Related papers: The Risk-Sharing problem under limited liability c…
This paper is devoted to study the effects arising from imposing a value-at-risk (VaR) constraint in mean-variance portfolio selection problem for an investor who receives a stochastic cash flow which he/she must then invest in a…
We study the problem in which a central planner sequentially allocates a single resource to multiple strategic agents using their utility reports at each round, but without using any monetary transfers. We consider general agent utility…
Return-risk models are the two pillars of modern portfolio theory, which are widely used to make decisions in choosing the loan portfolio of a bank. Banks and other financial institutions are subjected to limited liability protection.…
We develop a continuous-time principal-agent model of gig work, where contractual flexibility allows the employer to adjust fixed pay and output-based incentives dynamically. The worker's participation depends on a backward-looking…
We investigate the impact of a regulation policy imposed on an agent exploiting a possibly renewable natural resource. We adopt a principal-agent model in which the Principal looks for a contract, i.e. taxes/compensations, leading the Agent…
We study hidden-action principal-agent problems with multiple agents. Unlike previous work, we consider a general setting in which each agent has an arbitrary number of actions, and the joint action induces outcomes according to an…
A principal contracts with an agent who sequentially searches over projects to generate a prize. The principal initially knows only one of the agent's available projects and evaluates a contract by its worst-case performance. We…
We study the combinatorial contracting problem of D\"utting et al. [FOCS '21], in which a principal seeks to incentivize an agent to take a set of costly actions. In their model, there is a binary outcome (the agent can succeed or fail),…
The paper studies a distributed constrained optimization problem, where multiple agents connected in a network collectively minimize the sum of individual objective functions subject to a global constraint being an intersection of the local…
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…
We study optimal contract design for large populations of heterogeneous agents whose actions generate network spillovers represented by an interaction function. In a linear-quadratic framework, we solve the finite-agent problem and its…
Many real-life contractual relations differ completely from the clean, static model at the heart of principal-agent theory. Typically, they involve repeated strategic interactions of the principal and agent, taking place under uncertainty…
We propose a hedging approach for general contingent claims when liquidity is a concern and trading is subject to transaction cost. Multiple assets with different liquidity levels are available for hedging. Our risk criterion targets a…
The emergent behavior of a distributed system is conditioned by the information available to the local decision-makers. Therefore, one may expect that providing decision-makers with more information will improve system performance; in this…
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…
Multi-agent coverage control is used as a mechanism to influence the behavior of a group of robots by introducing time-varying domain. The coverage optimization problem is modified to adopt time-varying domains, and the proposed control law…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
In this paper, we take up the analysis of a principal/agent model with moral hazard introduced in [17], with optimal contracting between competitive investors and an impatient bank monitoring a pool of long-term loans subject to Markovian…
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in return of the risky asset price dynamic equation cannot be…
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and…