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We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded…
It is widely assumed that increases in economic productivity necessarily lead to economic growth. In this paper, it is shown that this is not always the case. An idealized model of an economy is presented in which a new technology allows…
Why are human societies unstable? Theories based on the observation of recurring patterns in historical data indicate that economic inequality, as well as social factors are key drivers. So far, models of this phenomenon are more…
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…
The impact of rising consumption on wealth inequality remains an open question. Here we revisit and extend the Social Architecture of Capitalism agent-based model proposed by Ian Wright, which reproduces stylized facts of wealth and income…
In this paper, we show that if every consumer in an economy has a quasi-linear utility function, then the normalized equilibrium price is unique, and is locally stable with respect to the t\^atonnement process. Our study can be seen as that…
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…
We consider the eternal inflation scenario of the slow-roll/chaotic type with the additional element of an objective collapse of the wave function. The incorporation of this new agent to the traditional inflationary setting might represent…
We introduce a novel framework for individual-level welfare analysis. It builds on a parametric model for continuous demand with a quasilinear utility function, allowing for heterogeneous coefficients and unobserved individual-good-level…
We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…
Inequality and its consequences are the subject of intense recent debate. Using a simplified model of the economy, we address the relation between inequality and liquidity, the latter understood as the frequency of economic exchanges.…
We address the issue of the dynamics of wealth accumulation and economic crisis triggered by extreme inequality, attempting to stick to most possibly intrinsic assumptions. Our general framework is that of pure or modified multiplicative…
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth…
We introduce a simple model of economy, where the time evolution is described by an equation capturing both exchange between individuals and random speculative trading, in such a way that the fundamental symmetry of the economy under an…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…
The sum-utility maximization problem is known to be important in the energy systems literature. The conventional assumption to address this problem is that the utility is concave. But for some key applications, such an assumption is not…
We propose a general scenario for moduli stabilization where low-energy supersymmetry can be accommodated with a high scale of inflation. The key ingredient is that the stabilization of the modulus field during and after inflation is not…
How can we limit wealth disparities while stimulating economic flows in sustainable societies? To examine the link between these concepts, we propose an econophysics asset exchange model with the surplus stock of the wealthy. The wealthy…
We study the effects of introducing information inefficiency in a model for a random linear economy with a representative consumer. This is done by considering statistical, instead of classical, economic general equilibria. Employing two…
The basic workings of inflationary models are summarized, along with the arguments that strongly suggest that our universe is the product of inflation. I describe the quantum origin of density perturbations, giving a heuristic derivation of…