Ioanid Rosu - Notes

These notes are mainly written for my own use, but you're welcome to take a look and see if you find anything useful. If you have comments or find some errors, please contact me. The notes are not copyrighted, but if you use them in a presentation or a publication, I think it's only fair to mention me.
  • Conditional Probability Theory
    All pretty standard, yet useful stuff: the geometric interpretation of conditional expectation, and the law of iterated expectations and the EVE formula. I included some applications to normal linear regressions, and to dynamic Gaussian updating.
  • The Bellman Principle of Optimality
    I try to make sense of the Bellman principle of optimality in both discrete and continuous time, and under both certainty and uncertainty. I analyze the conditions in which the Bellman principle can be applied. As a bonus, I use the Bellman method to derive the classical Euler-Lagrange equations of variational calculus.
  • Consumption-Investment Problems for CARA Agents
    I compute the optimal consumption and portfolios of investors with constant absolute risk aversion (CARA) utility. I do that in infinite horizon, in both discrete and continuous time. The computations are all standard, and can be found e.g. in Ingersoll. I do them in somewhat more detail (although without much intuition).
Below are some papers on subjects that interested me at some point. I'm not particularly fond of these papers anymore (if I ever was), but who knows, one may still find something interesting in there.
  • Post-Socialist Transition: Romania and Poland (May 2002)
    This is a paper I wrote for the Socialism and Post-Socialist Transition class I took at Harvard in the Spring of 2002. It happened to be the last course taught here by Janos Kornai, the great Hungarian analyst of the socialist system. My paper however is far from great, plus in the meantime I reached a position pretty different from the one I took in the paper.
  • Comments on Prospect Theory (January 2000)
    This is my reaction to Kahneman and Tversky's prospect theory (an alternative to classical utility theory). As you can see if you read my note, I don't believe one can make Prospect Theory coherent, although the intuition that generated their paper is pretty useful.
And here is a little essay I wrote about economic research:

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