We propose a parsimonious model of information choice in a global coordination game of regime change that is used to analyze debt crises, bank runs or currency attacks. A change in the publicly available information alters the uncertainty about the behavior of other investors. Greater strategic...

The routing capacity region of networks with multiple unicast sessions can be characterized using Farkas lemma as an infinite set of linear inequalities. In this paper this result is sharpened by exploiting properties of the solution satisfied by each rate-tuple on the boundary of the capacity...

Within the context of games on networks S. Goyal (Goyal (2007), pg. 39) posed the following problem. Under any arbitrary but fixed topology, does there exist at least one pure Nash equilibrium that exhibits a positive relation between the cardinality of a player's set of neighbors and its...

The routing capacity region of networks with multiple unicast sessions can be characterized using Farkas lemma as an infinite set of linear inequalities. In this paper this result is sharpened by exploiting properties of the solution satisfied by each rate-tuple on the boundary of the capacity...

We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time 1 value satisfies a specific constraint. This construction allows us to show the existence of...

In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both the risk aversion and the elasticity of intertemporal substitution are...

This paper studies the Glosten Milgrom model whose risky asset value admits an arbitrary discrete distribution. Contrast to existing results on insider's models, the insider's optimal strategy in this model, if exists, is not of feedback type. Therefore a weak formulation of equilibrium is...

We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of the state space. We allow for various types of model...

Portfolio turnpikes state that as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. In a general semimartingale setting, the abstract turnpike states that optimal final payoffs and...

When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and not too risk averse for low wealth. We prove this result in a general arbitrage-free, frictionless, semimartingale...