Related papers: Expected Growth Criterion: An Axiomatization
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…
In the first part of this paper (Sections 1-4), we study a standard exchange economy model with Cobb-Douglas type consumers and give a necessary and sufficient condition for the existence of an odd period cycle in the Walras-Samuelson…
Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this well-known phenomenon we study robust growth-optimization…
A stochastic model with a continuum of economic agents often involves shocks at both macro and micro levels. This can be formalized by a continuum of random variables that are conditionally independent given the macro level shocks. Based on…
This paper considers the problem of shaping agent utility functions in a transactive energy system to ensure the optimal energy price at a competitive equilibrium is always socially acceptable, that is, below a prescribed threshold. Agents…
We prove that a rank one transformation satisfying a condition called restricted growth is a mixing transformation if and only if the spacer sequence for the transformation is uniformly ergodic. Uniform ergodicity is a generalization of the…
We show in a simulation when economic agents are subject to evolution (random change and selection based on the success in the estimation of the result of the gamble) they acquire risk aversive behavior. This behavior appears in the form of…
We study group decision making with changing preferences as a Markov Decision Process. We are motivated by the increasing prevalence of automated decision-making systems when making choices for groups of people over time. Our main…
We study the interaction between strategy, heterogeneity and growth in a two-agent model of capital accumulation. Preferences are represented by recursive utility functions with decreasing marginal impatience. The stationary equilibria of…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
Consider a model where $N$ equal agents possess `values', belonging to $\mathbb{N}_0$, that are subject to incremental growth over time. More precisely, the values of the agents are represented by $N$ independent, increasing $\mathbb{N}_0$…
A broad set of empirical phenomenon in the study of social, economic and machine behaviour can be modelled as complex systems with averaging dynamics. However many of these models naturally result in consensus or consensus-like outcomes. In…
The dynamical evolution of many economic, sociological, biological and physical systems tends to be dominated by a relatively small number of unexpected, large changes (`extreme events'). We study the large, internal changes produced in a…
In dynamic programming and reinforcement learning, the policy for the sequential decision making of an agent in a stochastic environment is usually determined by expressing the goal as a scalar reward function and seeking a policy that…
A growing body of empirical evidence suggests that the dynamics of wealth within a population tends to be non-ergodic, even after rescaling the individual wealth with the population average. Despite these discoveries, the way in which…
We suggest employing log-ergodic processes to simulate the velocity of money in an ergodic manner. Our approach sheds light on economic behavior, policy implications, and financial dynamics by maintaining long-term stability. By bridging…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which pertained only to risk-averse utility maximizers. The…
A sequential decision-making agent balances between exploring to gain new knowledge about an environment and exploiting current knowledge to maximize immediate reward. For environments studied in the traditional literature, optimal…
Many economic theories have been introduced over the course of history to articulate our understanding of the economy. Classical theories by Adam Smith and David Ricardo's Comparative Advantage have been foundational for the last century's…