We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with taking into account a common general price predicting...

This paper presents new approach to financial modeling and forecasting that is based on economic space notion. Economic space is defined as generalization of risk ratings and allows boost methods and description of financial processes. Risk ratings of economic agents are treated as coordinates...

Existing long-term energy and climate scenarios are typically a rather simple extrapolation of past trends. Both qualitative and quantitative outlooks co-exist, but they often focus narrowly on individual perspectives, which is opposed to the interlinked and complex nature of energy and climate....

Imperfect measurement of uncertainty (deeper uncertainty) in climate sensitivity is introduced in a two-sectoral integrated assessment model (IAM) with endogenous growth, based on an extension of DICE. The household expresses ambiguity aversion and can use robust control via a 'shadow ambiguity...

This work is based on a differential game proposed by Kelvin Lancaster. The game between two agents called workers and capitalists is based on the accumulation and redistribution of benefits among social classes concluding that cooperative outcomes outperform non-cooperative. This approach...

Existing long-term energy and climate scenarios are typically a rather simple extrapolation of past trends. Both qualitative and quantitative outlooks co-exist, but they often focus narrowly on individual perspectives, which is opposed to the interlinked and complex nature of energy and climate....

We study the design of voting rules for committees representing heterogeneous groups (countries, states, districts) when cooperation among groups is voluntary. While efficiency recommends weighting groups proportionally to their stakes, we show that accounting for participation constraints...

We consider the optimality of various institutional arrangements for agencies that conduct macro-prudential regulation and monetary policy. When a central bank is in charge of price and financial stability, a new time inconsistency problem may arise. Ex-ante, the central bank chooses the...

The "retirement saving puzzle" in the literature is the phenomenon that many households in the U.S. have significant wealth late in life, contrary to the predictions of a simple life-cycle model. In this project, we examine cross-country differences in saving behavior of retirees in order to...

The benchmarks of a Sovereign Wealth Fund (SWF) should take into account the economic and political context behind the creation of the SWF and the role the SWF plays as one part of a government's overall policy. The first benchmark of legitimacy ensures that the capital of the SWF is not...