Related papers: Bounded arbitrage and nearly rational behavior
To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…
Although many investigators affirm a desire to build reasoning systems that behave consistently with the axiomatic basis defined by probability theory and utility theory, limited resources for engineering and computation can make a complete…
In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative…
It is a long-standing objective to ease the computation burden incurred by the decision making process. Identification of this mechanism's sensitivity to simplification has tremendous ramifications. Yet, algorithms for decision making under…
We analyze a simple randomized subgradient method for approximating solutions to stochastic systems of convex functional constraints, the only input to the algorithm being the size of minibatches. By introducing a new notion of what is…
In recent years many important societal decisions are made by machine-learning algorithms, and many such important decisions have strict capacity limits, allowing resources to be allocated only to the highest utility individuals. For…
This paper gives a constructive treatment of McKenzie's theorem on the existence of general equilibria. While the full theorem does not admit a constructive proof, and hence does not admit a computational realisation, we show that if we…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…
We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal…
This paper uncovers tight bounds on the number of preferences permissible in identified random utility models. We show that as the number of alternatives in a discrete choice model becomes large, the fraction of preferences admissible in an…
Optimizing strategic decisions (a.k.a. computing equilibrium) is key to the success of many non-cooperative multi-agent applications. However, in many real-world situations, we may face the exact opposite of this game-theoretic problem --…
In this paper we study the almost sure conditional central limit theorem in its functional form for a class of random variables satisfying a projective criterion. Applications to strongly mixing processes and non irreducible Markov chains…
This paper investigates arbitrage properties of financial markets under distributional uncertainty using Wasserstein distance as the ambiguity measure. The weak and strong forms of the classical arbitrage conditions are considered. A…
We derive deterministic criteria for the existence and non-existence of equivalent (local) martingale measures for financial markets driven by multi-dimensional time-inhomogeneous diffusions. Our conditions can be used to construct…
Persuasion studies how an informed principal may influence the behavior of agents by the strategic provision of payoff-relevant information. We focus on the fundamental multi-receiver model by Arieli and Babichenko (2019), in which there…
Recommendations based on behavioral data may be faced with ambiguous statistical evidence. We consider the case of association rules, relevant e.g.~for query and product recommendations. For example: Suppose that a customer belongs to…
In this work we are concerned with the design of efficient mechanisms while eliciting limited information from the agents. First, we study the performance of sampling approximations in facility location games. Our key result is to show that…
In a Markovian framework, we consider the problem of finding the minimal initial value of a controlled process allowing to reach a stochastic target with a given level of expected loss. This question arises typically in approximate hedging…
This note develops an arbitrage theory for a discrete-time market model without the assumption of the existence of a num\'eraire asset. Fundamental theorems of asset pricing are stated and proven in this context. The distinction between the…