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Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…
We investigate the extent to which groups with elevated mortality rates ex ante might opt out of guaranteed national pensions in favour of demographically aligned plans, which we label equitable longevity risk sharing (ELRiS) pools, even if…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
The age pension aims to assist eligible elderly Australians meet specific age and residency criteria in maintaining basic living standards. In designing efficient pension systems, government policymakers seek to satisfy the expectations of…
The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with \textit{vintage capital}, namely, systems where all key variables (capitals, investments, prices) are…
This article expands Milton Friedman's spending matrix to analyse 'spending efficiency' and 'preference compatibility' across different economic systems against five key outcome criteria. By generalising Friedman's typology, it compares…
The optimal transmission strategy to minimize the weighted combination of age of information (AoI) and total energy consumption is studied in this paper. It is assumed that the status update information is obtained and transmitted at fixed…
Within the context of renewable energy communities, this paper focuses on optimal operation of producers equipped with energy storage systems in the presence of demand response. A novel strategy for optimal scheduling of the storage systems…
Sustainable finance, which integrates environmental, social and governance (ESG) criteria on financial decisions rests on the fact that money should be used for good purposes. Thus, the financial sector is also expected to play a more…
The personal income distribution (PID) above the Pareto threshold is studied and modeled. A microeconomic model is proposed to simulate the PID and its evolution below and above the Pareto income threshold. The model balances processes of…
We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…
In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Inflation risk is introduced in this paper and the financial…
Designing fair algorithmic decision systems requires balancing model performance with fairness toward affected individuals: More fairness might require sacrificing some performance and vice versa, yet the space of possible trade-offs is…
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, the benefits follow the geometric Brownian motion while the…
Allocating multiple scarce items across a set of individuals is an important practical problem. In the case of divisible goods and additive preferences a convex program can be used to find the solution that maximizes Nash welfare (MNW). The…
The performance of systems where multiple users communicate over wireless fading links benefits from channel-adaptive allocation of the available resources. Different from most existing approaches that allocate resources based on perfect…
Nerve cells encounter unavoidable evolutionary trade-offs between multiple tasks. They must consume as little energy as possible (be energy-efficient or economical) but at the same time fulfil their functions (be functionally effective).…
Decision-making individuals are typically either an imitator, who mimics the action of the most successful individual(s), a conformist (or coordinating individual), who chooses an action if enough others have done so, or a nonconformist (or…
We study the problem of aggregating distributions, such as budget proposals, into a collective distribution. An ideal aggregation mechanism would be Pareto efficient, strategyproof, and fair. Most previous work assumes that agents evaluate…
We consider portfolio optimization under a preference model in a single-period, complete market. This preference model includes Yaari's dual theory of choice and quantile maximization as special cases. We characterize when the optimal…