Related papers: Multivariate Systemic Optimal Risk Transfer Equili…
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…
We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, a suitable system of quasi-variational inequalities…
Optimal transport has become part of the standard quantitative economics toolbox. It is the framework of choice to describe models of matching with transfers, but beyond that, it allows to: extend quantile regression; identify discrete…
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…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…
We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…
We study the design of experiments with multiple treatment levels, a setting common in clinical trials and online A/B/n testing. Unlike single-treatment studies, practical analyses of multi-treatment experiments typically first select a…
Sequential allocation is a simple mechanism for sharing multiple indivisible items. We study strategic behavior in sequential allocation. In particular, we consider Nash dynamics, as well as the computation and Pareto optimality of pure…
Ensuring generalization to unseen environments remains a challenge. Domain shift can lead to substantially degraded performance unless shifts are well-exercised within the available training environments. We introduce a simple robust…
We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function $g$ of the terminal wealth. The manager's own utility…
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of…
Transmission system operators employ reserves to deal with unexpected variations of demand and generation to guarantee the security of supply. The French transmission system operator RTE dynamically sizes the required margins using a…
We consider a variation on the classical finance problem of optimal portfolio design. In our setting, a large population of consumers is drawn from some distribution over risk tolerances, and each consumer must be assigned to a portfolio of…
The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach…
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 is devoted to study the optimal portfolio problem. Harry Markowitz's Ph.D. thesis prepared the ground for the mathematical theory of finance. In modern portfolio theory, we typically find asset returns that are modeled by a…
Suppose that a set of $m$ tasks are to be shared as equally as possible amongst a set of $n$ resources. A game-theoretic mechanism to find a suitable allocation is to associate each task with a ``selfish agent'', and require each agent to…
Despite many distributed resource allocation (DRA) algorithms have been reported in literature, it is still unknown how to allocate the resource optimally over multiple interacting coalitions. One major challenge in solving such a problem…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
A new game theoretical solution concept for open spectrum sharing in cognitive radio (CR) environments is presented, the Lorenz equilibrium (LE). Both Nash and Pareto solution concepts have limitations when applied to real world problems.…