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This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, such as banks and…
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the…
Flocking models with metric and topological interactions are supposed to exhibit distinct features, as for instance the presence and absence of moving polar bands. On the other hand, quenched disorder (spatial heterogeneities) has been…
We study the effect of intrinsic heterogeneity on the activity of a population of leaky integrate-and-fire neurons. By rescaling the dynamical equation, we derive mathematical relations between multiple neuronal parameters and a fluctuating…
This report was originally written as an industry white paper on Hedge Funds. This paper gives an overview to Hedge Funds, with a focus on risk management issues. We define and explain the general characteristics of Hedge Funds, their main…
We study a recently proposed model in which an odd number of agents are competing to be in the minority. The agents have one strategy in hand which is to follow the most recent history. Each agent is also assigned a value p, which is the…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the…
We consider a small set of axioms for income averaging -- recursivity, continuity, and the boundary condition for the present. These properties yield a unique averaging function that is the density of the reflected Brownian motion with a…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
Strong empirical evidence from laboratory experiments, and more recently from population surveys, shows that individuals, when evaluating their situations, pay attention to whether they experience gains or losses, with losses weighing more…
Opportunities, such as access to education or family background, shape income inequality by influencing the chances of economic success. Unequal opportunities create uncertainty about whether success is merit- or luck-based. We examine how…
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly,…
The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
Survey data are widely used to study how income inequality, poverty, and welfare evolve over time. A common practice is to estimate the income distribution separately for each year, treating annual observations as independent…
Social and political polarization is a significant source of conflict and poor governance in many societies. Thus, understanding its causes has become a priority of scholars across many disciplines. Here we demonstrate that shifts in…
Users of social networks display diversified behavior and online habits. For instance, a user's tendency to reply to a post can depend on the user and the person posting. For convenience, we group users into aggregated behavioral patterns,…
Multifractality is one of the patterns observed in spatial distributions of populations. In this study, we performed multifractal analysis for populations by age group in the capital area of Japan. Each population group generally exhibited…
This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go (PAYG) pension scheme. The social planner can invest in a buffer fund in order to guarantee a minimal pension amount. The model aims at…
Many new models for measuring financial contagion have been presented recently. While these models have not been specified for investment funds directly, there are many similarities that could be explored to extend the models. In this work…