Related papers: Relative wealth concerns with partial information …
The decisions that human beings make to allocate time has significant bearing on economic output and to the sustenance of social networks. The time allocation problem motivates our formal analysis of the resource allocation game, where…
Investors usually resort to financial advisors to improve their investment process until the point of complete delegation on investment decisions. Surely, financial advice is potentially a correcting factor in investment decisions but, in…
In this paper, our aim is to investigate necessary conditions for optimal investment. We model the wealth process by Backward differential stochastic equations (shortly for BSDE) with or without constraints on wealth and portfolio process.…
We propose an optimal portfolio problem in the incomplete market where the underlying assets depend on economic factors with delayed effects, such models can describe the short term forecasting and the interaction with time lag among…
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and…
In this paper we focus on noncooperative games with uncertain constraints coupling the agents' decisions. We consider a setting where bounded deviations of agents' decisions from the equilibrium are possible, and uncertain constraints are…
Federated learning offers a decentralized approach to machine learning, where multiple agents collaboratively train a model while preserving data privacy. In this paper, we investigate the decision-making and equilibrium behavior in…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
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…
A major problem in fair division is how to allocate a set of indivisible resources among agents fairly and efficiently. The goal of this work is to characterize the tradeoffs between two well-studied measures of fairness and efficiency --…
All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. Making the situation worse, they are only equipped with the imperfect information on the relevant processes. In addition to the market risk,…
This paper investigates the large sample properties of the variance, weights, and risk of high-dimensional portfolios where the inverse of the covariance matrix of excess asset returns is estimated using a technique called nodewise…
Generalized Nash equilibrium (GNE) problems are commonly used to model strategic interactions between self-interested agents who are coupled in cost and constraints. Specifically, the variational GNE, a refinement of the GNE, is often…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
We address the Nash equilibrium problem in a partial-decision information scenario, where each agent can only observe the actions of some neighbors, while its cost possibly depends on the strategies of other agents. Our main contribution is…
The Kelly or proportional allocation mechanism is a simple and efficient auction-based scheme that distributes an infinitely divisible resource proportionally to the agents bids. When agents are aware of the allocation rule, their…
We study equilibrium feedback strategies for a family of dynamic mean-variance problems with competition among a large group of agents. We assume that the time horizon is random and each agent's risk aversion depends dynamically on the…
This paper addresses the distributed Nash Equilibrium seeking problem for aggregative games, where legitimate players' decisions are affected by potential malicious players. To describe players' behavior, we introduce a novel heterogeneous…
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informative prior, we derive stochastic representations for the…
This paper considers the problem of inverse reinforcement learning in zero-sum stochastic games when expert demonstrations are known to be not optimal. Compared to previous works that decouple agents in the game by assuming optimality in…