Merton's financial multi-agent consumption

Konstantin Kogan, Charles Tapiero

Research output: Contribution to journalArticle

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 (US)
Pages (from-to)107-117
Number of pages11
JournalRisk and Decision Analysis
Volume7
Issue number3-4
DOIs
StatePublished - Jan 1 2018

Fingerprint

Multi-agent Model
Differential Games
Model-based
Optimization
Merton model
Model
Demand
Commitment
Framework
Aggregate demand
Factors
Savings
Expenditure
Differential games
Multi-agent model

Keywords

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

ASJC Scopus subject areas

  • Statistics and Probability
  • Finance
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

Cite this

Merton's financial multi-agent consumption. / Kogan, Konstantin; Tapiero, Charles.

In: Risk and Decision Analysis, Vol. 7, No. 3-4, 01.01.2018, p. 107-117.

Research output: Contribution to journalArticle

Kogan, Konstantin ; Tapiero, Charles. / Merton's financial multi-agent consumption. In: Risk and Decision Analysis. 2018 ; Vol. 7, No. 3-4. pp. 107-117.
@article{3eb43ae730c341868d4c9c916e3d907f,
title = "Merton's financial multi-agent consumption",
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.",
keywords = "Differential games, Large markets, Merton's model, Multiple agents, Pricing",
author = "Konstantin Kogan and Charles Tapiero",
year = "2018",
month = "1",
day = "1",
doi = "10.3233/RDA-180047",
language = "English (US)",
volume = "7",
pages = "107--117",
journal = "Risk and Decision Analysis",
issn = "1569-7371",
publisher = "IOS Press",
number = "3-4",

}

TY - JOUR

T1 - Merton's financial multi-agent consumption

AU - Kogan, Konstantin

AU - Tapiero, Charles

PY - 2018/1/1

Y1 - 2018/1/1

N2 - 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.

AB - 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.

KW - Differential games

KW - Large markets

KW - Merton's model

KW - Multiple agents

KW - Pricing

UR - http://www.scopus.com/inward/record.url?scp=85058469532&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85058469532&partnerID=8YFLogxK

U2 - 10.3233/RDA-180047

DO - 10.3233/RDA-180047

M3 - Article

AN - SCOPUS:85058469532

VL - 7

SP - 107

EP - 117

JO - Risk and Decision Analysis

JF - Risk and Decision Analysis

SN - 1569-7371

IS - 3-4

ER -