A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Upper bound on withdrawal success for geometric Levy alpha-stable wealth process.
Investment strategies ensure wealth bounded away from zero in a competitive market.
The paper examines smoothness of value function in consumption-investment models with borrowing constraints.
Estimates returns for dollar cost averaging using geometric Brownian motion.
We solve optimal consumption in a market with bounded risk.
This paper analyzes a hybrid reinsurance and investment game with bounded memory.
In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asymptotic optimality of the growth-optimal portfolio for the above problem and obtain tight bounds for the value function for any wealth level.…
The paper solves a consumption-investment problem with state-dependent lower bounds.
In this paper, we study the inequality indices for some models of wealth exchange. We calculated Gini index and newly introduced k-index and compare the results with reported empirical data available for different countries. We have found lower and upper bounds for the indices and discuss the efficiencies of the models…
Model compares altruism and individualism in wealth dynamics.
In this paper we continue the study of Bian-Miao-Zheng (2011) and extend the results there to a more general class of utility functions which may be bounded and non-strictly-concave and show that there is a classical solution to the HJB equation with the dual control method. We then apply the results to study the effic…
Optimizes dynamic investment portfolios with correlated jumps.
Study resolves duality gap in optimal consumption with random income termination.
We model a closed economic system with interactions that generates the features of empirical wealth distribution across all wealth brackets, namely a Gibbsian trend in the lower and middle wealth range and a Pareto trend in the higher range, by simply limiting the an agents' interaction to only agents with nearly the s…
Combines absolute and relative wealth in portfolio optimization with power utility functions.
Financial investment returns lead to growing wealth inequality.
We analyze wealth condensation for a wide class of stochastic economy models on the basis of the economic analog of thermodynamic potentials, termed transfer potentials. The economy model is based on three common transfers modes of wealth: random transfer, profit proportional to wealth and motivation of poor agents to …
New proof shows local wealth condensation in economic models with biases.
Short proof shows wealth condensation in trading model.
Reproductive success and survival are influenced by wealth in human populations. Wealth is transmitted to offsprings and strategies of transmission vary over time and among populations, the main variation being how equally wealth is transmitted to children. Here we propose a model where we simulate both the dynamics of…
The so-called "Yard-Sale Model" of wealth distribution posits that wealth is transferred between economic agents as a result of transactions whose size is proportional to the wealth of the less wealthy agent. In recent work [B.M. Boghosian, "Kinetics of Wealth and the Pareto Law," {\it Phys. Rev. E} {\bf 89} (2014) 042…
Study explores how wealth dynamics change with preferential interactions in kinetic exchange models.
Some general features of kinetic multi-agent models are reviewed, with particular attention to the relation between the agent saving propensities and the form of the equilibrium wealth distribution. The effect of a finite cutoff of the saving propensity distribution on the corresponding wealth distribution is studied. …
A wealth-process set is abstractly defined to consist of nonnegative càdlàg processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales and that t…
We study the distribution P(ω) of the random variable ω= x_1/(x_1 + x_2), where x_1 and x_2 are the wealths of two individuals selected at random from the same tempered Paretian ensemble characterized by the distribution Ψ(x) \sim φ(x)/x^{1 + α}, where α> 0 is the Pareto index and is the cut-off function. We con…
Study shows bifurcation in optimal retirement planning.
Analyzes how economic policies affect wealth distribution in Bitcoin token economy.
Inequality persists as wealth concentrates in a few agents.
A computational model for the distribution of wealth among the members of an ideal society is presented. It is determined that a realistic distribution of wealth depends upon two mechanisms: an asymmetric flux of wealth in trading transactions that advantages the poorer of the two traders and a non-stationary creation …
Study shows wealth distribution tails near criticality are not universal.
How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build the wealth distribution of a population. This distribution is determined for generic exchange rules --- transactions that…
The higher-end tail of the wealth distribution in India is studied using recently published lists of the wealth of richest Indians between the years 2002-4. The resulting rank distribution seems to imply a power-law tail for the wealth distribution, with a Pareto exponent between 0.81 and 0.92 (depending on the year un…
Almost universally, wealth is not distributed uniformly within societies or economies. Even though wealth data have been collected in various forms for centuries, the origins for the observed wealth-disparity and social inequality are not yet fully understood. Especially the impact and connections of human behavior on …
Pareto law, which states that wealth distribution in societies have a power-law tail, has been a subject of intensive investigations in statistical physics community. Several models have been employed to explain this behavior. However, most of the agent based models assume the conservation of number of agents and wealt…
Study extends wealth tax neutrality framework to heterogeneous investors.
We investigate the wealth evolution in a system of agents that exchange wealth through a disordered network in presence of an additive stochastic Gaussian noise. We show that the resulting wealth distribution is shaped by the degree distribution of the underlying network and in particular we verify that scale free netw…
We reformulate wealth taxation using Fokker-Planck equations to ensure tax neutrality.
Study shows how wealth distribution leads to volatility clustering in speculative markets.
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a wealth process, with respect to which the relative wealth processes of all other portfolios are supermartingales. Necessary and sufficient c…
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of infinite losses is infinite and her utility function is non-decreasing, continuous an…
We study the model of interacting agents proposed by Chatterjee et al that allows agents to both save and exchange wealth. Closed equations for the wealth distribution are developed using a mean field approximation. We show that when all agents have the same fixed savings propensity, subject to certain well defined app…
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst themselves such that the total wealth is conserved, and each individual agent saves a fraction (0 < lambda < 1) of wealt…
An important class of economic models involve agents whose wealth changes due to transactions with other agents. Several authors have pointed out an analogy with kinetic theory, which describes molecules whose momentum and energy changes due to interactions with other molecules. We pursue this analogy and derive a Bolt…
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal…
The addition of wealth-attained advantage (WAA) to the Yard-Sale Model (YSM) of asset exchange has been demonstrated to induce wealth condensation. In a model of WAA for which the bias is a continuous function of the wealth difference of the transacting agents, the condensation was shown to arise from a second-order ph…
We discuss a Pareto macro-economy (a) in a closed system with fixed total wealth and (b) in an open system with average mean wealth and compare our results to a similar analysis in a super-open system (c) with unbounded wealth. Wealth condensation takes place in the social phase for closed and open economies, while it …
The accumulation of individual fitness or wealth is modelled as a population game in which pairs of individuals are recurrently and randomly matched to play a game over a resource. In addition, all individuals have random access to a constant background resource, and their fitness or wealth depreciates over time. For b…
The contradiction between physical and economical sciences concerning the growth of the production/consumption mechanism is analyzed. It is then shown that if one wishes to keep the security level stable or to enhance it in a growing economy the cost of security grows faster than the gross wealth. The result is a typic…