Related papers: Knight--Walras Equilibria
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…
Standard rational expectations models with an occasionally binding zero lower bound constraint either admit no solutions (incoherence) or multiple solutions (incompleteness). This paper shows that deviations from full-information rational…
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…
Recently, qualitative uncertainty in abstract argumentation has received much attention. The first works on this topic introduced uncertainty about the presence of attacks, then about the presence of arguments, and finally combined both…
In this paper, a kind of neural network with time-varying delays is proposed to solve the problems of quadratic programming. The delay term of the neural network changes with time t. The number of neurons in the neural network is n + h, so…
Although production is an integral part of the Arrow-Debreu market model, most of the work in theoretical computer science has so far concentrated on markets without production, i.e., the exchange economy. This paper takes a significant…
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing…
This paper proposes a bilevel transit network design problem considering supply side uncertainty. The upper level problem determines frequency settings to simultaneously maximize the efficiency and equity measures, which are defined by the…
We study markets of indivisible items in which price-based (Walrasian) equilibria often do not exist due to the discrete non-convex setting. Instead we consider Nash equilibria of the market viewed as a game, where players bid for items,…
We consider a market setting of agents with additive valuations over heterogeneous divisible resources. Agents are assigned a budget of tokens (possibly unequal budgets) they can use to obtain resources; leftover tokens are worthless. We…
We establish necessary and sufficient conditions for a network configuration to provide utilities that are both fair and efficient in a well-defined sense. To cover as many applications as possible with a unified framework, we consider…
Correlated equilibria enable a coordinator to influence the self-interested agents by recommending actions that no player has an incentive to deviate from. However, the effectiveness of this mechanism relies on accurate knowledge of the…
Beyond its obvious macro-economic relevance, fiat money has important micro-economic implications. They matter for addressing No. 8 in Smale's "Mathematical Problems for the Next Century": extend the mathematical model of general…
Motivated by the convergence result of mirror-descent algorithms to market equilibria in linear Fisher markets, it is natural for one to consider designing dynamics (specifically, iterative algorithms) for agents to arrive at linear…
The efficacy of robust optimization spans a variety of settings with uncertainties bounded in predetermined sets. In many applications, uncertainties are affected by decisions and cannot be modeled with current frameworks. This paper takes…
This paper provides an attempt to formalize Hayek's notion of spontaneous order within the framework of the Arrow-Debreu economy. Our study shows that if a competitive economy is enough fair and free, then a spontaneous economic order shall…
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…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…
This paper provides a general characterization of subgame perfect equilibria for strategic timing problems, where two firms have the (real) option to make an irreversible investment. Profit streams are uncertain and depend on the market…
We develop inference under model uncertainty due to weak, noisy, multiple candidate restrictions and theories, and nuisance control covariates. A unified framework is given with degrees of misspecification and corresponding shadow prices,…