Related papers: Knight--Walras Equilibria
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
Two special situations where the standard uncertainty product inequality appears to be useless are modified. One such case is noted to also trivialize the recently-introduced alternatives [Phys. Rev. Lett. 113, 260401 (2014); Sci. Rep. 6,…
Departing from the dominant approach focused on individual and meso-level determinants, this paper develops a macroeconomic formalization of job insecurity within a New Keynesian framework in which the standard IS-NKPC-Taylor rule block is…
This study proposes a new efficiency requirement, a minimal almost weak Pareto principle, which says that x is socially better than y whenever the only one individual never prefers y to x, and all the others prefers x to y. Then, I show…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
According to the proportional allocation mechanism from the network optimization literature, users compete for a divisible resource -- such as bandwidth -- by submitting bids. The mechanism allocates to each user a fraction of the resource…
In 2007, Carlet and Ding introduced two parameters, denoted by $Nb_F$ and $NB_F$, quantifying respectively the balancedness of general functions $F$ between finite Abelian groups and the (global) balancedness of their derivatives $D_a…
This paper investigates the emergence of wealth inequality through a minimalist kinetic exchange model that incorporates two fundamental economic features: fixed-amount transactions and hard budget constraints. In contrast to the maximum…
In recent times, neural networks have become a powerful tool for the analysis of complex and abstract data models. However, their introduction intrinsically increases our uncertainty about which features of the analysis are model-related…
We propose a new risk-constrained reformulation of the standard Linear Quadratic Regulator (LQR) problem. Our framework is motivated by the fact that the classical (risk-neutral) LQR controller, although optimal in expectation, might be…
Under certain assumptions in terms of information and models, equilibria correspond to possible stable outcomes in conflicting or cooperative scenarios where rational entities interact. For wireless engineers, it is of paramount importance…
In cases of uncertainty, a multi-class classifier preferably returns a set of candidate classes instead of predicting a single class label with little guarantee. More precisely, the classifier should strive for an optimal balance between…
This paper presents an exact penalization theory of the generalized Nash equilibrium problem (GNEP) that has its origin from the renowned Arrow-Debreu general economic equilibrium model. While the latter model is the foundation of much of…
It is well known that a non-cooperative game may have multiple equilibria. In this paper we consider the efficiency of games, measured by the ratio between the aggregate payoff over all Nash equilibria and that over all admissible controls.…
The Landau-Pollak uncertainty relation treats a pair of rank one projection valued measures and imposes a restriction on their probability distributions. It gives a nontrivial bound for summation of their maximum values. We give a…
In this work we consider one-dimensional generalized affine processes under the paradigm of Knightian uncertainty (so-called non-linear generalized affine models). This extends and generalizes previous results in Fadina et al. (2019) and…
Machine learning in asset pricing typically predicts expected returns as point estimates, ignoring uncertainty. We develop new methods to construct forecast confidence intervals for expected returns obtained from neural networks. We show…
This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here,…
Predictions of uncertainty-aware models are diverse, ranging from single point estimates (often averaged over prediction samples) to predictive distributions, to set-valued or credal-set representations. We propose a novel unified…
We propose a simple dynamical model of the formation of production networks among monopolistically competitive firms. The model subsumes the standard general equilibrium approach \`a la Arrow-Debreu but displays a wide set of potential…