Related papers: Approximate aggregation in the neoclassical growth…
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the approximate technology to generate lower and upper bounds…
We study a system of $N$ agents, whose wealth grows linearly, under the effect of stochastic resetting and interacting via a tax-like dynamics -- all agents donate a part of their wealth, which is, in turn, redistributed equally among all…
Aggregation methods have emerged as a powerful and flexible framework in statistical learning, providing unified solutions across diverse problems such as regression, classification, and density estimation. In the context of generalized…
In this paper we deal with the optimal bankruptcy problem for an agent who can optimally allocate her consumption rate, the amount of capital invested in the risky asset as well as her leisure time. In our framework, the agent is endowed by…
We present a simplified model for the exploitation of finite resources by interacting agents, where each agent receives a random fraction of the available resources. An extremal dynamics ensures that the poorest agent has a chance to change…
We study the problem of aggregation under the squared loss in the model of regression with deterministic design. We obtain sharp PAC-Bayesian risk bounds for aggregates defined via exponential weights, under general assumptions on the…
Some agent-based models for growth and allocation of resources are described. The first class considered consists of conservative models, where the number of agents and the size of resources are constant during time evolution. The second…
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Scholes model. Under a constant rate of consumption, we find the…
We introduce draft auctions, which is a sequential auction format where at each iteration players bid for the right to buy items at a fixed price. We show that draft auctions offer an exponential improvement in social welfare at equilibrium…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
General equilibrium, the cornerstone of modern economics and finance, rests on assumptions many markets do not meet. Spectrum auctions, electricity markets, and cap-and-trade programs for resource rights often feature non-convexities in…
A structural Gaussian mixture vector autoregressive model is introduced. The shocks are identified by combining simultaneous diagonalization of the reduced form error covariance matrices with constraints on the time-varying impact matrix.…
Exact analytic solutions for a class of scalar-tensor gravity theories with a hyperbolic scalar potential are presented. Using an exact solution we have successfully constructed a model of inflation that produces the spectral index, the…
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-free asset, a risky asset, and a durable good whose price…
This paper analyzes the equilibrium distribution of wealth in an economy where firms' productivities are subject to idiosyncratic shocks, returns on factors are determined in competitive markets, dynasties have linear consumption functions…
The existence of involuntary unemployment advocated by J. M. Keynes is a very important problem of the modern economic theory. Using a three-generations overlapping generations model, we show that the existence of involuntary unemployment…
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…
Whereas "convexification by aggregation" is a well-understood procedure in mathematical economics, "convexification by randomization" has largely been limited to theories of statistical decision-making, optimal control and non-cooperative…
We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank…