Related papers: Systemic Optimal Risk Transfer Equilibrium
In many real-world scenarios, the utility of a user is derived from the single execution of a policy. In this case, to apply multi-objective reinforcement learning, the expected utility of the returns must be optimised. Various scenarios…
The idea of iterative process optimization based on collected output measurements, or "real-time optimization" (RTO), has gained much prominence in recent decades, with many RTO algorithms being proposed, researched, and developed. While…
The famous Saint Petersburg Paradox (St. Petersburg Paradox) shows that the theory of expected value does not capture the real-world economics of decision-making problems. Over the years, many economic theories were developed to resolve the…
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the implicit assumption that transfers between agents are…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
Although learning-based methods have great potential for robotics, one concern is that a robot that updates its parameters might cause large amounts of damage before it learns the optimal policy. We formalize the idea of safe learning in a…
Dealing with broadcast scenarios has become a relevant topic in the scientific community. Because of interference, resource management presents a challenge, specially when spatial diversity is introduced. Many researches presented…
This paper extends the optimal covariance steering problem for linear stochastic systems subject to chance constraints to account for optimal risk allocation. Previous works have assumed a uniform risk allocation to cast the optimal control…
The Self-Optimal-Transport (SOT) feature transform is designed to upgrade the set of features of a data instance to facilitate downstream matching or grouping related tasks. The transformed set encodes a rich representation of high order…
Risk measures are commonly used to capture the risk preferences of decision-makers (DMs). The decisions of DMs can be nudged or manipulated when their risk preferences are influenced by factors such as the availability of information about…
We consider dynamic stochastic economies with heterogeneous agents and introduce the concept of uniformly self-justified equilibria (USJE) -- temporary equilibria for which forecasts are best uniform approximations to a selection of the…
This paper proposes a bilevel transit network design problem considering supply side uncertainty. The upper level problem determines frequency settings to simultaneously maximize the efficiency and equity measures, which are defined by the…
Active portfolio management tries to incorporate any source of meaningful information into the asset selection process. In this contribution we consider qualitative views specified as total orders of the expected asset returns and discuss…
Individualized treatment rules (ITRs) have gained significant attention due to their wide-ranging applications in fields such as precision medicine, ridesharing, and advertising recommendations. However, when ITRs are influenced by…
Joint optimization of scheduling and estimation policies is considered for a system with two sensors and two non-collocated estimators. Each sensor produces an independent and identically distributed sequence of random variables, and each…
Network topology has significant impacts on operational performance of power systems. While extensive research efforts have been devoted to optimization of network topology for improving various system performances, the problem of how to…
Ensuring fairness in matching algorithms is a key challenge in allocating scarce resources and positions. Focusing on Optimal Transport (OT), we introduce a novel notion of group fairness requiring that the probability of matching two…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…