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Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/10/19
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Inequality reversal: effects of the savings propensity and correlated returns
Inequality reversal effects savings propensity correlated returns
2010/10/20
In the last decade, a large body of literature has been developed to explain the universal features of inequality in terms of income and wealth. By now, it is established that the distributions of in...
