Related papers: Relative portfolio optimization via a value at ris…

We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…

A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance approach and portfolio allocation strategies such as risk parity. It is based on a novel concept called portfolio dimensionality that…

In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No…

In the study of reactive systems, qualitative properties are usually easier to model and analyze than quantitative properties. This is especially true in systems where mutually beneficial cooperation between agents is possible, such as…

In the present paper, the minimal investment risk for a portfolio optimization problem with imposed budget and investment concentration constraints is considered using replica analysis. Since the minimal investment risk is influenced by the…

This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investor's utility function both depend on the market regime, which…

In this paper we focus on noncooperative games with uncertain constraints coupling the agents' decisions. We consider a setting where bounded deviations of agents' decisions from the equilibrium are possible, and uncertain constraints are…

Many scenarios where agents with restrictions compete for resources can be cast as maximum matching problems on bipartite graphs. Our focus is on resource allocation problems where agents may have restrictions that make them incompatible…

The main goal of this paper is to develop a theory of inference of player valuations from observed data in the generalized second price auction without relying on the Nash equilibrium assumption. Existing work in Economics on inferring…

In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg…

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…

Mechanisms with money are commonly designed under the assumption that agents are quasi-linear, meaning they have linear disutility for spending money. We study the implications when agents with non-linear (specifically, convex) disutility…

Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classical absolute robust optimization approach with the relative robust approach based on a maximum regret function. Although the latter problems…

We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, at maturity, the portfolio value is below the…

We consider a selfish variant of the knapsack problem. In our version, the items are owned by agents, and each agent can misrepresent the set of items she owns---either by avoiding reporting some of them (understating), or by reporting…

We are concerned with finding Nash Equilibria in agent-based multi-cluster games, where agents are separated into distinct clusters. While the agents inside each cluster collaborate to achieve a common goal, the clusters are considered to…

The standard risk minimization paradigm of machine learning is brittle when operating in environments whose test distributions are different from the training distribution due to spurious correlations. Training on data from many…

We consider a security game in a setting consisting of two players (an attacker and a defender), each with a given budget to allocate towards attack and defense, respectively, of a set of nodes. Each node has a certain value to the attacker…

This paper considers risk-averse learning in convex games involving multiple agents that aim to minimize their individual risk of incurring significantly high costs. Specifically, the agents adopt the conditional value at risk (CVaR) as a…

We study a multi-leader single-follower congestion game where multiple users (leaders) choose one resource out of a set of resources and, after observing the realized loads, an adversary (single-follower) attacks the resources with maximum…