Related papers: Risk sharing under heterogeneous beliefs without c…
In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and maximization problems under either a blanket stability…
We analyze a class of stochastic differential games of singular control, motivated by the study of a dynamic model of interbank lending with benchmark rates. We describe Pareto optima for this game and show how they may be achieved through…
We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to socialplanning models, we show by example that risked equilibria are not unique, even when agents'…
We present distributed algorithms that can be used by multiple agents to align their estimates with a particular value over a network with time-varying connectivity. Our framework is general in that this value can represent a consensus…
We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and characterise the continuation utility as a solution to a…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption…
In distributionally robust optimization the probability distribution of the uncertain problem parameters is itself uncertain, and a fictitious adversary, e.g., nature, chooses the worst distribution from within a known ambiguity set. A…
Algorithms for hyperparameter optimization abound, all of which work well under different and often unverifiable assumptions. Motivated by the general challenge of sequentially choosing which algorithm to use, we study the more specific…
This paper deals with solving distributed optimization problems with equality constraints by a class of uncertain nonlinear heterogeneous dynamic multi-agent systems. It is assumed that each agent with an uncertain dynamic model has limited…
We study the fair division problem of allocating $m$ indivisible goods to $n$ agents with additive personalized bi-valued utilities. Specifically, each agent $i$ assigns one of two positive values $a_i > b_i > 0$ to each good, indicating…
In this work we study the individual strategies carried out by agents undergoing transactions in wealth exchange models. We analyze the role of risk propensity in the behavior of the agents and find a critical risk, such that agents with…
Multi-agent optimization problems with many objective functions have drawn much interest over the past two decades. Many works on the subject minimize the sum of objective functions, which implicitly carries a decision about the problem…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
Various multi-agent models of wealth distributions defined by microscopic laws regulating the trades, with or without a saving criterion, are reviewed. We discuss and clarify the equilibrium properties of the model with constant global…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C\'enac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous…
We study private-good allocation under general constraints. Several prominent examples are special cases, including house allocation, roommate matching, social choice, and multiple assignment. Every individually strategy-proof and Pareto…
We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any…