Related papers: Market Viability and Completeness for Multinomial …
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
Trial-offer markets, where customers can sample a product before deciding whether to buy it, are ubiquitous in the online experience. Their static and dynamic properties are often studied by assuming that consumers follow a multinomial…
One of the crucial problems in mathematical finance is to mitigate the risk of a financial position by setting up hedging positions of eligible financial securities. This leads to focusing on set-valued maps associating to any financial…
This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations…
We discuss the efficient computation of performance, reliability, and availability measures for Markov chains; these metrics, and the ones obtained by combining them, are often called performability measures. We show that this computational…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
In a dynamic matching market, such as a marriage or job market, how should agents balance accepting a proposed match with the cost of continuing their search? We consider this problem in a discrete setting, in which agents have cardinal…
In this paper, we propose a metric on the space of finite sets of trajectories for assessing multi-target tracking algorithms in a mathematically sound way. The main use of the metric is to compare estimates of trajectories from different…
In this work, we develop a new complexity metric for an important class of low-rank matrix optimization problems in both symmetric and asymmetric cases, where the metric aims to quantify the complexity of the nonconvex optimization…
The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
This paper studies the informativity problem for reachability and null-controllability of constrained systems. To be precise, we will focus on an unknown linear systems with convex conic constraints from which we measure data consisting of…
We develop two adaptive discretization algorithms for convex semi-infinite optimization, which terminate after finitely many iterations at approximate solutions of arbitrary precision. In particular, they terminate at a feasible point of…
We introduce the concept of bi-conformal transformation, as a generalization of conformal ones, by allowing two orthogonal parts of a manifold with metric $\G$ to be scaled by different conformal factors. In particular, we study their…
The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only…
We study the warehouse problem, arising in the area of inventory management and production planning. Here, a merchant wants to decide an optimal trading policy that computes quantities of a single commodity to purchase, store and sell…
This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market. Distinctively, our framework departs from most existing robust trading strategies,…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
The uniform probability measure on a convex polytope induces piecewise polynomial densities on its projections. For a fixed combinatorial type of simplicial polytopes, the moments of these measures are rational functions in the vertex…