Related papers: Good deal bounds with convex constraints

This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…

This paper studies the problem of perturbed convex and smooth optimization. The main results describe how the solution and the value of the problem change if the objective function is perturbed. Examples include linear, quadratic, and…

This paper generalizes results concerning strong convexity of two-stage mean-risk models with linear recourse to distortion risk measures. Introducing the concept of (restricted) partial strong convexity, we conduct an in-depth analysis of…

Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…

We study soft budget constraints in multi-tier public finance when an upper-tier government uses two instruments: an ex-ante grant schedule and an ex-post rescue. Under convex rescue costs and standard primitives, the three-stage…

We consider the classic Kelly gambling problem with general distribution of outcomes, and an additional risk constraint that limits the probability of a drawdown of wealth to a given undesirable level. We develop a bound on the drawdown…

To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…

Consider the problem of drawing random variates $(X_1,\ldots,X_n)$ from a distribution where the marginal of each $X_i$ is specified, as well as the correlation between every pair $X_i$ and $X_j$. For given marginals, the…

We study auctions with severe bounds on the communication allowed: each bidder may only transmit t bits of information to the auctioneer. We consider both welfare- and profit-maximizing auctions under this communication restriction. For…

We describe a convex programming approach to the calculation of lower bounds on the minimum cost of constrained decentralized control problems with nonclassical information structures. The class of problems we consider entail the…

Using the techniques of [arXiv:0911.4271], upper bounds for a given confidence level are modified in an optimal fashion to incorporate the a priori information that the parameter being estimated is non-negative. A paradox with different…

This paper considers a general convex constrained problem setting where functions are not assumed to be differentiable nor Lipschitz continuous. Our motivation is in finding a simple first-order method for solving a wide range of convex…

The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets…

We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage…

We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…

We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…

In this paper we consider adjoint restriction estimates for space curves with respect to general measures and obtain optimal estimates when the curves satisfy a finite type condition. The argument here is new in that it doesn't rely on the…

We consider the Chance Constrained Model Predictive Control problem for polynomial systems subject to disturbances. In this problem, we aim at finding optimal control input for given disturbed dynamical system to minimize a given cost…

According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…

This paper proves, in very general settings, that convex risk minimization is a procedure to select a unique conditional probability model determined by the classification problem. Unlike most previous work, we give results that are general…