Related papers: Equilibrium selection: a geometric approach
We consider the computational complexity of computing Bayes-Nash equilibria in first-price auctions, where the bidders' values for the item are drawn from a general (possibly correlated) joint distribution. We show that when the values and…
We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing for equilibrium prices driven by general semimartingales and…
We consider one buyer and one seller. For a bundle $(t,q)\in [0,\infty[\times [0,1]=\mathbb{Z}$, $q$ either refers to the wining probability of an object or a share of a good, and $t$ denotes the payment that the buyer makes. We define…
In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…
We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…
In this paper the possibility of computing equilibrium in pure exchange and production economies by a homotopy method is investigated. The performance of the algorithm is tested on examples with known equilibria taken from the literature on…
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…
We model a delivery platform facilitating transactions among three sides: buyers, stores, and couriers. In addition to buyers paying store-specific purchase prices and couriers receiving store--buyer-specific delivery compensation from the…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
This paper develops a theory of competitive equilibrium with indivisible goods based entirely on economic conditions on demand. The key idea is to analyze complementarity and substitutability between bundles of goods, rather than merely…
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
The paper proposes a novel hybrid method for solving equilibrium problems and fixed point problems. By constructing specially cutting-halfspaces, in this algorithm, only an optimization program is solved at each iteration without the…
In this paper, we establish a connection between ranking theory and general equilibrium theory. First of all, we show that the ranking vector of PageRank or Invariant method is precisely the equilibrium of a special Cobb-Douglas market.…
We consider a sequential decision model over multi-tier supply chain networks and show that in particular, for series parallel networks, there is a unique equilibrium. We provide a linear time algorithm to compute the equilibrium and study…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
We study robust versions of pricing problems where customers choose products according to a generalized extreme value (GEV) choice model, and the choice parameters are not known exactly but lie in an uncertainty set. We show that, when the…
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…