Related papers: Modeling the US-China trade conflict: a utility th…
Several structural results for the set of competitive equilibria in trading networks with frictions are established: The lattice theorem, the rural hospitals theorem, the existence of side-optimal equilibria, and a…
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…
Ergodicity economics is a new branch of economic theory that notes the conceptual difference between time averages and expectation values, which coincide only for ergodic observables. It postulates that individual agents maximise the time…
We present a theory of expected utility with state-dependent linear utility functions for monetary returns, that incorporates the possibility of loss-aversion. Our results relate to first order stochastic dominance, mean-preserving spread,…
This paper studies a special kind of equilibrium termed as "balanced equilibrium" which arises in the power allocation game defined in \cite{allocation}. In equilibrium, each country in antagonism has to use all of its own power to…
Automated negotiation can be an efficient method for resolving conflict and redistributing resources in a coalition setting. Automated negotiation has already seen increased usage in fields such as e-commerce and power distribution in smart…
We study the problem of pricing under a Multinomial Logit model where we incorporate network effects over the consumer's decisions. We analyse both cases, when sellers compete or collaborate. In particular, we pay special attention to the…
We study the Proportional Response dynamic in exchange economies, where each player starts with some amount of money and a good. Every day, the players bring one unit of their good and submit bids on goods they like, each good gets…
We propose a continuous-time nonlinear model of opinion dynamics with utility-maximizing agents connected via a social influence network. A distinguishing feature of the proposed model is the inclusion of an opinion-dependent…
We study an economic model where agents trade a variety of products by using one of three competing rules: "need", "greed" and "noise". We find that the optimal strategy for any agent depends on both product composition in the overall…
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current…
This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities, which we assume can be traded only at time zero, with a traditional dynamic trading strategy in stocks.…
In markets with budget-constrained buyers, competitive equilibria need not be efficient in the utilitarian sense, or maximise the seller's revenue. We consider a setting with multiple divisible goods. Competitive equilibrium outcomes, and…
The most commonly accepted model for investors' preferences is expected utility theory. More recently, other theories have emerged and pose new challenges to mathematics. The present paper treats preferences of cumulative prospect theory…
This study introduces a novel cooperative game theory model designed to improve the United Nations' current funding mechanisms, which predominantly rely on voluntary contributions. By shifting from a Nash equilibrium framework, where member…
Within the framework of Game Theory, contests study decision-making in those situations or conflicts when rewards depend on the relative rank between contenders rather than their absolute performance. By relying on the formalism of Tullock…
The famous Saint Petersburg Paradox (St. Petersburg Paradox) shows that the theory of expected value does not capture the real-world economics of decision-making problems. Over the years, many economic theories were developed to resolve the…
This article studies the problem of utility maximization in an incomplete market under a class of nonlinear expectations and general constraints on trading strategies. Using a $g$-martingale method, we provide an explicit solution to our…
Real-world attacks can be interpreted as the result of competitive interactions between networks, ranging from predator-prey networks to networks of countries under economic sanctions. Although the purpose of an attack is to damage a target…
We consider a game-theoretic model where individuals compete over a shared failure-prone system or resource. We investigate the effectiveness of a taxation mechanism in controlling the utilization of the resource at the Nash equilibrium…