Related papers: Modeling the US-China trade conflict: a utility th…
In this paper we study optimal trading strategies in a financial market in which stock returns depend on a hidden Gaussian mean reverting drift process. Investors obtain information on that drift by observing stock returns. Moreover, expert…
Influence maximization is the problem of finding a set of influential users in a social network such that the expected spread of influence under a certain propagation model is maximized. Much of the previous work has neglected the important…
In this paper, we propose to model the energy consumption of smart grid households with energy storage systems as an intertemporal trading economy. Intertemporal trade refers to transaction of goods across time when an agent, at any time,…
Noncooperative games with uncertain payoffs have been classically studied under the expected-utility theory framework, which relies on the strong assumption that agents behave rationally. However, simple experiments on human decision makers…
We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the…
The sharing of scarce resources among multiple rational agents is one of the classical problems in economics. In exchange economies, which are used to model such situations, agents begin with an initial endowment of resources and exchange…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, we show that all the results can be interpreted using a universal law, illustrating the results in trading…
Despite the growing numbers of forcibly displaced persons worldwide, many people living under conflict choose not to flee. Individuals face two lotteries - staying or leaving - characterized by two distributions of potential outcomes. This…
This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns…
We study the stochastic versions of a broad class of combinatorial problems where the weights of the elements in the input dataset are uncertain. The class of problems that we study includes shortest paths, minimum weight spanning trees,…
As a vital strategic resource, oil has an essential influence on the world economy, diplomacy and military development. Using oil trade data to dynamically monitor and warn about international trade risks is an urgent need. Based on the UN…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…
We propose a new directed graphical representation of utility functions, called UCP-networks, that combines aspects of two existing graphical models: generalized additive models and CP-networks. The network decomposes a utility function…
Goods can exhibit positive externalities impacting decisions of customers in socials networks. Suppliers can integrate these externalities in their pricing strategies to increase their revenue. Besides optimizing the prize, suppliers also…
This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…
Game theory has emerged as a fruitful paradigm for the design of networked multiagent systems. A fundamental component of this approach is the design of agents' utility functions so that their self-interested maximization results in a…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
The recent banking crisis has again emphasized the importance of understanding and mitigating systemic risk in financial networks. In this paper, we study a market-driven approach to rescue a bank in distress based on the idea of claims…
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…