Related papers: Ramsey Optimal Policy versus Multiple Equilibria w…
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex…
This paper investigates an infinite-horizon problems in the one-dimensional calculus of variations, arising from the Ramsey model of endogeneous economic growth. Following Chichilnisky, we introduce an additional term, which models concern…
We study the continuous time portfolio optimization model on the market where the mean returns of individual securities or asset categories are linearly dependent on underlying economic factors. We introduce the functional $Q_\gamma$…
We study equilibria of markets with $m$ heterogeneous indivisible goods and $n$ consumers with combinatorial preferences. It is well known that a competitive equilibrium is not guaranteed to exist when valuations are not gross substitutes.…
We consider a stochastic game between a trader and a central bank in a target zone market with a lower currency peg. This currency peg is maintained by the central bank through the generation of permanent price impact, thereby aggregating…
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive…
In this paper, we study the exponential utility indifference pricing of pure endowment policies within a stochastic-factor model for an insurer who also invests in a financial market. Our framework incorporates a hazard rate modeled as an…
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we…
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We…
Competitive equilibrium (CE) is a fundamental concept in market economics. Its efficiency and fairness properties make it particularly appealing as a rule for fair allocation of resources among agents with possibly different entitlements.…
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…
Recently, Frazier et al. proposed a natural model for crowdsourced exploration of different a priori unknown options: a principal is interested in the long-term welfare of a population of agents who arrive one by one in a multi-armed bandit…
Risk-sharing is one way to pool risks without the need for a third party. To ensure the attractiveness of such a system, the rule should be accepted and understood by all participants. A desirable risk-sharing rule should fulfill actuarial…
In our previous paper we proved that every affine economy has a competitive equilibrium. We define a simplex economy as an affine economy consisting of a stochastic allocation (defining the initial endowments) and a variation with…
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…
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this…
This paper revisits the classic instrument choice problem in a setting with consumption externalities, through the lens of robust mechanism design. A regulator can implement any incentive-compatible policy but is uncertain about how…
We consider normal-form games with $n$ players and two strategies for each player, where the payoffs are i.i.d. random variables with some distribution $F$ and we consider issues related to the pure equilibria in the game as the number of…
We consider a Ramsey model with several households with heterogeneous preferences who are able to borrow capital to each other. Since the capital constraints of one household then depends on the others' capital, one can no longer optimize…