Related papers: Examples and Counterexamples of Cost-efficiency in…

We establish a variant of Monge--Kantorovich duality for a constrained optimal transport problem with a continuum of agents, a finite set of alternatives, and general linear constraints. As an application, we revisit the large-market model…

A celebrated impossibility result by Myerson and Satterthwaite (1983) shows that any truthful mechanism for two-sided markets that maximizes social welfare must run a deficit, resulting in a necessity to relax welfare efficiency and the use…

We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers utility maximisation as a special case. A…

We study the design of efficient mechanisms under asymmetric awareness and information. Unawareness refers to the lack of conception rather than the lack of information. Assuming quasi-linear utilities and private values, we show that we…

It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…

We investigate the possibility of completing financial markets in a model with no exogenous probability measure and market imperfections. A necessary and sufficient condition is obtained for such extension to be possible.

The following measures against unemployment are proposed: In the short term, to promote greater income for the poorest sectors. It is shown that this can be paid with the resulting increased production, without losing income to the other…

This paper finds near equilibrium prices for electricity markets with nonconvexities due to binary variables, in order to reduce the market participants' opportunity costs, such as generators' unrecovered costs. The opportunity cost is…

This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here,…

We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a lineality-type condition the problem admits a maximizer. This condition is implied by the no-arbitrage condition in models of…

A derivative is a financial security whose value is a function of underlying traded assets and market outcomes. Pricing a financial derivative involves setting up a market model, finding a martingale (``fair game") probability measure for…

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…

In this paper, we study the dual problem of the expected utility maximization in incomplete markets with bounded random endowment. We start with the problem formulated in the paper of Cvitani\'{c}-Schachermayer-Wang (2001) and prove the…

We propose a framework where generation and transmission capacities are planned concurrently in market environments with a focus on the prosumers. This paper is a continuation of Part I and presents numerical results from three archetypal…

How does one allocate a collection of resources to a set of strategic agents in a fair and efficient manner without using money? For in many scenarios it is not feasible to use money to compensate agents for otherwise unsatisfactory…

We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomplete markets. We also study the differentiability of the…

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 investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. Closed, not necessarily convex, constraints are imposed on strategies. The optimal consumption and investment…

Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…