In this paper, we study the problem of finding the minimal initial capital (i.e. super-replication value) needed in order to hedge (without risk) European contingent claims in a Markov setting under proportional transaction costs. The main result is that the cheapest (trivial) buy-and-hold...

In this paper, we study the problem of finding the minimal initial capital (i.e. super-replication value) needed in order to hedge (without risk) European contingent claims in a Markov setting under proportional transaction costs. The main result is that the cheapest (trivial) buy-and-hold...

I compare the predictions of two types of dynastic models for the persistence of wealth across generations: models that focus on uninsurable risk and intergenerational consumption smoothing but abstract from the fertility decision, such as Loury [1981] and Laitner [1992], and models without risk...

Larger countries should have a higher degree of interregional mobility of labor. A model of regional migration is calibrated for the U.S. and Europe in order to asses the importance of this effect. The model is able to replicate the observed patterns. By reversing the sizes, the mobility patters...

In this paper I give a method for finding long-run-average policies in the undiscounted economic growth problem using approximations by finite horizons. Required hypothesis is the strong interiority of T-horizon solutions.