Related papers: Multivariate Systemic Optimal Risk Transfer Equili…
Stochastic dominance is an important concept in probability theory, econometrics and social choice theory for robustly modeling agents' preferences between random outcomes. While many works have been dedicated to the univariate case, little…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
This paper addresses the importance of incorporating various risk measures in portfolio management and proposes a dynamic hybrid portfolio optimization model that combines the spectral risk measure and the Value-at-Risk in the mean-variance…
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…
A Nash Equilibrium (NE) is a strategy profile resilient to unilateral deviations, and is predominantly used in the analysis of multiagent systems. A downside of NE is that it is not necessarily stable against deviations by coalitions. Yet,…
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…
Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…
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 the problem of multiple stochastic agents interacting in a dynamic game scenario with continuous state and action spaces. We define a new notion of stochastic Nash equilibrium for boundedly rational agents, which we…
In the traditional game-theoretic set up, where agents select actions and experience corresponding utilities, an equilibrium is a configuration where no agent can improve their utility by unilaterally switching to a different action. In…
The Stackelberg game model, where a leader commits to a strategy and the follower best responds, has found widespread application, particularly to security problems. In the security setting, the goal is for the leader to compute an optimal…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
We introduce a set-valued solution concept, M equilibrium, to capture empirical regularities from over half a century of game-theory experiments. We show M equilibrium serves as a meta theory for various models that hitherto were considered…
We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…
This paper studies the continuous-time pre-commitment KMM problem proposed by Klibanoff, Marinacci and Mukerji (2005) in incomplete financial markets, which concerns with the portfolio selection under smooth ambiguity. The decision maker…
It is frequently suggested that predictions made by game theory could be improved by considering computational restrictions when modeling agents. Under the supposition that players in a game may desire to balance maximization of payoff with…
In this paper, we deal with risk evaluation and risk-averse optimization of complex distributed systems with general risk functionals. We postulate a novel set of axioms for the functionals evaluating the total risk of the system. We derive…
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a…
We consider a variant of Cournot competition, where multiple firms allocate the same amount of resource across multiple markets. We prove that the game has a unique pure-strategy Nash equilibrium (NE), which is symmetric and is…
We consider a multi-player non-zero-sum turn-based game (abbreviated as multi-player game) on a finite directed graph. A secure equilibrium (SE) is a strategy profile in which no player has the incentive to deviate from the strategy because…