This paper analyzes the dependence of average consumption on the saving rate in a one-sector neoclassical Solow growth model with production shocks and stochastic rates of population growth and depreci-ation where arbitrary ergodic processes are considered. We show that the long-run behavior of...

This paper analyzes economic fluctuations in an overlapping generations economy with productive capital in which random shocks in aggregate productivity are present. Under specific assumptions we obtain an explicit solution of the model. Applying random dynamical systems theory, we can prove...

This paper studies a monetary economy with heterogenous agents in which trade takes place in a centralized market. Each agent is a potential producer and consumer of a service (or perishable good) but has stochastic preferences that determines his taste for the good in each period in time. Money...

This paper contributes to the understanding of stochastic economic dynamics with S-shaped law of motion. Applying random dynamical systems theory, we obtain a complete analysis of a stochastic OLG growth model. In the long-run the economy converges either to a state with no capital (poverty...

This paper surveys recent advances in the application of random dynamical systems theory in economics. It illustrates the usefulness of this framework for modeling and analysis of economic phenomena with stochastic components, mainly focusing on stochastic dynamic models in economic growth. The...

This paper presents a complete analysis of a stochastic version of the Solow growth model in which all parameters are ergodic random variables. Applying random dynamical systems theory, we prove that the dynamics and, in particular, the long-run behavior is uniquely determined by a globally...

Trading skills are highly rewarded in practice but largely ignored in theoretical models of financial markets. This paper demonstrates the importance of skills by examining their interaction with market fragmentation and market stability. We consider a computational model where traders'...

Smart-beta (or factor) investing industry's assets under management have grown to over $1 trillion. We attempt to survey the merits and risks of this investment style from both professional investors' and academics' points of view. After reviewing academic papers, reports of practitioners in the...

Long-run risk models, a cornerstone in the macro-finance literature for their ability to capture key asset price phenomena, are known to entail implausibly high levels of timing and risk premia. Our paper resolves this puzzle by considering consumption of durable goods in addition to that of...

We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem particularly relevant but its negative effects have...