Related papers: Num\'{e}raire-invariant preferences in financial m…
We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme (a.k.a. contract) so as to induce an agent to take a costly, unobservable action. We relax the assumption that the principal perfectly…
We study the interaction between strategy, heterogeneity and growth in a two-agent model of capital accumulation. Preferences are represented by recursive utility functions with decreasing marginal impatience. The stationary equilibria of…
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…
We address two mathematical aspects of the Bir\'o--N\'eda dynamical model, recently applied in the statistical analysis of several and varied complex phenomena. First, we show that a given implicit assumption ceases to be valid outside the…
User preference learning is generally a hard problem. Individual preferences are typically unknown even to users themselves, while the space of choices is infinite. Here we study user preference learning from information-theoretic…
This paper focuses on a new model to reach the existence of equilibrium in a pure exchange economy with fuzzy preferences (PXE-FP). The proposed model integrates exchange, consumption and the agent's fuzzy preference in the consumption set.…
Most of parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe…
In this paper, a general model of a pure exchange differential information economy is studied. In this economic model, the space of states of nature is a complete probability measure space, the space of agents is a measure space with a…
This paper proposes a new way to model behavioral agents in dynamic macro-financial environments. Agents are described as neural networks and learn policies from idiosyncratic past experiences. I investigate the feedback between…
A model for decision making that generalizes Expected Utility Maximization is presented. This model, Expected Qualitative Utility Maximization, encompasses the Maximin criterion. It relaxes both the Independence and the Continuity…
We present a unified logical framework for representing and reasoning about both probability quantitative and qualitative preferences in probability answer set programming, called probability answer set optimization programs. The proposed…
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…
Possibilistic risk theory starts from the hypothesis that risk is modelled by fuzzy numbers. In particular, in a possibilistic portfolio choice problem, the return of a risky asset will be a fuzzy number. The expected utility operators have…
In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic…
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
We study two stylized, multi-agent models aimed at investing a limited, indivisible resource in public transportation. In the first model, we face the decision of which potential stops to open along a (e.g., bus) path, given agents' travel…
We present a formal language for specifying qualitative preferences over temporal goals and a preference-based planning method in stochastic systems. Using automata-theoretic modeling, the proposed specification allows us to express…
In the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criteria is formulated as a robust forward performance process,…
We study one-sided matching problems where $n$ agents have preferences over $m$ objects and each of them need to be assigned to at most one object. Most work on such problems assume that the agents only have ordinal preferences and usually…