Related papers: On risk averse competitive equilibrium

For time inconsistent optimal control problems, a quite popular approach is the equilibrium approach, taken by the sophisticated agents. In this short note we construct a deterministic continuous time example where the unique equilibrium is…

We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall…

This paper develops a theory of competitive equilibrium with indivisible goods based entirely on economic conditions on demand. The key idea is to analyze complementarity and substitutability between bundles of goods, rather than merely…

In this note, we prove the existence of an equilibrium concept, dubbed conditional strategy equilibrium, for non-cooperative games in which a strategy of a player is a function from the other players' actions to her own actions. We study…

We develop a new classification framework based on the theory of coherent risk measures and systemic risk. The proposed approach is suitable for multi-class problems when the data is noisy, scarce (relative to the dimension of the problem),…

We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…

We study two-sided many-to-one matching markets with transferable utilities, e.g., labor and rental housing markets, in which money can exchange hands between agents, subject to distributional constraints on the set of feasible allocations.…

The goal of an auction is to determine commodity prices such that all participants are perfectly happy. Such a solution is called a competitive equilibrium and does not exist in general. For this reason we are interested in solutions which…

A simple cellular automata model for a two-group war over the same territory is presented. It is shown that a qualitative advantage is not enough for a minority to win. A spatial organization as well a definite degree of aggressiveness are…

I study symmetric competitions in which each player chooses an arbitrary distribution over a one-dimensional performance index, subject to a convex cost. I establish existence of a symmetric equilibrium, document various properties it must…

In this paper, we consider dynamic multi-agent systems (MAS) for decentralized resource allocation. The MAS operates at a competitive equilibrium to ensure supply and demand are balanced. First, we investigate the MAS over a finite horizon.…

We study a model of competition among nomadic agents for time-varying and location-specific resources, arising in crowd-sourced transportation services, online communities, and traditional location-based economic activity. This model…

Competitive equilibrium (CE) is a fundamental concept in market economics. Its efficiency and fairness properties make it particularly appealing as a rule for fair allocation of resources among agents with possibly different entitlements.…

I study a game of strategic exploration with private payoffs and public actions in a Bayesian bandit setting. In particular, I look at cascade equilibria, in which agents switch over time from the risky action to the riskless action only…

We study a spatially homogeneous model of a market where several agents or companies compete for a wealth resource. In analogy with ecological systems the simplest case of such models shows a kind of "competitive exclusion" principle.…

This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…

Modern information access ecosystems consist of mixtures of systems, such as retrieval systems and large language models, and increasingly rely on marketplaces to mediate access to models, tools, and data, making competition between systems…

We study the problem of finding robust equilibria in multiplayer concurrent games with mean payoff objectives. A $(k,t)$-robust equilibrium is a strategy profile such that no coalition of size $k$ can improve the payoff of one its member by…

We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance,…

We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…