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Duesenberry Equilibrium and Heterogenous Agents

Acceso Cerrado
ID Minciencias: ART-0000292591-91
Ranking: ART-ART_A1

Abstract:

We define an intertemporal equilibrium where agents optimize a functional of utility on consumption and final wealth on nominal terms as proposed by [J. A. London͂o, J. Appl. Probab., 46 (2009), pp. 55--70]. The equilibrium obtained is a Duesenberry Equilibrium in the sense that at the optimal choices, heterogeneous agents have utility values for consumption and wealth that can be seen as a functional on utility on relative consumption and wealth (relative income hypothesis). We characterize these markets under a weak condition, provide existence and uniqueness results, and develop some simple examples. Also, we show the behavior of the proposed model to explain classical puzzles, and we suggest a possible extension. The theoretical framework used is a generalization of markets when the processes are Brownian flows on manifolds.

Tópico:

Economic theories and models

Citaciones:

Citations: 2
2

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Información de la Fuente:

SCImago Journal & Country Rank
FuenteSIAM Journal on Financial Mathematics
Cuartil año de publicaciónNo disponible
Volumen11
Issue3
Páginas659 - 689
pISSNNo disponible
ISSN1945-497X

Enlaces e Identificadores:

Scienti ID0000292591-91Minciencias IDART-0000292591-91Doi URLhttps://doi.org/10.1137/18m1236174
Openalex URLhttps://openalex.org/W3123886592
Artículo de revista