This paper studies a portfolio allocation problem, where the goal is to prescribe wealth distribution at final time. We study this problem with tools of optimal mass transport. provide dual formulation which we solve by gradient descent algorithm. involves solving an associated HJB and Fokker--Planck equation finite difference method. Numerical examples for various prescribed terminal distribut...

Welfare-oriented analyses of economic outcome measures such as income and wealth in general rest on the assumption of pooling and equal sharing of resources by all members of a given household. Examining the distribution of income and wealth within the household context is almost always hampered by the lack of individual level data. Based on unique individual level wealth data from the German S...

Pareto law, which states that wealth distribution in societies has a power-law tail, has been the subject of intensive investigations in the statistical physics community. Several models have been employed to explain this behavior. However, most of the agent based models assume the conservation of number of agents and wealth. Both these assumptions are unrealistic. In this paper, we study the l...