Related papers: Risk sharing under heterogeneous beliefs without c…
An inconsistent knowledge base can be abstracted as a set of arguments and a defeat relation among them. There can be more than one consistent way to evaluate such an argumentation graph. Collective argument evaluation is the problem of…
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…
This work develops effective distributed strategies for the solution of constrained multi-agent stochastic optimization problems with coupled parameters across the agents. In this formulation, each agent is influenced by only a subset of…
We study a static portfolio optimization problem with two risk measures: a principle risk measure in the objective function and a secondary risk measure whose value is controlled in the constraints. This problem is of interest when it is…
For effective decision support in scenarios with conflicting objectives, sets of potentially optimal solutions can be presented to the decision maker. We explore both what policies these sets should contain and how such sets can be computed…
This paper investigates a Pareto optimal insurance problem, where the insured maximizes her rank-dependent utility preference and the insurer is risk neutral and employs the mean-variance premium principle. To eliminate potential moral…
Selecting a set of alternatives based on the preferences of agents is an important problem in committee selection and beyond. Among the various criteria put forth for the desirability of a committee, Pareto optimality is a minimal and…
This work focuses on the problem of distributed optimization in multi-agent cyberphysical systems, where a legitimate agent's iterates are influenced both by the values it receives from potentially malicious neighboring agents, and by its…
I provide a unified framework to establish the existence of a weak Pareto efficient, envy-free allocation in general settings: random allocations are probability measures on a compact metric space, and preferences of agents are represented…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
We study a model of moral hazard with heterogeneous beliefs where each of agent's actions gives rise to a pair of probability distributions over output levels, one representing the beliefs of the agent and the other those of the principal.…
Can a welfare-maximising risk-sharing rule be implemented in a large, decentralised community? We revisit the price-and-choose (P&C) mechanism of Echenique and N\'u\~nez (2025), in which players post price schedules sequentially and the…
We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and…
This paper examines the impact of introducing a Rank-Dependent Utility (RDU) agent into a von Neumann-Morgenstern (vNM) pure-exchange economy with no aggregate uncertainty. In the absence of the RDU agent, the classical theory predicts that…
This paper studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
This paper fully studies distributed optimal consensus problem in non-directed dynamical networks. We consider a group of networked agents that are supposed to rendezvous at the optimal point of a collective convex objective function. Each…
We investigate the ergodic problem of growth-rate maximization under a class of risk constraints in the context of incomplete, It\^{o}-process models of financial markets with random ergodic coefficients. Including {\em value-at-risk}…
In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by F\"ollmer, Schied (2002). The…