Related papers: Optimal Risk Sharing under Distorted Probabilities
We consider solving multi-objective optimization problems in a distributed manner by a network of cooperating and learning agents. The problem is equivalent to optimizing a global cost that is the sum of individual components. The…
This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Contrary to common…
We consider a social choice setting with agents that are partitioned into disjoint groups, and have metric preferences over a set of alternatives. Our goal is to choose a single alternative aiming to optimize various objectives that are…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption…
We study the distortion of one-sided and two-sided matching problems on the line. In the one-sided case, $n$ agents need to be matched to $n$ items, and each agent's cost in a matching is their distance from the item they were matched to.…
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize…
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…
Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the…
This work develops effective distributed strategies for the solution of constrained multi-agent stochastic optimization problems with coupled parameters across the agents. In this formulation, each agent is influenced by only a subset of…
This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…
We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only consider moral-hazard-free reinsurance contracts by imposing…
Optimization of distortion riskmetrics with distributional uncertainty has wide applications in finance and operations research. Distortion riskmetrics include many commonly applied risk measures and deviation measures, which are not…
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…
The purpose of this work is to develop and study a distributed strategy for Pareto optimization of an aggregate cost consisting of regularized risks. Each risk is modeled as the expectation of some loss function with unknown probability…
With the growing use of distributed machine learning techniques, there is a growing need for data markets that allows agents to share data with each other. Nevertheless data has unique features that separates it from other commodities…
We consider the problem of implementing an individually rational, asymptotically Pareto optimal allocation in a barter-exchange economy where agents are endowed with goods and have preferences over the goods of others, but may not use money…
We give parallel and distributed algorithms for the housing allocation problem. In this problem, there is a set of agents and a set of houses. Each agent has a strict preference list for a subset of houses. We need to find a matching such…
This paper studies decentralized risk-sharing on networks. In particular, we consider a model where agents are nodes in a given network structure. Agents directly connected by edges in the network are referred to as friends. We study…
We investigate a market without money in which agents can offer certain goods (or multiple copies of an agent-specific good) in exchange for goods of other agents. The exchange must be balanced in the sense that each agent should receive a…