Related papers: Pseudo Linear Pricing Rule for Utility Indifferenc…
Incorporating fairness criteria in optimization problems comes at a certain cost, which is measured by the so-called price of fairness. Here we consider the allocation of indivisible goods. For envy-freeness as fairness criterion it is…
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the…
Social choice theory offers a wealth of approaches for selecting a candidate on behalf of voters based on their reported preference rankings over options. When voters have underlying utilities for these options, however, using preference…
A new iterative technique is presented for solving of initial value problem for certain classes of multidimensional linear and nonlinear partial differential equations. Proposed iterative scheme does not require any discretization,…
For simultaneous independent events with finitely many outcomes, consider the expected-utility problem with nonnegative wagers and an endogenous cash position. We prove a short support theorem for a broad class of strictly increasing…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
In this paper, we develop a new method for finding an optimal biddingstrategy in sequential auctions, using a dynamic programming technique. Theexisting method assumes that the utility of a user is represented in anadditive form. Thus, the…
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…
In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…
When evaluating policies that affect future generations, the most commonly used criterion is the discounted utilitarian rule. However, in terms of intergenerational fairness, it is difficult to justify prioritizing the current generation…
People often face trade-offs between costs and benefits occurring at various points in time. The predominant discounting approach is to use the exponential form. Central to this approach is the discount rate, a unique parameter that…
We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non-replicable random endowment. We provide an example showing that even in the simplest of settings - such as Samuelson's…
Tackling the problem of ordinal preference revelation and reasoning, we propose a novel methodology for generating an ordinal utility function from a set of qualitative preference statements. To the best of our knowledge, our proposal…
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous…
We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors and/or risk aversion. Assuming that the average indifference…
This paper studies the procurement and pricing of inertial response using a frequency-constrained unit commitment formulation, which co-optimizes the provision of energy and inertia services while accounting for their complementary…
Probabilistic electricity price forecasting (PEPF) is vital for short-term electricity markets, yet the multivariate nature of day-ahead prices - spanning 24 consecutive hours - remains underexplored. At the same time, real-time…
Our paper aims to model supply and demand curves of electricity day-ahead auction in a parsimonious way. Our main task is to build an appropriate algorithm to present the information about electricity prices and demands with far less…
We prove an asymptotic formula for a variant of the binary additive divisor problem with linear factors in the arguments, which has a power saving error term and which is uniform in all involved parameters.
In this paper, using the mean-field game theory, we study a problem of equilibrium price formation among many investors with exponential utility in the presence of liabilities unspanned by the security prices. The investors are…