Related papers: Systemic Optimal Risk Transfer Equilibrium
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
Safe reinforcement learning (safe RL) aims to respect safety requirements while optimizing long-term performance. In many practical applications, however, the problem involves an infinite number of constraints, known as semi-infinite safe…
We formulate and study the algorithmic mechanism design problem for a general class of resource allocation settings, where the center redistributes the private resources brought by individuals. Money transfer is forbidden. Distinct from the…
The sharing of scarce resources among multiple rational agents is one of the classical problems in economics. In exchange economies, which are used to model such situations, agents begin with an initial endowment of resources and exchange…
We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion. Optimal strategies in the adapted class under various risk criteria, namely value-at-risk, expected shortfall and a new…
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…
The Koopman operator enables simplified representations for nonlinear systems in data-driven optimal control, but the accompanying uncertainties inevitably induce deviations in the optimal controller and associated value function. This…
While traditional distributionally robust optimization (DRO) aims to minimize the maximal risk over a set of distributions, Agarwal and Zhang (2022) recently proposed a variant that replaces risk with excess risk. Compared to DRO, the new…
Motivated by the analysis of a general optimal portfolio selection problem, which encompasses as special cases an optimal consumption and an optimal debt-arrangement problem, we are concerned with the questions of how a personality trait…
Robust optimisation is a well-established framework for optimising functions in the presence of uncertainty. The inherent goal of this problem is to identify a collection of inputs whose outputs are both desirable for the decision maker,…
In this paper, we study a virtual wireless operator's spectrum investment problem under spectrum supply uncertainty. To obtain enough spectrum resources to meet its customer demands, the virtual operator can either sense for the temporarily…
We introduce the concept of budget games. Players choose a set of tasks and each task has a certain demand on every resource in the game. Each resource has a budget. If the budget is not enough to satisfy the sum of all demands, it has to…
Shared autonomy systems require principled methods for inferring user intent and determining appropriate assistance levels. This is a central challenge in human-robot interaction, where systems must be successful while being mindful of user…
Social dilemmas present a significant challenge in multi-agent cooperation because individuals are incentivised to behave in ways that undermine socially optimal outcomes. Consequently, self-interested agents often avoid collective…
This paper considers the security investment problem over a network in which the resource owners aim to allocate their constrained security resources to heterogeneous targets strategically. Investing in each target makes it less vulnerable,…
We propose a data-driven portfolio selection model that integrates side information, conditional estimation and robustness using the framework of distributionally robust optimization. Conditioning on the observed side information, the…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
This paper presents consideration of the Semi-Relaxed Sinkhorn (SR-Sinkhorn) algorithm for the semi-relaxed optimal transport (SROT) problem, which relaxes one marginal constraint of the standard OT problem. For evaluation of how the…
This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the…
This paper considers non-cooperative and fully-distributed power-allocation for secondary-users (SUs) in spectrum-sharing environments when normalized-interference to each secondary-user is uncertain. We model each uncertain parameter by…