Related papers: Pseudo Linear Pricing Rule for Utility Indifferenc…
We present a finite difference method to compute the principal eigenvalue and the corresponding eigenfunction for a large class of second order elliptic operators including notably linear operators in nondivergence form and fully nonlinear…
A recent line of work, starting with Beigman and Vohra (2006) and Zadimoghaddam and Roth (2012), has addressed the problem of {\em learning} a utility function from revealed preference data. The goal here is to make use of past data…
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from the literature to…
We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model with proportional transaction costs with a long time horizon. By duality methods, we can find expressions for the…
The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential L\'evy type. We consider non-tradeability as a particular type of market illiquidity and investigate its impact on the price of…
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…
The paper introduces a generalization for known probabilistic models such as log-linear and graphical models, called here multiplicative models. These models, that express probabilities via product of parameters are shown to capture…
Selling a perfectly divisible item to potential buyers is a fundamental task with apparent applications to pricing communication bandwidth and cloud computing services. Surprisingly, despite the rich literature on single-item auctions,…
We study indifference pricing of exotic derivatives by using hedging strategies that take static positions in quoted derivatives but trade the underlying and cash dynamically over time. We use real quotes that come with bid-ask spreads and…
We propose an efficient algorithm for estimation of possibility based qualitative expected utility. It is useful for decision making mechanisms where each possible decision is assigned a multi-attribute possibility distribution. The…
Motivated by the work of Musiela and Zariphopoulou \cite{zar-03}, we study the It\^o random fields which are utility functions $U(t,x)$ for any $(\omega,t)$. The main tool is the marginal utility $U_x(t,x)$ and its inverse expressed as the…
We study the budget map and the indirect utility function of a parametric consumer problem in a Banach space setting by some advanced tools from set-valued and variational analysis. The Lipschitz-likeness and differentiability properties of…
Eliciting a preference model involves asking a person, named decision-maker, a series of questions. We assume that these preferences can be represented by an additive value function. In this work, we query simultaneously two decision-makers…
To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…
Many applications of representation learning, such as privacy preservation, algorithmic fairness, and domain adaptation, desire explicit control over semantic information being discarded. This goal is formulated as satisfying two…
A linearizable version of multidimensional system of $n$-wave type nonlinear PDEs is proposed. This system is derived using the spectral representation of its solution via the procedure similar to the dressing method for the ISTM-integrable…
Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
This work derives an approximate analytical single period solution of the portfolio choice problem for the power utility function. It is possible to do so if we consider that the asset returns follow a multivariate normal distribution. It…