Related papers: Utility-Invariant Support Selection and Eventwise …
I study dynamic random utility with finite choice sets and exogenous total menu variation, which I refer to as stochastic utility (SU). First, I characterize SU when each choice set has three elements. Next, I prove several mathematical…
We show the existence of invariant ergodic $\sigma$-additive probability measures with full support on $X$ for a class of linear operators $L: X \to X$, where $L$ is a weighted shift operator and $X$ either is the Banach space…
In non-truthful auctions, agents' utility for a strategy depends on the strategies of the opponents and also the prior distribution over their private types; the set of Bayes Nash equilibria generally has an intricate dependence on the…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…
We study competitive equilibria in the classic Shapley-Shubik assignment model with indivisible goods and unit-demand buyers, with budget constraints: buyers can specify a maximum price they are willing to pay for each item, beyond which…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…
The introduction of new services, such as Mobile Edge Computing (MEC), requires a massive investment that cannot be assumed by a single stakeholder, for instance the Infrastructure Provider (InP). Service Providers (SPs) however also have…
We investigate the portfolio selection problem for an agent with rank-dependent utility in an incomplete financial market. For a constant-coefficient market and CRRA utilities, we characterize the deterministic strict equilibrium…
It has been proposed in medical decision analysis to express the ``first do no harm'' principle as an asymmetric utility function in which the loss from killing a patient would count more than the gain from saving a life. Such a utility…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
In this paper, we study the optimal multiple stopping problem under Knightian uncertainty both under discrete-time case and continuous-time case. The Knightian uncertainty is modeled by a single real-valued function g, which is the…
We address the problem of analyzing asynchronous event-driven programs, in which concurrent agents communicate via unbounded message queues. The safety verification problem for such programs is undecidable. We present in this paper a…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…
Let $T$ be a $C^{1}$ competitive map on a rectangular region $R\subset \mathbb{R}^{2}$. The main results of this paper give conditions which guarantee the existence of an invariant curve $C$, which is the graph of a continuous increasing…
This paper studies a discrete-time version of the Lucas-Uzawa endogenous growth model with physical and human capital in the presence of externalities. Existence of an optimal equilibrium is proved using tools from dynamic programming with…
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we…
We consider a single-period portfolio selection problem for an investor, maximizing the expected ratio of the portfolio utility and the utility of a best asset taken in hindsight. The decision rules are based on the history of stock returns…
This paper embeds a signaling friction into the continuous-time heterogeneous agent framework. A continuum of producers operate Cobb-Douglas technologies with regime-specific productivity $A_j \in \{A_L, A_H\}$. Stochastic arrival of…
We study the efficiency of sequential first-price item auctions at (subgame perfect) equilibrium. This auction format has recently attracted much attention, with previous work establishing positive results for unit-demand valuations and…