Related papers: On Shortfall Risk Minimization for Game Options

Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset's future market price. In short, an option has a particular payout that is based on the market price for an…

Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…

Infinitely repeated games can support cooperative outcomes that are not equilibria in the one-shot game. The idea is to make sure that any gains from deviating will be offset by retaliation in future rounds. However, this model of…

Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among…

This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…

We consider any network environment in which the "best shot game" is played. This is the case where the possible actions are only two for every node (0 and 1), and the best response for a node is 1 if and only if all her neighbors play 0. A…

In this paper, we study the behavior of the Hedge algorithm in the online stochastic setting. We prove that anytime Hedge with decreasing learning rate, which is one of the simplest algorithm for the problem of prediction with expert…

For an exponential utility maximizing investment strategy in a Black-Scholes Setting, fixed upper and lower constraints are introduced on the terminal wealth. This is equivalent to combining the optimal strategy with options. The resulting…

We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…

Selecting the combination of security controls that will most effectively protect a system's assets is a difficult task. If the wrong controls are selected, the system may be left vulnerable to cyber-attacks that can impact the…

A new mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock as well as new initial and boundary conditions. Conventional notions of…

When facing a heavily-favored opponent, an underdog must be willing to assume greater-than-average risk. In statistical language, one would say that an underdog must be willing to adopt a strategy whose outcome has a larger-than-average…

We determine the optimal amount to invest in a Black-Scholes financial market for an individual who consumes at a rate equal to a constant proportion of her wealth and who wishes to minimize the expected time that her wealth spends in…

We consider option hedging in a model where the underlying follows an exponential L\'evy process. We derive approximations to the variance-optimal and to some suboptimal strategies as well as to their mean squared hedging errors. The…

We consider concurrent games played on graphs. At every round of a game, each player simultaneously and independently selects a move; the moves jointly determine the transition to a successor state. Two basic objectives are the safety…

We consider a sequential decision-making problem where an agent can take one action at a time and each action has a stochastic temporal extent, i.e., a new action cannot be taken until the previous one is finished. Upon completion, the…

In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…

We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider…

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…

We study two-player concurrent stochastic games on finite graphs, with B\"uchi and co-B\"uchi objectives. The goal of the first player is to maximize the probability of satisfying the given objective. Following Martin's determinacy theorem…