Related papers: Modeling the US-China trade conflict: a utility th…
This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
Many applications of RCTs involve the presence of multiple treatment administrators -- from field experiments to online advertising -- that compete for the subjects' attention. In the face of competition, estimating a causal effect becomes…
The interdependent nature of the global economy has become stronger with increases in international trade and investment. We propose a new model to reconstruct the international trade network and associated cost network by maximizing…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
In many first-price auctions, bidders face considerable strategic uncertainty: They cannot perfectly anticipate the other bidders' bidding behavior. We propose a model in which bidders do not know the entire distribution of opponent bids…
We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market. Each household earns income and engages in consumption at each time step while aiming to maximize a concave…
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…
What impact does import competition have on firms' production organizational choices? Existing literature has predominantly focused on the relationship between import competition and firms' global production networks, with less attention…
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…
Protecting against cyber-threats is vital for every organization and can be done by investing in cybersecurity controls and purchasing cyber insurance. However, these are interlinked since insurance premiums could be reduced by investing…
In the online (time-series) search problem, a player is presented with a sequence of prices which are revealed in an online manner. In the standard definition of the problem, for each revealed price, the player must decide irrevocably…
We study a two-sided market, wherein, price-sensitive heterogeneous customers and servers arrive and join their respective queues. A compatible customer-server pair can then be matched by the platform, at which point, they leave the system.…
In Part I of this two-part paper [1], we proposed a new game, called Chinese restaurant game, to analyze the social learning problem with negative network externality. The best responses of agents in the Chinese restaurant game with…
Price discrimination for maximizing expected profit is a well-studied concept in economics and there are various methods that achieve the maximum given the user type distribution and the budget constraints. In many applications,…
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…
In network formation games, agents form edges with each other to maximize their utility. Each agent's utility depends on its private beliefs and its edges in the network. Strategic agents can misrepresent their beliefs to get a better…
In the game-theoretic model war of attrition, players are subject to an explicit cost proportional to the duration of contests. We construct a model where the time cost is not explicitly given, but instead depends implicitly on the…
We studied the behavior and variation of utility between the two conflicting players in a closed Nash-equilibrium loop. Our modeling approach also captured the nexus between optimal premium strategizing and firm performance using the…
We study expected utility maximization problem with constant relative risk aversion utility function in a complete market under the reinforcement learning framework. To induce exploration, we introduce the Tsallis entropy regularizer, which…