Related papers: Resolving New Keynesian Anomalies with Wealth in t…
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization problems, which can be solved explicitly. We…
Automation raises productivity and reduces paid human labor, but it also reallocates income and ownership claims. This paper studies that tradeoff in a static benchmark and in a stationary heterogeneous-agent general equilibrium. Firms…
General equilibrium is the dominant theoretical framework for economic policy analysis at the level of the whole economy. In practice, general equilibrium treats economies as being always in equilibrium, albeit in a sequence of equilibria…
Given a system of analytic functions and an approximate zero, we introduce inflation to transform this system into one with a regular quadratic zero. This leads to a method for isolating a cluster of zeros of the given system.
In an incomplete model, where under an appropriate num\'eraire, the stock price process is driven by a sigma-bounded semimartingale, we investigate the behavior of the expected utility maximization problem under small perturbations of the…
We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the influence of knowledge in the evolution of wealth in a system of agents which interact through the binary trades introduced in Cordier, Pareschi,…
Central results in economics guarantee the existence of efficient equilibria for various classes of markets. An underlying assumption in early work is that agents are price-takers, i.e., agents honestly report their true demand in response…
We show that even in the simple framework of pure Kaluza-Klein gravity the shape moduli can generate potentials supporting inflation and/or quintessence. Using the shape moduli as the inflaton or quintessence-field has the additional…
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 analyze wealth condensation for a wide class of stochastic economy models on the basis of the economic analog of thermodynamic potentials, termed transfer potentials. The economy model is based on three common transfers modes of wealth:…
If in a finite universe, the tree-level vacuum is a symmetric superposition of coherent states, in each of which the inflaton field assumes a different, energy-minimizing mean value (vev), then the resulting energy is positive and decreases…
We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by…
We propose a highly schematic economic model in which, in some cases, wage inequalities lead to higher overall social welfare. This is due to the fact that high earners can consume low productivity, non essential products, which allows…
Mounting evidences are being gathered suggesting that income and wealth distribution in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas in equilibrium, but also deviating…
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…
Wealth inequality remains a critical socioeconomic challenge, driven by systemic dynamics and self-reinforcing mechanisms that amplify the economic imbalances. Simplified models from statistical physics provide valuable insights into the…
In our model, $n$ traders interact with each other and with a central bank; they are taxed on the money they make, some of which is dissipated away by corruption. A generic feature of our model is that the richest trader always wins by…
General equilibrium equations in economics play the same role with many-body Newtonian equations in physics. Accordingly, each solution of the general equilibrium equations can be regarded as a possible microstate of the economic system.…
Big data has exponentially dilated consumption demand and speed, but can they all be converted to utility? We argue about the measures of consumption and utility acquisition in CRRA utility function under the condition of big data…
In a dynamic economy, we characterize the fiscal policy of the government when it levies distortionary taxes and issues defaultable bonds to finance its stochastic expenditure. Default may occur in equilibrium as it prevents the government…