Related papers: Preemptive Investment under Uncertainty
Strategic uncertainty complicates policy design in coordination games. To rein in strategic uncertainty, the Planner in this paper connects the problem of policy design to that of equilibrium selection. We characterize the subsidy scheme…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
In the game theory literature, there appears to be little research on equilibrium selection for normal-form games with an infinite strategy space and discontinuous utility functions. Moreover, many existing selection methods are not…
We consider a hidden-action principal-agent model, in which actions require different amounts of effort, and the agent privately knows his ability that determines his cost of effort. We show that linear contracts admit approximation…
Robust optimization methods have shown practical advantages in a wide range of decision-making applications under uncertainty. Recently, their efficacy has been extended to multi-period settings. Current approaches model uncertainty either…
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended)…
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…
We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with transaction costs. The objective is to seek the optimal…
A recently introduced concept of "cooperative equilibrium", based on the assumption that players have a natural attitude to cooperation, has been proven a powerful tool in predicting human behaviour in social dilemmas. In this paper, we…
The core is a dominant solution concept in economics and cooperative game theory; it is predominantly used for profit, equivalently cost or utility, sharing. This paper demonstrates the versatility of this notion by proposing a completely…
We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We…
The problem of scheduling with testing in the framework of explorable uncertainty models environments where some preliminary action can influence the duration of a task. In the model, each job has an unknown processing time that can be…
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the…
Westudy how a planner can design dynamic interventions to overcome status-quo inertia in living temporal games, where strategic agents control their state (active, sleep, partially dead) on a temporal network. Building on the…
This paper introduces an equilibrium framework based on sequential sampling in which players face strategic uncertainty over their opponents' behavior and acquire informative signals to resolve it. Sequential sampling equilibrium delivers a…
In the framework of finite games in extensive form with perfect information and strict preferences, this paper introduces a new equilibrium concept: the Perfect Prediction Equilibrium (PPE). In the Nash paradigm, rational players consider…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. A non-Markovian environment with unbounded parameters is considered, which is more realistic in practical financial…
Analyzing decision problems under uncertainty commonly relies on idealizing assumptions about the describability of the world, with the most prominent examples being the closed world and the small world assumption. Most assumptions are…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…