Related papers: On risk averse competitive equilibrium
In this paper, we consider $n$ agents who invest in a general financial market that is free of arbitrage and complete. The aim of each investor is to maximize her expected utility while ensuring, with a specified probability, that her…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
Decision-theoretic planning with risk-sensitive planning objectives is important for building autonomous agents or decision-support systems for real-world applications. However, this line of research has been largely ignored in the…
Competitive equilibrium from equal incomes (CEEI) is a classic solution to the problem of fair and efficient allocation of goods [Foley'67, Varian'74]. Every agent receives an equal budget of artificial currency with which to purchase…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
We consider a simple model of rational agents competing in a single product market described by simple linear demand curve. Contrary to accepted economic theory, the agents' production levels synchronise in the absence of conscious…
Different agents need to make a prediction. They observe identical data, but have different models: they predict using different explanatory variables. We study which agent believes they have the best predictive ability -- as measured by…
We offer a search-theoretic model of statistical discrimination, in which firms treat identical groups unequally based on their occupational choices. The model admits symmetric equilibria in which the group characteristic is ignored, but…
We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing for equilibrium prices driven by general semimartingales and…
We study competition between firms in labor markets, following a combinatorial model suggested by Kelso and Crawford [1982]. In this model, each firm is trying to recruit workers by offering a higher salary than its competitors, and its…
We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to…
Problem solving (e.g., drug design, traffic engineering, software development) by task forces represents a substantial portion of the economy of developed countries. Here we use an agent-based model of cooperative problem solving systems to…
Machine learning has grown in popularity to help assign resources and make decisions about users, which can result in discrimination. This includes hiring markets, where employers have increasingly been interested in using automated tools…
We study a competitive electricity market equilibrium with two trading stages, day-ahead and real-time. The welfare of each market agent is exposed to uncertainty (here from renewable energy production), while agent information on the…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
The methodological advancements made in the field of joint models are numerous. None the less, the case of competing risks joint models have largely been neglected, especially from a practitioner's point of view. In the relevant works on…
Two-sided marketplaces embody heterogeneity in incentives: producers seek exposure while consumers seek relevance, and balancing these competing objectives through constrained optimization is now a standard practice. Yet real platforms face…
In this paper, we study which data can be induced by a correlated equilibrium given a known finite simultaneous move game. We assume that an analyst has access to the frequency of each agent's actions but does not have access to the…
We address imbalanced classification, the problem in which a label may have low marginal probability relative to other labels, by weighting losses according to the correct class. First, we examine the convergence rates of the expected…
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…