Related papers: Knight--Walras Equilibria
This paper studies n-player games where players beliefs about their opponents behaviour are capacities. The concept of an equilibrium under uncertainty was introduced J.Dow and S.Werlang (J Econ. Theory 64 (1994) 205--224) for two players…
Neural networks (NNs) are currently changing the computational paradigm on how to combine data with mathematical laws in physics and engineering in a profound way, tackling challenging inverse and ill-posed problems not solvable with…
In the present work we deal with set-valued equilibrium problems for which we provide sufficient conditions for the existence of a solution. The conditions that we consider are imposed not on the whole domain, but rather on a self…
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information…
In the present paper, several types of efficiency conditions are established for vector optimization problems with cone constraints affected by uncertainty, but with no information of stochastic nature about the uncertain data. Following a…
We consider a diffusive model for optimally distributing dividends, while allowing for Knightian model ambiguity concerning the drift of the surplus process. We show that the value function is the unique solution of a non-linear…
We consider an economy where agents' consumption sets are given by the cone $\mathbf{L}^0_+$ of non-negative measurable functions and whose preferences are defined by additive utilities satisfying the Inada conditions. We extend to this…
We propose a new methodology to compute equilibria for general equilibrium problems on exchange economies with real financial markets, home-production, and retention. We demonstrate that equilibrium prices can be determined by solving a…
We study interactions with uncertainty about demand sensitivity. In our solution concept (1) firms choose seemingly-optimal strategies given the level of sophistication of their data analytics, and (2) the levels of sophistication form best…
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…
We explore a nuance to 'no arbitrage' in relation to 'information efficiency': acting immediately on an arbitrage is sometimes suboptimal; in such cases optimised trading can suppress the anticipation of predictable risk-outcomes, thereby…
Many of the technical complications associated with the general theory of relativity ultimately stem from the nonlinearity of Einstein's equation. It is shown here that an appropriate choice of dynamical variables may be used to eliminate…
We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…
Bayesian inference can quantify uncertainty in the predictions of neural networks using posterior distributions for model parameters and network output. By looking at these posterior distributions, one can separate the origin of uncertainty…
When allocating indivisible objects via lottery, planners often use ordinal mechanisms, which elicit agents' rankings of objects rather than their full preferences over lotteries. In such an ordinal informational environment, planners…
The paper considers the problem of multi-objective decision support when outcomes are uncertain. We extend the concept of Pareto-efficient decisions to take into account the uncertainty of decision outcomes across varying contexts. This…
We embed buying rights into a (repeated) Arrow-Debreu model to study the long-term effects of regulation through buying rights on arising inequality. Our motivation stems from situations that typically call for regulatory interventions,…
We present an improved combinatorial algorithm for the computation of equilibrium prices in the linear Arrow-Debreu model. For a market with $n$ agents and integral utilities bounded by $U$, the algorithm runs in $O(n^7 \log^3 (nU))$ time.…
A fundamental question about a market is under what conditions, and then how rapidly, does price signaling cause price equilibration. Qualitatively, this ought to depend on how well-connected the market is. We address this question…
Game theory relies heavily on the availability of cardinal utility functions, but in fields such as matching markets, only ordinal preferences are typically elicited. The literature focuses on mechanisms with simple dominant strategies, but…