Related papers: On risk averse competitive equilibrium
Problem definition: In many matching markets, some agents are fully flexible, while others only accept a subset of jobs. For example, ridesharing drivers can specify on the platform the destinations they are willing to accept. Conventional…
In this paper, we extend the vertical modeling approach for the analysis of survival data with competing risks to incorporate a cured fraction in the population, that is, a proportion of the population for which none of the competing events…
We suggest a new approach to creation of general market equilibrium models involving economic agents with local and partial knowledge about the system and under different restrictions. The market equilibrium problem is then formulated as a…
This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essential goal, which is to minimize implementation costs in light…
The assumption of hazard rates being proportional in covariates is widely made in empirical research and extensive research has been done to develop tests of its validity. This paper does not contribute on this end. Instead, it gives new…
This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…
We formulate and study a general time-varying multi-agent system where players repeatedly compete under incomplete information. Our work is motivated by scenarios commonly observed in online advertising and retail marketplaces, where agents…
Auctions in which agents' payoffs are random variables have received increased attention in recent years. In particular, recent work in algorithmic mechanism design has produced mechanisms employing internal randomization, partly in…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
We study competition among contests in a general model that allows for an arbitrary and heterogeneous space of contest design, where the goal of the contest designers is to maximize the contestants' sum of efforts. Our main result shows…
We consider reinforcement learning with performance evaluated by a dynamic risk measure. We construct a projected risk-averse dynamic programming equation and study its properties. Then we propose risk-averse counterparts of the methods of…
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…
In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…
We consider the problem of allocating indivisible goods in a way that is fair, using one of the leading market mechanisms in economics: the competitive equilibrium from equal incomes. Focusing on two major classes of valuations, namely…
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
We introduce and study a model of an interacting population of agents who collaborate in groups which compete for limited resources. Groups are formed by random matching agents and their worth is determined by the sum of the efforts…
Contemporary benchmarks for agentic artificial intelligence (AI) frequently evaluate safety through isolated task-level accuracy thresholds, implicitly treating autonomous systems as single points of failure. This single-channel paradigm…
The interplay between exploration and exploitation in competitive multi-agent learning is still far from being well understood. Motivated by this, we study smooth Q-learning, a prototypical learning model that explicitly captures the…
Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…
Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely…