Related papers: The Effect of Market Power on Risk-Sharing
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a…
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…
In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…
Having fixed capacities, homogeneous products and price sensitive customer purchase decision are primary distinguishing characteristics of numerous revenue management systems. Even with two or three rivals, competition is still highly…
We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…
This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…
This paper proposes a novel energy sharing mechanism for prosumers who can produce and consume. Different from most existing works, the role of individual prosumer as a seller or buyer in our model is endogenously determined. Several…
Autonomous vehicles will be an integral part of ride-sharing services in the future. This setting differs from traditional ride-sharing marketplaces because of the absence of the supply side (drivers). However, it has far-reaching…
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…
The decisions that human beings make to allocate time has significant bearing on economic output and to the sustenance of social networks. The time allocation problem motivates our formal analysis of the resource allocation game, where…
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 study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…
Financial firms and institutional investors are routinely evaluated based on their performance relative to their peers. These relative performance concerns significantly influence risk-taking behavior and market dynamics. While the…
We investigate a spectrum oligopoly market where primaries lease their channels to secondaries in lieu of financial remuneration. Transmission quality of a channel evolves randomly. Each primary has to select the price it would quote…
As the number of prosumers with distributed energy resources (DERs) grows, the conventional centralized operation scheme may suffer from conflicting interests, privacy concerns, and incentive inadequacy. In this paper, we propose an energy…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
We study a common-pool resource game where the resource experiences failure with a probability that grows with the aggregate investment in the resource. To capture decision making under such uncertainty, we model each player's risk…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…