Related papers: Risk exchange under infinite-mean Pareto models
We consider an ideal closed stock market, in which 100 traders have economic activities. The assets of the traders change through buying and selling stocks. We simulate the assets under conservation of both total currency and total number…
The main objective of this paper is to outline a theoretical framework to analyse how humans' decision-making strategies under uncertainty manage the trade-off between information gathering (exploration) and reward seeking (exploitation). A…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at Risk assuming a heavy tail distribution of the stock prices…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, able to predict money distributions…
We study two-sided many-to-one matching markets with transferable utilities, e.g., labor and rental housing markets, in which money can exchange hands between agents, subject to distributional constraints on the set of feasible allocations.…
We analyze the limiting behavior of the risk premium associated with the Pareto optimal risk sharing contract in an infinitely expanding pool of risks under a general class of law-invariant risk measures encompassing rank-dependent utility…
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…
During the past two decades, multi-agent optimization problems have drawn increased attention from the research community. When multiple objective functions are present among agents, many works optimize the sum of these objective functions.…
We study a sequence of independent one-shot non-cooperative games where agents play equilibria determined by a tunable mechanism. Observing only equilibrium decisions, without parametric or distributional knowledge of utilities, we aim to…
Consider discrete-time linear distributed averaging dynamics, whereby agents in a network start with uncorrelated and unbiased noisy measurements of a common underlying parameter (state of the world) and iteratively update their estimates…
In various applications of heavy-tail modelling, the assumed Pareto behavior is tempered ultimately in the range of the largest data. In insurance applications, claim payments are influenced by claim management and claims may for instance…
We study a contest in which $N$ players sequentially draw from a distribution as many times as they want at a fixed cost per draw, with no recall, and the highest accepted value wins a prize. In the unique symmetric equilibrium, the…
The sharing of scarce resources among multiple rational agents is one of the classical problems in economics. In exchange economies, which are used to model such situations, agents begin with an initial endowment of resources and exchange…
This work proposes a unified framework for portfolio allocation, covering both asset selection and optimization, based on a multiple-hypothesis predict-then-optimize approach. The portfolio is modeled as a structured ensemble, where each…
Recent advances in extreme value theory have established $\ell$-Pareto processes as the natural limits for extreme events defined in terms of exceedances of a risk functional. Here we provide methods for the practical modelling of data…
In the problem of fully allocating a social endowment of perfectly divisible commodities among a group of agents with multidimensional single-peaked preferences, we study strategy-proof rules that are not Pareto-dominated by other…
In risk management, tail risks are of crucial importance. The assessment of risks should be carried out in accordance with the regulatory authority's requirement at high quantiles. In general, the underlying distribution function is…
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…
We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Change of their wealth depends, linearly on…