Related papers: Short-horizon Duesenberry Equilibrium
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equilibrium strategies of these problems are respectively…
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her…
A general information equilibrium model in the case of ideal information transfer is defined and then used to derive the relationship between supply (information destination) and demand (information source) with the price as the detector of…
We study the modeling of a compressible two-phase flow in a porous medium. The governing free boundary problem is known as the Verigin problem with phase transition. We introduce a novel variational framework to construct weak solutions.…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
Rational pure bubble models feature multiple (and often a continuum of) equilibria, which makes model predictions and policy analyses non-robust. We show that when the interest rate in the fundamental equilibrium is below the economic…
In this paper, we address the problem of optimizing flows on generalized graphs that feature multiple entry points and multiple populations, each with varying cost structures. We tackle this problem by considering the multi-population…
We study competitive equilibrium in the canonical Fisher market model, but with indivisible goods. In this model, every agent has a budget of artificial currency with which to purchase bundles of goods. Equilibrium prices match between…
In order to describe the properties of the observed distribution of wealth in a population, most economic models rely on the existence of an asymptotic equilibrium state. In addition, the process generating the equilibrium distribution is…
The origin of economic crises is a key problem for economics. We present a model of long-run competitive markets to show that the multiplicity of behaviors in an economic system, over a long time scale, emerge as statistical regularities…
We consider a system of multiscale stochastic differential equations whose slow component is drivenby a fractional Brownian motion with Hurst parameter H greater than 1/2. Under ergodic assumptions ensuring the applicability of the…
We introduce and study a class of models of free fermions hopping between neighbouring sites with random Brownian amplitudes. These simple models describe stochastic, diffusive, quantum, unitary dynamics. We focus on periodic boundary…
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio optimization is usually done through dynamic programming.…
Probabilities in eternal inflation are traditionally defined as limiting frequency distributions, but a unique and unambiguous probability measure remains elusive. In this paper, we present a different approach, based on Bayesian reasoning.…
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
We study a nonlinear system of partial differential equations arising in macroeconomics which utilizes a mean field approximation. This system together with the corresponding data, subject to two moment constraints, is a model for debt and…
We introduce a model of infinite horizon linear dynamic optimization with linear constraints and obtain results concerning feasibility of trajectories and optimal solutions necessarily satisfying conditions that resemble the Euler condition…
The main purpose of this paper is to extend the information-based asset-pricing framework of Brody-Hughston-Macrina to a more general set-up. We include a wider class of models for market information and in contrast to the original paper,…