Benchmarks in Aggregate Household Portfolios

Reference-dependent preference models assume that agents derive utility from deviations of consumption from benchmark levels, rather than from consumption levels. These references can be either backward-looking (as explicit in the Habit literature) or forward-looking (as implicitly suggested by Prospect Theory). For both cases, we specify and estimate a fully structural multi-variate Brownian system in optimal consumption, portfolio and wealth using aggregate household financial and real estate wealth data. Our results reveal that references are (i) strongly relevant, (ii) state-dependent, and (iii) that the data is more consistent with the backward- than the forward-looking reference model.portfolio choice; reference-dependent utility; habit; prospect; estimation of diffusion processes

Ratchet vs Blasé Investors and Asset Markets

His paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) consumption level is a function of wealth. Ratchet effects obtain when higher wealth increases the subsistance consumption level; blasé behavior occurs when higher wealth reduces it. We have three contributions: (i) we identify closed-form solutions for optimal consumption and portfolio rules; (ii) we use the optimal rules to estimate the model using aggregate portfolio data, and (iii) we derive and discuss the pricing implications of our results. Our estimates are consistent with blasé behavior and counter-cyclical risk aversion. Cet article propose une nouvelle fonction d'utilité contingente à la richesse pour le problème de la consommation et de portefeuille inter-temporels, où le niveau de subsistance (félicité) de la consommation dépend de la richesse. Des effets de rochet sont obtenus lorsque la richesse accroît le niveau de félicité, des effets blasés lorsqu'elle le réduit. Nous présentons trois contributions : (i) nous identifions des formes réduites pour la consommation et les portefeuilles optimaux; (ii) nous utilisons ces règles pour estimer le modèle à partir de la consommation et des positions financières agrégées et (iii) nous dérivons et discutons des implications de valorisation des actifs. Nos résultats indiquent la présence d'effet blasé et d'aversion contra-cyclique.portfolio choice, wealth-dependent preferences, preference for status, asset pricing, equity premium, risk-free rate, predictability, choix de portefeuille, préférences contingentes à la richesse, préférence pour le statut social, valorisation des actifs, prime de risque, taux sans risque, prévisibilité

A mathematical model for the Fermi weak interactions

We consider a mathematical model of the Fermi theory of weak interactions as patterned according to the well-known current-current coupling of quantum electrodynamics. We focuss on the example of the decay of the muons into electrons, positrons and neutrinos but other examples are considered in the same way. We prove that the Hamiltonian describing this model has a ground state in the fermionic Fock space for a sufficiently small coupling constant. Furthermore we determine the absolutely continuous spectrum of the Hamiltonian and by commutator estimates we prove that the spectrum is absolutely continuous away from a small neighborhood of the thresholds of the free Hamiltonian. For all these results we do not use any infrared cutoff or infrared regularization even if fermions with zero mass are involved

Hyperfine splitting of the dressed hydrogen atom ground state in non-relativistic QED

We consider a spin-1/2 electron and a spin-1/2 nucleus interacting with the quantized electromagnetic field in the standard model of non-relativistic QED. For a fixed total momentum sufficiently small, we study the multiplicity of the ground state of the reduced Hamiltonian. We prove that the coupling between the spins of the charged particles and the electromagnetic field splits the degeneracy of the ground state.Comment: 22 page