Related papers: Asymptotic Linearity of Consumption Functions and …
Nontransitive choices have long been an area of curiosity within economics. However, determining whether nontransitive choices represent an individual's preference is a difficult task since choice data is inherently stochastic. This paper…
We study a dynamic random utility model that allows for consumption dependence. We axiomatically analyze this model and find insights that allow us to distinguish between behavior that arises due to consumption dependence and behavior that…
Consider a bipartite network where $N$ consumers choose to buy or not to buy $M$ different products. This paper considers the properties of the logistic regression of the $N\times M$ array of i-buys-j purchase decisions,…
The theory of dissipativity has been primarily developed for controllable systems/behaviors. For various reasons, in the context of uncontrollable systems/behaviors, a more appropriate definition of dissipativity is in terms of the…
We consider a general discrete-time financial market with proportional transaction costs as in [Kabanov, Stricker and R\'{a}sonyi Finance and Stochastics 7 (2003) 403--411] and [Schachermayer Math. Finance 14 (2004) 19--48]. In addition to…
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…
We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small non-linear price impact. In our model cross-impacts between assets are allowed. In the limit for small…
In this article, we construct semiparametrically efficient estimators of linear functionals of a probability measure in the presence of side information using an easy empirical likelihood approach. We use estimated constraint functions and…
This paper presents a new concept of controlled dissipativity as an extension of the standard dissipativity property to systems with parameter-varying storage functions under the framework of economic model predictive control (EMPC). Based…
There is no known explicit global closed form solution for the standard income fluctuation problem with a borrowing constraint and where wealth accumulates with a constant interest rate $r$. Using a continuous time formulation, I derive an…
Positive systems describing networks with inherently non-negative states and inputs arise naturally in routing, logistics, and compartmental modelling. We consider problems modelled as positive linear systems in incidence form with linear…
We study asymptotic behaviour of stochastic approximation procedures with three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function.…
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the…
Stability of economic model predictive control can be proven under the assumption that a strict dissipativity condition holds. This assumption has a clear interpretation in terms of the so-called rotated stage cost, which must have its…
Fair division has long been an important problem in the economics literature. In this note, we consider the existence of proportionally fair allocations of indivisible goods, i.e., allocations of indivisible goods in which every agent gets…
We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecreasing utility function defined on the whole real line. She…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function.…
This paper investigates the asymptotic behaviour of solutions to certain infinite systems of coupled recurrence relations. In particular, we obtain a characterisation of those initial values which lead to a convergent solution, and for…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…