Related papers: Cost-efficiency in Incomplete Markets
We study the problem of collaborative machine learning markets where multiple parties can achieve improved performance on their machine learning tasks by combining their training data. We discuss desired properties for these machine…
In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled…
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
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…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…
We present the first analysis of Fisher markets with buyers that have budget-additive utility functions. Budget-additive utilities are elementary concave functions with numerous applications in online adword markets and revenue optimization…
I summarize the recent work on market (in)efficiency, highlighting key elements why financial markets will never be made efficient. My approach is not by adding more empirical evidence, but giving plausible reasons as to where inefficiency…
A central problem in business concerns the optimal allocation of limited resources to a set of available tasks, where the payoff of these tasks is inherently uncertain. In credit card fraud detection, for instance, a bank can only assign a…
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price…
Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
Given an incomplete ratings data over a set of users and items, the preference completion problem aims to estimate a personalized total preference order over a subset of the items. In practical settings, a ranked list of top-$k$ items from…
This paper focuses on managing the cost of deliberation before action. In many problems, the overall quality of the solution reflects costs incurred and resources consumed in deliberation as well as the cost and benefit of execution, when…
We study the optimal usage-based pricing problem in a resource-constrained network with one profit-maximizing service provider and multiple groups of surplus-maximizing users. With the assumption that the service provider knows the utility…
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t=0 can commit his/her…
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous permanent market impacts. The asset prices are assumed to follow…
We study Fisher markets that admit equilibria wherein each good is integrally assigned to some agent. While strong existence and computational guarantees are known for equilibria of Fisher markets with additive valuations, such equilibria,…
The concept of efficiency plays a prominent role in the formal solution of decision problems that involve incomparable alternatives. This paper develops necessary and sufficient conditions for the efficient points in a sum of sets of…