Related papers: Endogenous Persistence at the Effective Lower Boun…

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic…

I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…

During the Great Recession, Democrats in the United States argued that government spending could be utilized to "grease the wheels" of the economy in order to create wealth and to increase employment; Republicans, on the other hand,…

This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and…

We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly…

Do governments adjust budgetary policy to rising public debt, precluding fiscal unsustainability? Using budget data for 52 industrial and emerging economies since 1990, we apply panel methods accounting for cross-sectional dependence and…

We develop a deep learning algorithm for constructing globally accurate approximations to functional rational expectations equilibria of dynamic stochastic economies in the sequence space. We use deep neural networks to parameterize key…

We consider both discrete and continuous control problems constrained by a fixed budget of some resource, which may be renewed upon entering a preferred subset of the state space. In the discrete case, we consider both deterministic and…

We provide two methodological insights on \emph{ex ante} policy evaluation for macro models of economic development. First, we show that the problems of parameter instability and lack of behavioral constancy can be overcome by considering…

We present an standard constraints generation algorithm to find an explicit set whose robustness is equal to the robustness of the feasible solution set of a combinatorial optimization problem with cost uncertainty. Computational experience…

In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…

We derive sublinear regret bounds for undiscounted reinforcement learning in continuous state space. The proposed algorithm combines state aggregation with the use of upper confidence bounds for implementing optimism in the face of…

In this paper we consider the problem of obtaining sharp bounds for the performance of temporal difference (TD) methods with linear function approximation for policy evaluation in discounted Markov decision processes. We show that a simple…

We study budget-constrained contextual bandits with adversarial contexts, where each action yields a random reward and incurs a random cost. We adopt the standard realizability assumption: conditioned on the observed context, rewards and…

This paper describes a discrete-time model of regularly-issued sovereign debt dynamics under a deficit-driven nominal debt growth regime that explicitly accounts for granular maturity. New issuance follows fixed allocations across a finite…

For environmental problems such as global warming future costs must be balanced against present costs. This is traditionally done using an exponential function with a constant discount rate, which reduces the present value of future costs.…

We model learning in a continuous-time Brownian setting where there is prior ambiguity. The associated model of preference values robustness and is time-consistent. It is applied to study optimal learning when the choice between actions can…

In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…

In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability…

How can we perform efficient inference and learning in directed probabilistic models, in the presence of continuous latent variables with intractable posterior distributions, and large datasets? We introduce a stochastic variational…