Related papers: Equilibrium selection: a geometric approach
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
This paper examines the relationship between resource reallocation, uniqueness of equilibrium and efficiency in economics. We explore the implications of reallocation policies for stability, conflict, and decision-making by analysing the…
We study the equilibria of uniform price auctions where many asymmetric bidders have flat demands up to their respective quantity constraints. We present an iterative procedure that systematically finds an equilibrium outcome as well as an…
We study optimal monopoly pricing over consumer networks governed by general nonlinear utilities. In our framework, a consumer's utility is jointly determined by an individualized price and the consumption choices of their peers, propagated…
We consider the problem of allocating indivisible goods in a way that is fair, using one of the leading market mechanisms in economics: the competitive equilibrium from equal incomes. Focusing on two major classes of valuations, namely…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
The goal of an auction is to determine commodity prices such that all participants are perfectly happy. Such a solution is called a competitive equilibrium and does not exist in general. For this reason we are interested in solutions which…
We study equilibrium in hedonic markets, when consumers and suppliers have reservation utilities, and the utility functions are separable with respect to price. There is one indivisible good, which comes in different qualities; each…
Identical products being sold at different prices in different locations is a common phenomenon. Price differences might occur due to various reasons such as shipping costs, trade restrictions and price discrimination. To model such…
Competition is a main tenet of economics, and the reason is that a perfectly competitive equilibrium is Pareto-efficient in the absence of externalities and public goods. Whether a product is selected in a market crucially relates to its…
We show that a competitive equilibrium always exists in combinatorial auctions with anonymous graphical valuations and pricing, using discrete geometry. This is an intuitive and easy-to-construct class of valuations that can model both…
In this paper, we show that if every consumer in an economy has a quasi-linear utility function, then the normalized equilibrium price is unique, and is locally stable with respect to the t\^atonnement process. Our study can be seen as that…
This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift term and updates the subjective belief according to the…
Under the same assumptions made by Mas-Colell et al. (1995), I develop a short, simple, and complete proof of existence of equilibrium prices based on excess demand functions. The result is obtained by applying the Brouwer fixed point…
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…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
We study competitive equilibrium in the canonical Fisher market model, but with indivisible goods. In this model, every agent has a budget of artificial currency with which to purchase bundles of goods. Equilibrium prices match between…
Consider the following toy problem. There are $m$ rectangles and $n$ points on the plane. Each rectangle $R$ is a consumer with budget $B_R$, who is interested in purchasing the cheapest item (point) inside R, given that she has enough…
We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle.…
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a…