The Itô formula was extended recently by Dupire (2009) to functionals of paths of continuous semimartingales, and by Cont and Fournié (2010) to functionals of paths of RCLL semimartingales. In contrast to the traditional formula that applies to functions of the current value of a process,...

We study a class of optimization problems involving linked recursive preferences in a continuous-time Brownian setting. Such links can arise when preferences depend directly on the level or volatility of wealth, in principal-agent (optimal compensation) problems with moral hazard, and when the...

By employing a large dataset of nation-wide state-owned and non-state-owned manufacturing enterprises in the period 1998-2007, this paper analyzes the evolving pattern of the correlation and spread between wages and labor productivity in China's manufacturing sector and its influence factors. We...

To explain the relationship between income inequality and economic growth, we develop a computational model of endogenous growth by taking the effects of fixed government expenditure into account. With such a model, a non-linear relationship between level of income inequality and economic growth...