Related papers: Certainty Equivalent and Utility Indifference Pric…
We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…
Many fairness criteria constrain the policy or choice of predictors, which can have unwanted consequences, in particular, when optimizing the policy under such constraints. Here, we advocate to instead focus on the utility function the…
Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…
We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…
This survey outlines a general and modular theory for proving approximation guarantees for equilibria of auctions in complex settings. This theory complements traditional economic techniques, which generally focus on exact and optimal…
We study the power of item-pricing as a tool for approximately optimizing social welfare in a combinatorial market. We consider markets with $m$ indivisible items and $n$ buyers. The goal is to set prices to the items so that, when agents…
Preference Inference involves inferring additional user preferences from elicited or observed preferences, based on assumptions regarding the form of the user's preference relation. In this paper we consider a situation in which…
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, the indifference price is formulated as a…
We provide a sharp identification region for discrete choice models where consumers' preferences are not necessarily complete even if only aggregate choice data is available. Behavior is modeled using an upper and a lower utility for each…
We find the optimal indemnity to maximize the expected utility of terminal wealth of a buyer of insurance whose preferences are modeled by an exponential utility. The insurance premium is computed by a convex functional. We obtain a…
In the standard single-dimensional model of position auctions, bidders agree on the relative values of the positions and each of them submits a single bid that is interpreted in terms of these values. Motivated by current practice in…
In this paper, we solve the multiple product price optimization problem under interval uncertainties of the price sensitivity parameters in the demand function. The objective of the price optimization problem is to maximize the overall…
We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers utility maximisation as a special case. A…
In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, e.g. a fire sale in systemic risk, and can be viewed as a…
We consider utility maximization problem for semi-martingale models depending on a random factor $\xi$. We reduce initial maximization problem to the conditional one, given $\xi=u$, which we solve using dual approach. For HARA utilities we…
We consider the space of convex functions defined in the Euclidean $n$-dimensional space, which are lower semi-continuous and tend to infinity at infinity. We study real-valued valuations defined on this space of functions, which are…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our valuations are based on the indifference pricing…
Richard Cox [1] set the axiomatic foundations of probable inference and the algebra of propositions. He showed that consistency within these axioms requires certain rules for updating belief. In this paper we use the analogy between…
Motivated by recent progress on pricing in the AI literature, we study marketplaces that contain multiple vendors offering identical or similar products and unit-demand buyers with different valuations on these vendors. The objective of…