We study a dynamic mean-variance portfolio optimization problem under the reinforcement learning framework, where an entropy regularizer is introduced to induce exploration. Due to the time-inconsistency involved in a mean-variance criterion, we aim to learn an equilibrium strategy. Under an...

Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the...

Knightian uncertainty leads naturally to nonlinear expectations. We introduce a corresponding equilibrium concept with sublinear prices and establish their existence. In general, such equilibria lead to Pareto inefficiency and coincide with Arrow-Debreu equilibria only if the values of net...

This paper analyzes a dynamic stochastic equilibrium model of an asset market based on behavioral and evolutionary principles. The core of the model is a non-traditional game-theoretic framework combining elements of stochastic dynamic games and evolutionary game theory. Its key characteristic...

This paper considers a multi-agent one-sector Ramsey equilibrium growth model with borrowing constraints. The extreme borrowing constraint used in the classical version of the model, surveyed in Becker (2006), and the limited form of borrowing constraint examined in Borissov and Dubey (2015) are...

We imbed a classic fishery model, where the optimal policy follows a Most Rapid Approach Path to a steady state, into an overlapping generations setting. The current generation discounts future generations' utility flows at a rate possibly different from the pure rate of time preference used to...

Simultaneous research efforts made in 1962 by Gary Becker and Vernon Smith proved that neither rationality nor complete information are necessary market conditions to reach a competitive equilibrium. Although behavioral extensions to this framework have shown significant progress towards a...

A theory of general economic equilibrium with incomplete financial markets is developed with many new features, including currency-denominated prices which enable treatment of currency-based derivative instruments and collateralized contracts. Prices in such models with standard market structure...

An industry consisting of a large number of small (fixed size) firms subject to idiosyncratic productivity shocks is considered. At the moment of entry, a firm takes on debt. We demonstrate that in a competitive equilibrium, some firms exit and pay out their debt while others choose to default....