Related papers: Multivariate Systemic Optimal Risk Transfer Equili…
We consider a competitive market with risk-averse participants. We assume that agents' risks are measured by coherent risk measures introduced by Artzner et al. (1999). Fundamental theorems of welfare economics have long established the…
Recent developments in set optimization are surveyed and extended including various set relations as well as fundamental constructions of a convex analysis for set- and vector-valued functions, and duality for set optimization problems.…
The probabilistic serial (PS) rule is one of the most prominent randomized rules for the assignment problem. It is well-known for its superior fairness and welfare properties. However, PS is not immune to manipulative behaviour by the…
Sharpe et al. proposed the idea of having an expected utility maximizer choose a probability distribution for future wealth as an input to her investment problem instead of a utility function. They developed a computer program, called The…
Traditional approaches to financial asset allocation start with returns forecasting followed by an optimization stage that decides the optimal asset weights. Any errors made during the forecasting step reduce the accuracy of the asset…
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…
In this paper, the interactions and energy exchange decisions of a number of geographically distributed storage units are studied under decision-making involving end-users. In particular, a noncooperative game is formulated between…
The game-theoretic risk management framework put forth in the precursor work "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) is herein extended by algorithmic details on how to…
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the…
In game theory, the concept of Nash equilibrium reflects the collective stability of some individual strategies chosen by selfish agents. The concept pertains to different classes of games, e.g. the sequential games, where the agents play…
This paper revisits and extends the 2013 development by Rockafellar and Uryasev of the Risk Quadrangle (RQ) as a unified scheme for integrating risk management, optimization, and statistical estimation. The RQ features four…
The evaluation of general-purpose artificial agents, particularly those based on LLMs, presents a significant challenge due to the non-transitive nature of their interactions. When agent A defeats B, B defeats C, and C defeats A,…
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
In this article we consider a special case of an optimal consumption/optimal portfolio problem first studied by Constantinides and Magill and by Davis and Norman, in which an agent with constant relative risk aversion seeks to maximise…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…
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…
In cooperative games with transferable utilities, the Shapley value is an extreme case of marginalism while the Equal Division rule is an extreme case of egalitarianism. The Shapley value does not assign anything to the non-productive…
The spectral risk has wide applications in machine learning, especially in real-world decision-making, where people are not only concerned with models' average performance. By assigning different weights to the losses of different sample…
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…