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Identifier to cite or link to this item: https://hdl.handle.net/10086/27995

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Title
Some Asymptotic Results for the Yard-Sale Model of Asset Exchange
Creator
Creator Name
KOBAYASHI, Kenta KOBAYASHI, Kenta
小林, 健太 小林, 健太
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
TAKAOKA, Koichiro TAKAOKA, Koichiro
高岡, 浩一郎 高岡, 浩一郎
Abstract
Concerning the yard-sale model of asset exchange, some refinements of the results in the literature are given in both discrete- and continuoustime settings. The wealth concentration result is extended to possibly unfair games. In a fair case, an asymptotic behavior of every player’s wealth process is derived. In the continuous-time settings, the effect of a proportional capital tax is also investigated. It is not assumed that the frequency of transactions is homogeneous for every pair of players in the discrete-time settings, or that the intensity of transactions is homogeneous in the continuous-time settings.
Publisher
Hitotsubashi University Center for Financial Research
Issued Date
2016-07-12
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Working Paper Series ; No. G-1-17
Number of Pages
32
Appears in Collections
Working Paper Series / Hitotsubashi University Center for Financial Research
URL
https://hdl.handle.net/10086/27995