We study strategic investment in continuous time with positive externalities of changing magnitude. Our model particularly allows for two correlated risk factors. Constructing subgame-perfect equilibria with pure and mixed strategies, we observe the novel effect that it is important for the...

This note presents an analytical method to examine when, why, and how rules of price normalization have an impact on noncompetitive equilibria in Arrow-Debreu economies. For simple prototype economies it is shown that under smooth strict convexity of preferences and technologies regular...

We study semigroups of convex monotone operators on spaces of continuous functions and their behaviour with respect to Г-convergence. In contrast to the linear theory, the domain of the generator is, in general, not invariant under the semigroup. To overcome this issue, we consider different...

We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at selling over an infinite time-horizon a fixed amount of assets in order to maximize a net expected profit...

We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field equilibria in models where data may not be continuous with respect to the measure parameter and common noise is...

We introduce the Maschler-Perles-Shapley value for NTU games composed by smooth bodies. This waywe extend the M-P-S value established for games composed by Cephoids ("sums of deGua Simplices"). The development is parallel to the one of the (generalized) Maschler-Perles bargaining solution. For...

We propose a tractable dynamic framework for the joint determination of optimal consumption, portfolio choice, and healthcare irreversible investment. Our model is based on a Merton's portfolio and consumption problem, where, in addition, the agent can choose the time at which undertaking a...

We examine the effect of demographic shifts on asset prices in an overlapping generations model with endogenous population dynamics. We establish a robust inverse relationship between returns and the old dependency ratio. We document the absence of a simple monotonic relationship between asset...

We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn-Tucker theorem characterizing the optimal consumption plan. An explicit solution is provided for the case when the...

We investigate consequences of ambiguity on efficient allocations in an exchange economy. Ambiguity is embodied in the model uncertainty perceived by the consumers: they are unsure what would be the appropriate probability measure to apply to evaluate consumption and keep in consideration a set...