We introduce a novel method of modelling Tullock rent-seeking contests that avoids the complexities encountered by the ‘best response function’ approach. We analyse contests in which there are many risk averse players differing in their attitudes to risk. We establish that, if every player has a constant degree of absolute risk aversion, a unique equilibrium exists. We also establish comparativ...

This paper proposes an approximation method to create optimal continuous-time portfolio strategy based on a combination of neural networks and Monte Carlo, named NNMC. work is motivated by the increasing complexity models stylized facts reported in literature. We within expected utility theory for selection with constant relative risk aversion utility. The extends recursive polynomial exponenti...

Optimal investment and consumption problem for a CRRA investor or agent is solved in this study. An invests the financial market with one risk-free security risky security. The stochastic interest rate dynamics of follow Ho-Lee model modeled as Heston’s its volatility parameter following Cox-Ingersoll-Ross (CIR) model. Interest rates rates, reality, are due to uncertain events such Coronavirus ...

We study whether exposure to COVID-19 has affected individual aversion health and income inequality in the UK, Italy, Germany, as well effect of personal shocks on employment (redundancies, government replacement salary unemployment), directly linked COVID-19. find that conditioned risk relevant covariates (income, education, demographics), individuals who have experienced either a or an financ...

using the quarterly data of 1990:1 to 2008:1 and in a general equilibrium approach, we investigate the long run equilibrium path of the equilibrium interest rate as well as the potential output. we implement a structural reduced form of a general equilibrium model consistent with iran’s economy and estimate the unobservable variables by employing the kalman filtering technique. a exponential ut...

I examine determinants of stochastic relative risk aversion in conditional asset pricing models. I first develop time-series specification tests with nonlinear state-space models with heteroskedasticity based on Merton (1973)’s ICAPM. I then established the following facts. First, the surplus consumption ratio implied by the external habit formation model is the most important determinant of re...

In this paper we investigate the relationships between prudence, risk aversion, and cautiousness. These three measures explain investors’ investment decisions in the money market, stock market, and option market respectively. Thus to understand how investors’ investment decisions in the three markets are related it is important to know the relationships between the three measures. We show that ...

The standard contract theory adopts the traditional hypothesis of pure self-interest. However, a series of game experiments have proven that people are not any self-interest but also inequity averse. Then, how will the inequity aversion influence the optimal contract for multiple agents? This paper attempts to obtain new theoretical insights by incorporating inequity aversion into the standard ...

We consider an asset allocation problem in a continuous-time model with stochastic volatility and (possibly correlated) jumps in both, the asset price and its volatility. First, we derive the optimal portfolio for an investor with constant relative risk aversion. One main finding is that the demand for jump risk now also includes a hedging component, which is not present in models without jumps...