Related papers: Optimal Risk Sharing under Distorted Probabilities
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution to the Risk-Sharing problem under very…
We study a cost sharing problem derived from bug bounty programs, where agents gain utility by the amount of time they get to enjoy the cost shared information. Once the information is provided to an agent, it cannot be retracted. The goal,…
This paper considers a distributed adaptive optimization problem, where all agents only have access to their local cost functions with a common unknown parameter, whereas they mean to collaboratively estimate the true parameter and find the…
A novel distributed algorithm is proposed for finite-time converging to a feasible consensus solution satisfying global optimality to a certain accuracy of the distributed robust convex optimization problem (DRCO) subject to bounded…
This paper studies an optimal insurance contracting problem in which the preferences of the decision maker given by the sum of the expected loss and a convex, increasing function of a deviation measure. As for the deviation measure, our…
This work provides analysis of a variant of the Risk-Sharing Principal-Agent problem in a single period setting with additional constant lower and upper bounds on the wage paid to the Agent. First the effect of the extra constraints on…
We propose a multi-agent model of an asset market and study conditions that guarantee that the strategy of an individual agent cannot outperform the market. The model assumes a mean-field approximation of the market by considering an…
This paper presents a distributed continuous-time optimization framework aimed at overcoming the challenges posed by time-varying cost functions and constraints in multi-agent systems, particularly those subject to disturbances. By…
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market information and its dependence with tradable assets is…
We propose to interpret distribution model risk as sensitivity of expected loss to changes in the risk factor distribution, and to measure the distribution model risk of a portfolio by the maximum expected loss over a set of plausible…
Most methods for publishing data with privacy guarantees introduce randomness into datasets which reduces the utility of the published data. In this paper, we study the privacy-utility tradeoff by taking maximal leakage as the privacy…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…
We point out some major drawbacks in random trading market models and propose a realistic modification which overcomes such drawbacks through `sensible trading'. We apply such trading policy in different situations: a) Agents with zero…
We study the allocation strategies for redundant components in the load-sharing series/parallel systems. We show that under the specified assumptions, the allocation of a redundant component to the stochastically weakest (strongest)…
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…
We study strongly convex distributed optimization problems where a set of agents are interested in solving a separable optimization problem collaboratively. In this paper, we propose and study a two time-scale decentralized gradient descent…
We study distributed binary hypothesis testing with a single sensor and two remote decision centers that are also equipped with local sensors. The communication between the sensor and the two decision centers takes place over three links: a…
This paper considers an insurer with two collaborating business lines, and the risk exposure of each line follows a diffusion risk model. The manager of the insurer makes three decisions for each line: (i) dividend payout, (ii)…
In this paper, we consider an unconstrained distributed optimization problem over a network of agents, in which some agents are adversarial. We solve the problem via gradient-based distributed optimization algorithm and characterize the…
In frequently repeated matching scenarios, individuals may require diversification in their choices. Therefore, when faced with a set of potential outcomes, each individual may have an ideal lottery over outcomes that represents their…