Related papers: Relative portfolio optimization via a value at ris…
The use of game theoretic methods for control in multiagent systems has been an important topic in recent research. Valid utility games in particular have been used to model real-world problems; such games have the convenient property that…
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…
The dynamic portfolio optimization problem in finance frequently requires learning policies that adhere to various constraints, driven by investor preferences and risk. We motivate this problem of finding an allocation policy within a…
Systemic risk arises as a multi-layer network phenomenon. Layers represent direct financial exposures of various types, including interbank liabilities, derivative- or foreign exchange exposures. Another network layer of systemic risk…
We study the problem of fairly allocating a set of indivisible goods among agents with additive valuations. The extent of fairness of an allocation is measured by its Nash social welfare, which is the geometric mean of the valuations of the…
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…
In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) utility function, marginalized over a distribution of…
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…
A multicast game is a network design game modelling how selfish non-cooperative agents build and maintain one-to-many network communication. There is a special source node and a collection of agents located at corresponding terminals. Each…
We consider an augmented version of Merton's portfolio choice problem, where trading by large investors influences the price of underlying financial asset leading to strategic interaction among investors, with investors deciding their…
We consider multi-agent decision making, where each agent optimizes its cost function subject to constraints. Agents' actions belong to a compact convex Euclidean space and the agents' cost functions are coupled. We propose a distributed…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…
In this work we study the individual strategies carried out by agents undergoing transactions in wealth exchange models. We analyze the role of risk propensity in the behavior of the agents and find a critical risk, such that agents with…
The use of reinforcement learning algorithms in financial trading is becoming increasingly prevalent. However, the autonomous nature of these algorithms can lead to unexpected outcomes that deviate from traditional game-theoretical…
Game contingent claims (GCCs) generalize American contingent claims by allowing the writer to recall the option as long as it is not exercised, at the price of paying some penalty. In incomplete markets, an appealing approach is to analyze…
We consider the problem of allocating a set of divisible goods to $N$ agents in an online manner, aiming to maximize the Nash social welfare, a widely studied objective which provides a balance between fairness and efficiency. The goods…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…
In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…