In the recent work of Dempster, Evstigneev and Taksar (2006) it has been shown that the von Neumann-Gale model of economic dynamics can serve as a convenient and natural framework for the analysis of questions of asset pricing and hedging under transaction costs. The present article focuses on a...

The impact of transaction costs on asset pricing in equilibrium is rarely studied. We study an equilibrium model with proportional transaction costs where two investors trade in a derivative to hedge non-traded endowments. For any positive transaction cost there always exist no trade equilibria....

The aim of this work is to extend the classical capital growth theory pertaining to frictionless financial markets to models taking into account various kinds of frictions, including transaction costs and portfolio constraints. A natural generalization of the notion of a benchmark investment...

This paper studies the different mechanisms and the dynamics through which demography is channeled to the economy. We analyze the role of demographic changes in the economic development process by studying the transitional and the long-run impact of both the rate of population growth and the...

This paper deals with the deterministic and stochastic versions of the von Neumann-Gale model. Von Neumann's (1937) original concern was to determine a balanced path growing at a maximal rate for a linear and stationary technology and a price system supporting that path.Such a pair (a path and a...

Spatiotemporal dynamics are introduced in a standard Ramsey model of optimal growth in which capital moves toward locations where the marginal productivity of capital is relatively higher. We extend Pontryagin s maximum principle to account for transition dynamics governed by a nonlinear partial...