Merton's financial multi-agent consumption

Konstantin Kogan, Charles S. Tapiero

Research output: Contribution to journalArticlepeer-review


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
Issue number3-4
StatePublished - 2018


  • 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


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