Related papers: Good deal bounds induced by shortfall risk
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or…
We introduce a generalized version of Orlicz premia, based on possibly non-convex loss functions. We show that this generalized definition covers a variety of relevant examples, such as the geometric mean and the expectiles, while at the…
We present a model of credit card profitability, assuming that the card-holder always pays the full outstanding balance. The motivation for the model is to calculate an optimal credit limit, which requires an expression for the expected…
In this paper, we establish sufficient conditions for the existence of error bounds at infinity for lower semicontinuous inequality systems. We also show that the existence of an error bound at infinity of constraint systems plays an…
This paper considers the hidden-action model of the principal-agent problem, in which a principal incentivizes an agent to work on a project using a contract. We investigate whether contracts with bounded payments are learnable and…
De Finetti's optimal reinsurance is a set of contracts, one for each risk in a portfolio, that caps the retained aggregate variance to a pre-specified level while minimizing total expected loss. The premiums are determined using the…
We prove upper and lower bounds for certain sums of products of fractional parts by using majoring and minorizing functions from Fourier analysis. In special cases the upper bounds are sharp if there exist counterexamples to the Littlewood…
The paper examines how reinsurance can be used to strike a balance between expected profit and VaR/CVaR risk. Conditions making truncated stop loss contracts optimal are derived, and it is argued that those are usually satisfied in…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
We derive new upper and lower bounds for probabilities that $r$ or at least $r$ from $n$ events occur. These bounds can turn to equalities. The method is discussed as well. It works for measurable space and measures with sign, too. We also…
Optimization of conditional convex risk measure is a central theme in dynamic portfolio selection theory, which has not yet systematically studied in the previous literature perhaps since conditional convex risk measures are neither random…
We consider the problem of sequential decision making under uncertainty in which the loss caused by a decision depends on the following binary observation. In competitive on-line learning, the goal is to design decision algorithms that are…
The existing literature on optimal auctions focuses on optimizing the expected revenue of the seller, and is appropriate for risk-neutral sellers. In this paper, we identify good mechanisms for risk-averse sellers. As is standard in the…
We investigate \emph{bi-valued} auctions in the digital good setting and construct an explicit polynomial time deterministic auction. We prove an unconditional tight lower bound which holds even for random superpolynomial auctions. The…
The seller's risk-indifference price evaluation is studied. We propose a dynamic risk-indifference pricing criteria derived from a fully-dynamic family of risk measures on the $L_p$-spaces for $p\in [1,\infty]$. The concept of fully-dynamic…
We study optimal rating design under moral hazard and strategic manipulation. An intermediary observes a noisy indicator of effort and commits to a rating policy that shapes market beliefs and pay. We characterize optimal ratings via…
We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers utility maximisation as a special case. A…
We consider a stochastic financial incomplete market where the price processes are described by a vector-valued semimartingale that is possibly nonlocally bounded. We face the classical problem of utility maximization from terminal wealth,…
In the allocation of resources to a set of agents, how do fairness guarantees impact the social welfare? A quantitative measure of this impact is the price of fairness, which measures the worst-case loss of social welfare due to fairness…
We give a new bound of concurrence.