Related papers: An equation for a time-dependent profit rate
Economic complexity measures aim to quantify the capability content or endowment of industries and territories; however, capabilities are not observable, and therefore cannot be directly used in the computations. We estimate such endowments…
Financial institutions and insurance companies that analyze the evolution and sources of profits and losses often look at risk factors only at discrete reporting dates, ignoring the detailed paths. Continuous-time decompositions avoid this…
We develop a framework for stochastic portfolio theory (SPT), which incorporates modern nonlinear price impact and impact decay models. Our main result is the derivation of the celebrated master formula for additive functional generation of…
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…
This article presents a model for the economic value of extra capacity at an airport. The model is based on a series of functional relationships linking the benefits of extra capacity and the associated costs. It takes into account the cost…
This paper prices and replicates the financial derivative whose payoff at $T$ is the wealth that would have accrued to a $\$1$ deposit into the best continuously-rebalanced portfolio (or fixed-fraction betting scheme) determined in…
The appropriate discount rate for evaluating policies is a critical consideration in economic decision-making. This paper presents a new model for calculating the derived discount rate for a society that includes different groups with…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
We propose a novel approach to intrinsic decoherence without adding new assumptions to standard Quantum Mechanics. We generalize the Liouville equation just by requiring the dynamical semigroup property of time evolution and dropping the…
Here, we consider periodic homogenization for time-fractional Hamilton--Jacobi equations. By using the perturbed test function method, we establish the convergence, and give estimates on a rate of convergence. A main difficulty is the…
Optimization and expansion are two modes of staged evolution of complex systems where macroscopic observables change at a decreasing, respectively increasing, rate. A prime example of evolutionary expansion, Gross Domestic Product (GDP)…
I introduce a new way of decomposing the evolution of the wealth distribution using a simple continuous time stochastic model, which separates the effects of mobility, savings, labor income, rates of return, demography, inheritance, and…
Our main contribution in this article is the achievement of the turnpike property in its integral and exponential forms for parameter-dependent systems with averaged observations in the cost functional. Namely, under suitable assumptions…
In the context of a large class of stochastic processes used to describe the dynamics of wealth growth, we prove a set of inequalities establishing necessary and sufficient conditions in order to avoid infinite wealth concentration. These…
We develop a gradient-flow theory for time-dependent functionals defined in abstract metric spaces. Global well-posedness and asymptotic behavior of solutions are provided. Conditions on functionals and metric spaces allow to consider the…
In many professons employees are rewarded according to their relative performance. Corresponding economy can be modeled by taking $N$ independent agents who gain from the market with a rate which depends on their current gain. We argue that…
Temporal difference methods enable efficient estimation of value functions in reinforcement learning in an incremental fashion, and are of broader interest because they correspond learning as observed in biological systems. Standard value…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
Time-varying parameter (TVP) regressions commonly assume that time-variation in the coefficients is determined by a simple stochastic process such as a random walk. While such models are capable of capturing a wide range of dynamic…
A mechanism is proposed that allows to interpret the temporal evolution of a physical system as a result of the inability of an observer to record its whole state and a simple example is given. It is based on a review of the concepts of…