the freed funds to the poor.
    Keywords: Inequality, poverty, marginal contribution, CEQ framework, policy simulation
    JEL: D31 H22 I38
    Date: 2016
    URL: http://d.repec.org/n?u=RePEc:tul:ceqwps:1348&r=cmp
  3. By: Feil, Jan-Henning; Mußhoff, Oliver
    Abstract: This paper develops an agent-based real options model which is capable of analyzing the investment and disinvestment decisions of heterogeneous competing firms under consideration of tradable output permits. A permit market is integrated in which the firms either act as demanders or as suppliers according to their investment or disinvestment behavior for production capacity. By means of a combination of genetic algorithms and stochastic simulation, the endogenous equilibrium price processes for both the product and the permits are simultaneously derived. Through this, the investment and disinvestment thresholds of the heterogeneous competing firms can be simultaneously determined. The empirical application to the EU dairy sector shows that tradable output permits can have considerable effects on investment and disinvestment decisions of competing firms, especially in markets with a high degree of firm heterogeneity. Amongst others, the results indicate that the recent abolishment of the EU milk production quota will ceteris paribus not lead to an accelerated exit of less efficient farms but ultimately have quite the opposite effect.
    Keywords: Investment and disinvestment, real options, firm heterogeneity, tradable output permits, Agricultural Finance, Farm Management, Risk and Uncertainty,
    Date: 2016
    URL: http://d.repec.org/n?u=RePEc:ags:gewi16:244756&r=cmp
  4. By: Roberto Roson (Ca’ Foscari University of Venice, Department of Economics)
    Abstract: This paper presents an external module for the Python programming language and for the SAGE open source mathematical software, which allows the realization of models based on constrained optimization or non-linear systems. The module, which is freely available for download, allows describing the structure of a model using a syntax similar to that of popular modeling systems like GAMS, AIMMS or GEMPACK; in particular by allowing the automatic replication of equations, variable and parameter definitions on the basis of some specified sets.
    Keywords: GAMS, Python, SAGE, AIMMS, CGE, optimization software, applied economic modeling
    JEL: C63 C65 C68 C8
    Date: 2016
    URL: http://d.repec.org/n?u=RePEc:ven:wpaper:2016:23&r=cmp
  5. By: Rémi Lemoy (University of Luxembourg [Luxembourg], LET - Laboratoire d'économie des transports - UL2 - Université Lumière - Lyon 2 - École Nationale des Travaux Publics de l'État [ENTPE] - CNRS - Centre National de la Recherche Scientifique); Charles Raux (LET - Laboratoire d'économie des transports - UL2 - Université Lumière - Lyon 2 - École Nationale des Travaux Publics de l'État [ENTPE] - CNRS - Centre National de la Recherche Scientifique); Pablo Jensen (IXXI - Institut Rhône-Alpin des Systèmes Complexes - ENS Lyon - École normale supérieure - Lyon, LET - Laboratoire d'économie des transports - UL2 - Université Lumière - Lyon 2 - École Nationale des Travaux Publics de l'État [ENTPE] - CNRS - Centre National de la Recherche Scientifique, Phys-ENS - Laboratoire de Physique de l'ENS Lyon - CNRS - Centre National de la Recherche Scientifique - ENS Lyon - École normale supérieure - Lyon)
    Abstract: We propose an agent-based dynamics which leads an urban system to the standard equilibrium of the Alonso, Muth, Mills (AMM) framework. Starting for instance from a random initialization, agents move and bid for land, performing a kind of local search and finally leading the system to equilibrium rent, density and land use. Agreement with continuous analytical results is only limited by the discreteness of simulations. We then study polycentrism in cities with this tool. Two job centers are introduced, and the economic, social and environmental outcomes of various polycentric spatial structures are presented. We also introduce two-worker households whose partners may work in different job centers. When various two-worker households are mixed, polycentrism is desirable, as long as centers are not moved too far apart from each other. The environmental outcome is also positive, but housing surfaces increase.
    Keywords: urban economics,location choice,polycentric city,two-worker households,agent-based model
    Date: 2016–10–14
    URL: http://d.repec.org/n?u=RePEc:hal:journl:hal-00602087&r=cmp

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