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Is emotional well-being monotonically increasing in the level of income or does it reach a plateau at some income threshold, whereafter additional income does not contribute to further well-being? Conflicting answers to this question has…
Our societies are heterogeneous in many dimensions such as census, education, religion, ethnic and cultural composition. The links between individuals - e.g. by friendship, marriage or collaboration - are not evenly distributed, but rather…
This paper presents a unified multi-asset, multi-group asset-flow model that integrates three foundational frameworks from the behavioral finance literature. The model captures the dynamics of financial markets where multiple assets are…
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…
This article investigates retirement decumulation behaviours using the Grouped Fixed-Effects (GFE) estimator applied to Australian panel data on drawdowns from phased withdrawal retirement income products. Behaviours exhibited by the…
Investment style groups investment approaches to predict portfolio return variations. This study examines the relationship between investment style, style consistency, and risk-adjusted returns of Indian equity mutual funds. The methodology…
Increasing every year the retirement age by the same amount as the increase of the life expectancy gives roughly stable ratios of the number of retired to working-age people in industrialized countries. Continuous influx of immigrants,…
In this study we propose a unified model of optimal retirement, consumption and portfolio choice of an individual agent, which encompasses a large class of the models in the literature and provide a general methodology to solve the model.…
We investigate the effects of wariness (defined as individuals' concern for their minimum utility over time) on poverty traps and equilibrium multiplicity in an overlapping generations (OLG) model. We explore conditions under which (i)…
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the…
We consider the problem of optimal annuitization with labour income, where an agent aims to maximize utility from consumption and labour income under age-dependent force of mortality. Using a dynamic programming approach, we derive…
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio…
In this paper, we derive explicit closed-form solutions for the value function and the associated optimal stopping boundaries in an optimal annuitization problem under a mortality shock. We consider an individual whose retirement wealth is…
In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on the market. In particular, we consider an endowment…
A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is…
Opinion formation in the population has attracted extensive research interest. Various models have been introduced and studied, including the ones with individuals' free will allowing them to change their opinions. Such models, however,…
Empirical evidence suggests that the rich have higher propensity to save than do the poor. While this observation may appear to contradict the homotheticity of preferences, we theoretically show that that is not the case. Specifically, we…
We prove the existence of a Radner equilibrium in a model with population growth and analyze the effects on asset prices. A finite population of agents grows indefinitely at a Poisson rate, while receiving unspanned income and choosing…
When group members claim a portion of limited resources, it is tempting to invest more effort to get a larger share. However, if everyone acts similarly, they all get the same piece they would obtain without extra effort. This is the…
We estimate the dynamic distributional effects of financial shocks in the Euro Area using survey-based microdata on personal incomes. We find that positive financial shocks increase inequality, with heterogeneity across different income…