Related papers: Systemic Optimal Risk Transfer Equilibrium
In stochastic optimal control (SOC), uncertainty may arise from incomplete knowledge of the true probability distribution of the underlying environment, which is known as Knightian or epistemic uncertainty. Distributionally robust optimal…
Optimal behavior in (competitive) situation is traditionally determined with the help of utility functions that measure the payoff of different actions. Given an ordering on the space of revenues (payoffs), the classical axiomatic approach…
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…
We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preferences. The planner's objective is a two-stage utility functional…
We introduce a new paradigm for game theory -- Bayesian satisfaction. This novel approach is a synthesis of the idea of Bayesian rationality introduced by Aumann, and satisfaction games. The concept of Bayesian rationality for which, in…
In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein--Zin stochastic differential utility (EZ-SDU) who invests in a constant-parameter Black-Scholes-Merton market over the…
We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival…
This paper focuses on managing the cost of deliberation before action. In many problems, the overall quality of the solution reflects costs incurred and resources consumed in deliberation as well as the cost and benefit of execution, when…
In this paper, we investigate a portfolio investment problem under volatility uncertainty and short-sale constraints market via sublinear expectation which is used to model volatility uncertainty. We assume the stocks admit volatility…
This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is…
We consider a piecewise deterministic Markov decision process, where the expected exponential utility of total (nonnegative) cost is to be minimized. The cost rate, transition rate and post-jump distributions are under control. The state…
SMOTE is one of the oversampling techniques for balancing the datasets and it is considered as a pre-processing step in learning algorithms. In this paper, four new enhanced SMOTE are proposed that include an improved version of KNN in…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
This paper provides a systematic study of the robust Stackelberg equilibrium (RSE), which naturally generalizes the widely adopted solution concept of the strong Stackelberg equilibrium (SSE). The RSE accounts for any possible…
This paper addresses the optimization problem to maximize the total costs that can be shared among a group of agents, while maintaining stability in the sense of the core constraints of a cooperative transferable utility game, or TU game.…
This paper describes a novel approach to planning which takes advantage of decision theory to greatly improve robustness in an uncertain environment. We present an algorithm which computes conditional plans of maximum expected utility. This…
We show that, in a resource allocation problem, the ex ante aggregate utility of players with cumulative-prospect-theoretic preferences can be increased over deterministic allocations by implementing lotteries. We formulate an optimization…