相关论文: Ramsey Optimal Policy versus Multiple Equilibria w…

The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate…

This paper focuses on a new model to reach the existence of equilibrium in a pure exchange economy with fuzzy preferences (PXE-FP). The proposed model integrates exchange, consumption and the agent's fuzzy preference in the consumption set.…

In this paper, we introduce an abstract fuzzy economy model with a measure space of agents which generalizes Patriche's model (2009), we obtain a theorem of fuzzy equilibrium existence and we prove the existence of the solutions for two…

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…

Various formulations of counterfactual general equilibrium in economies -- systems of actors manipulating economic goods -- are logically and mathematically analyzed. Evenly-rotating economies are systems whose evolution is stable, steady,…

We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…

We consider a competitive market with risk-averse participants. We assume that agents' risks are measured by coherent risk measures introduced by Artzner et al. (1999). Fundamental theorems of welfare economics have long established the…

We study an overlapping generations (OLG) exchange economy with an asset that yields dividends. First, we derive general conditions, based on exogenous parameters, that give rise to three distinct scenarios: (1) only bubbleless equilibria…

Many policy problems involve designing individualized treatment allocation rules to maximize the equilibrium social welfare of interacting agents. Focusing on large-scale simultaneous decision games with strategic complementarities, we…

Traditional optimal commodity tax analysis, dating back to Ramsey (1927), prescribes that to maximize welfare one should impose higher taxes on goods with lower demand elasticities. Yet policy makers do not stress minimizing efficiency…

We propose a new concept named adaptive submodularity ratio to study the greedy policy for sequential decision making. While the greedy policy is known to perform well for a wide variety of adaptive stochastic optimization problems in…

The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such…

We focus on optimal control problems governed by elliptic, quasilinear PDEs. Though there are various examples of such problems in the literature, we make an attempt at describing some general principles by dealing with three basic…

In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal…

This paper provides a detailed analysis of the local determinacy of monetary and non-monetary steady states in Tirole (1985)'s classical two-period overlapping generations model with capital and production. We show that the sufficient…

We revisit optimal execution of an active portfolio in the presence of slippage (aka linear, proportional, or absolute-value) costs. Market efficiency implies a close balance between active alphas and trading costs, so even small changes to…

We study the competitive equilibrium of large random economies with linear activities using methods of statistical mechanics. We focus on economies with $C$ commodities, $N$ firms, each running a randomly drawn linear technology, and one…

The real monetary economy is grounded upon monetary flow equilibration or the activity of actualizing monetary flow continuity at each economic agent except for the central bank. Every update of monetary flow continuity at each agent…

An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the…

General Equilibrium Theory is the benchmark of economics, especially its results concerning the efficient allocation of resources, known as the First and Second Welfare Theorems. Yet, General Equilibrium Theory is beyond the scope of most…