Related papers: Elementary Microeconomics of the Talmudic Rule
In the problem of fully allocating an infinitely divisible commodity among agents whose preferences are single-peaked, we show that the uniform rule is the only allocation rule that satisfies efficiency, the equal division guarantee,…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
This paper considers a dynamic game with transferable utilities (TU), where the characteristic function is a continuous-time bounded mean ergodic process. A central planner interacts continuously over time with the players by choosing the…
We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…
Under very general conditions, we construct a micro-macro model for closed economy with a large number of heterogeneous agents. By introducing both financial capital (i.e. valued capital---- equities of firms) and physical capital (i.e.…
This note observes that the Cobb-Douglas function is uniquely characterized by the property that, if the labour share of cost for a constant-returns-to-scale firm remains constant when the firm minimizes its cost for any given output level,…
In problems involving the allocation of a single non-disposable commodity, we study rules defined on a general domain of preferences requiring only that each preference exhibit a unique global maximum. Our focus is on rules that satisfy a…
A hypothetical risk-neutral agent who trades to maximize the expected profit of the next trade will approximately exhibit long-term optimal behavior as long as this agent uses the vector $p = \nabla V (t, x)$ as effective microstructure…
Implementing a set of microeconomic criteria, we develop price dynamics equations using a function of demand/supply with key symmetry properties. The function of demand/supply can be linear or nonlinear. The type of function determines the…
Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive a necessary and sufficient condition for the existence of (possibly zero-sum) exchanges among…
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the…
In uniform-price markets, suppliers compete to supply a resource to consumers, resulting in a single market price determined by their competition. For sufficient flexibility, producers and consumers prefer to commit to a function as their…
We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, $N$ agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off…
We introduce an extension of the diagrammatic rules in random matrix theory and apply it to nonhermitean random matrix models using the 1/N approximation. A number of one- and two-point functions are evaluated on their holomorphic and…
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…
In this paper, we study which data can be induced by a correlated equilibrium given a known finite simultaneous move game. We assume that an analyst has access to the frequency of each agent's actions but does not have access to the…
When there is a dispute between players on how to divide multiple divisible assets, how should it be resolved? In this paper we introduce a multi-asset game model that enables cooperation between multiple agents who bargain on sharing K…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
In a many-to-one matching market, we analyze the matching game induced by a stable rule when firms' choice function satisfy substitutability. We show that any stable rule implements the individually rational correspondence in Nash…