Two-Sided Matching: A Study in Game-Theoretic Modeling and by Alvin E. Roth

By Alvin E. Roth

Two-sided matching offers a version of seek techniques corresponding to these among organizations and staff in exertions markets or among dealers and in auctions. This ebook provides a entire account of modern effects in regards to the game-theoretic research of two-sided matching. the focal point of the ebook is at the balance of results, at the incentives that assorted ideas of association supply to brokers, and at the constraints that those incentives impose at the methods such markets might be geared up. the consequences for this wide selection of similar types and matching events support make clear which conclusions rely on specific modeling assumptions and marketplace stipulations, and that are powerful over a variety of stipulations.

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L" The pri cing kern el is restrict ed to two alte rnative specifications: i ) a relatively restrictive pricing kern el with constant elasticity and ii ) a relati vely flexible polynomial 16 See also Forn ar i and Mele [69) for a relat ed approach . However , they analyze futures written on Italian govern ment b onds. 1 Empirical Lit erature 33 approximation. e, the pr icing kernel is not monotonically decreasing. In terms of a represent ative investor this implies locally increasing marginal utility.

From the CAPM to the intertemporal behaviour of asset prices Any survey on asset pricing starts with the seminal Capital Asset Pricing Model (CAPM) developed by Lintner [125], Mossin [144] and Sharpe [174]. 1) . P" However, the CAPM is a one-period model and therefore not suited to explain asset prices in an intertemporal context. In the 70's and the 80's, articles discussed conditions under which a sequence of one-period models would be equivalent to an intertemporal model (see for example Bhattacharya [12] and Constantinides [43], [44]).

The empirical results ar e still very cont roversial, especially for methodological reasons. However , t hese st udies point out that it might be possible to use information eit her on past ret urns or other explanato ry variables as the book-to-market ratio to pr edict future asse t returns. This is in contrast to the assumption th at asset pri ces are governe d by a geometric Br ownian motion. Finally, also th e empirical pricing kernels are at odds with t he assumption that asset pri ces ar e governe d by a geometric Br owni an moti on.

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