Merton's financial multi-agent consumption

Konstantin Kogan, Charles S. Tapiero

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

This paper defines a financial differential game framework to a multi-agent financial Merton Model. Unlike the Merton model based on consumption optimization, we assume that consumption expenditures are determined by agents financial commitments to consumption (and thereby, their savings and investments for future consumption). The consumption price is then defined by the aggregate demand for consumption and supply factors (rather than the utility price that each agent is willing to pay). As a result, the Financial Merton multi-agent model presented in this paper points out that consumption decisions depend on consumers strategic strengths.

Original languageEnglish
Pages (from-to)107-117
Number of pages11
JournalRisk and Decision Analysis
Volume7
Issue number3-4
DOIs
StatePublished - 2018

Bibliographical note

Publisher Copyright:
© 2018 IOS Press and the authors. All rights reserved.

Keywords

  • Differential games
  • Large markets
  • Merton's model
  • Multiple agents
  • Pricing

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