Related papers: Utility-Invariant Support Selection and Eventwise …
This survey reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments;…
In this paper, we develop a new method for finding an optimal biddingstrategy in sequential auctions, using a dynamic programming technique. Theexisting method assumes that the utility of a user is represented in anadditive form. Thus, the…
We consider the problem of estimating the joint distribution function of the event time and a continuous mark variable when the event time is subject to interval censoring case 1 and the continuous mark variable is only observed in case the…
Paper 1 of this research programme develops a resolution-aware risk-design framework for the simplest event-linked perpetual: a contract whose underlying tracks a single binary prediction-market probability through resolution. The…
We study a method for calculating the utility function from a candidate of a demand function that is not differentiable, but is locally Lipschitz. Using this method, we obtain two new necessary and sufficient conditions for a candidate of a…
We consider the discretized Bachelier model where hedging is done on an equidistant set of times. Exponential utility indifference prices are studied for path-dependent European options and we compute their non-trivial scaling limit for a…
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…
We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity…
In this paper, we consider a multistage expected utility maximization problem where the decision maker's utility function at each stage depends on historical data and the information on the true utility function is incomplete. To mitigate…
The lambda calculus is a widely accepted computational model of higher-order functional pro- grams, yet there is not any direct and universally accepted cost model for it. As a consequence, the computational difficulty of reducing lambda…
We study the question of existence and fast computation of fair and efficient allocations of indivisible resources among agents with additive valuations. As such allocations may not exist for arbitrary instances, we ask if they exist for…
We study the minimax identity for a non-decreasing upper-semicontinuous utility function satisfying mild growth assumption. In contrast to the classical setting, we do not impose the assumption that the utility function is concave. By…
This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
This paper studies an incentive structure for cooperation and its stability in peer-assisted services when there exist multiple content providers, using a coalition game theoretic approach. We first consider a generalized coalition…
In this paper we study the dynamics and ergodic theory of certain economic models which are implicitly defined. We consider 1-dimensional and 2-dimensional overlapping generations models, a cash-in-advance model, heterogeneous markets and a…
In this paper, we study the exponential utility indifference pricing of pure endowment policies within a stochastic-factor model for an insurer who also invests in a financial market. Our framework incorporates a hazard rate modeled as an…
A new class of multi agent single machine scheduling problems is introduced, where each job is associated with a self interested agent with a utility function decreasing in completion time. We aim to achieve a fair solution by maximizing…
We consider an incomplete market with a nontradable stochastic factor and a continuous time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate it as a stochastic differential game…