In this paper, we consider the utility indifference pricing and utility-based pricing in the market with transaction costs. The utility maximization problem including contingent claims in the market with transaction costs has been considered by Bouchard (2002). Following his results, we consider...

Older wealthholders spend down assets much more slowly than predicted by classic life-cycle models. This paper introduces health-dependent utility into a model in which preferences for bequests, expenditures when in need of long-term care (LTC), and ordinary consumption combine with health and...

Climate change is real and dangerous. Exactly how bad it will get, however, is uncertain. Uncertainty is particularly relevant for estimates of one of the key parameters: equilibrium climate sensitivity--how eventual temperatures will react as atmospheric carbon dioxide concentrations double....

Assuming appropriate infinite-state model, we consider a previously un-examined stochastic-solution choice problem which includes known constant-solution choice problem as a degenerated case. We suggest dependence conditions on risks to range or explicitly solve for the stochastic solution with...

We revisit the Cournot–Bertrand debate in the light of Cournot, Edgeworth and Launhardt, tracing back to Launhardt the origin of price competition in duopoly models with constant returns to scale. Then, we discuss the formalisation of consumer utility function for differentiated products,...

The famous Afriat's theorem from the theory of revealed preferences establishes necessary and sufficient conditions for existence of utility function for a given set of choices and prices. The result on existence of a homogeneous utility function can be considered as a particular fact of the...

In recent decades in the US, slack on the product and labor markets has fluctuated a lot over the business cycle while inflation has been very stable. Motivated by this observation, we develop a business-cycle model in which fluctuations in demand and supply lead to fluctuations in slack but not...

We find that, for sufficiently risk-averse agents, strict dominance by pure or mixed actions coincides with dominance by pure actions in the sense of Börgers (1993), which, in turn, coincides with the classical notion of strict dominance by pure actions when preferences are asymmetric. Since...