This paper discusses issues related to GPU for Economic problems. It highlights new methodologies and resources that are available for solving and estimating economic models and emphasizes situations when they are useful and others where they are impractical. Two examples illustrate the...

This paper discusses issues related to GPU for economic problems. It highlights new methodologies and resources that are available for solving and estimating economic models and emphasizes situations when they are useful and others where they are impractical. Two examples illustrate the...

Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way. There is a model (Markowitz) that stipulates that an investor has preferences and that she will choose the best portfolio, given her preference curves and an efficient frontier....

In the past year, generative AI, led by Chat GPT by Open AI and Bard, a language experiment by Google, generated tremendous attention amongst the public. Their impact on finance, law and general productivity are difficulty to articulate with words. This paper aims to strengthen the...

We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...

This article derives a new formula for the yield elasticity of bond price. The formula provides accurate results without resorting to complex mathematics, and gives new meaning to the concept of duration in fixed-income analysis

This paper studies asset pricing wherein the model combines dynamic learning and habit formation with agents' heterogeneous beliefs and preferences in a dynamic, stochastic, general-equilibrium, pure-exchange, international Lucas orchard. The intertemporal equilibrium model considers two groups...

We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a...

We introduce a novel geometry-based method of modelling information that encompasses entropy-based approaches. A key contribution is that we explicitly construct the optimal path to acquire information. The economic driver of this geometry-based framework is knowledge state dependent marginal...

In this paper I study the relationship between rationality and asset prices when agents have heterogeneous and incorrect beliefs about future events. Using the fully rational pricing as a benchmark, I show that when agents behave according to the Subjective Generalized Kelly rule (Bottazzi et...