Related papers: Utility-Invariant Support Selection and Eventwise …
In this article, we employ a principal-agent model to analyze optimal contract design in a monopolistic reinsurance market under adverse selection with a continuum of insurer types. Instead of using the classical expected utility framework,…
We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility function at final time T, we obtain an asymptotic expansion of…
The Plackett--Luce model has been extensively used for rank aggregation in social choice theory. A central statistical question in this model concerns estimating the utility vector that governs the model's likelihood. In this paper, we…
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…
In many smart infrastructure applications flexibility in achieving sustainability goals can be gained by engaging end-users. However, these users often have heterogeneous preferences that are unknown to the decision-maker tasked with…
The win ratio is increasingly used in randomized trials due to its intuitive clinical interpretation, ability to incorporate the relative importance of composite endpoints, and its capacity for combining different types of outcomes (e.g.…
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a…
In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein--Zin stochastic differential utility (EZ-SDU) who invests in a constant-parameter Black-Scholes-Merton market over the…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
A reformulation of the Kelly Criterion is presented. Let $\mathfrak{G}$ be a generic stochastic Bernoulli binary game with outcomes $\mathscr{Z}(I)\in\lbrace -1,1\rbrace$ of N trials for $I=1...N$. The binomial probabilities are…
A stochastic model with a continuum of economic agents often involves shocks at both macro and micro levels. This can be formalized by a continuum of random variables that are conditionally independent given the macro level shocks. Based on…
In many applications, an organization may want to acquire data from many data owners. Data marketplaces allow data owners to produce data assemblage needed by data buyers through coalition. To encourage coalitions to produce data, it is…
This paper describes a study of agent bidding strategies, assuming combinatorial valuations for complementary and substitutable goods, in three auction environments: sequential auctions, simultaneous auctions, and the Trading Agent…
We say a model is continuous in utilities (resp., preferences) if small perturbations of utility functions (resp., preferences) generate small changes in the model's outputs. While similar, these two questions are different. They are only…
We present a method for calculating and analyzing stakeholder utilities of processes that arise in, but are not limited to, the social sciences. These areas include business process analysis, healthcare workflow analysis and policy process…
This thesis develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time finance, does not rely on stochastic integrals or other probabilistic…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
We propose an aggregate notion of non-transferable utility (NTU) stability for decentralized matching markets with fixed prices, where market clearing is achieved through one-sided money burning, which can be interpreted as waiting. Agents…
In this paper, we study decentralized decision-making where agents optimize private objectives under incomplete information and imperfect public monitoring, in a non-cooperative setting. By shaping utilities-embedding shadow prices or…