Related papers: Capital-Allocation-Induced Risk Sharing
Risks and potential benefits of distributing software development projects globally depend to a large extent on how to allocate work to different development sites and regions. Existing methods in task allocation are likely to omit the…
This paper introduces a new distribution to improve tail risk modeling. Based on the classical normal distribution, we define a new distribution by a series of heat equations. Then, we use market data to verify our model.
We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk measures is often studied through the lens of…
Free riding is a major problem in peer-to-peer networks. Reputation management systems are generally proposed to overcome this problem. In this paper we have discussed a possible way of resource allocation on the basis of reputation…
In the context of risk measures, the capital allocation problem is widely studied in the literature where different approaches have been developed, also in connection with cooperative game theory and systemic risk. Although static capital…
We consider a setting in which a group of agents share resources that must be allocated among them in each discrete time period. Agents have time-varying demands and derive constant marginal utility from each unit of resource received up to…
Information sharing among organizations has been gaining attention as a method for improving cybersecurity. However, the associated disclosure costs act as deterrents for firms' voluntary cooperation. In this work, we take a game-theoretic…
Classical reinforcement learning (RL) techniques are generally concerned with the design of decision-making policies driven by the maximisation of the expected outcome. Nevertheless, this approach does not take into consideration the…
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange…
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…
Assigning resources in business processes execution is a repetitive task that can be effectively automated. However, different automation methods may give varying results that may not be optimal. Proper resource allocation is crucial as it…
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades. To generalize the concept of risk contribution from the…
Sharpe et al. proposed the idea of having an expected utility maximizer choose a probability distribution for future wealth as an input to her investment problem instead of a utility function. They developed a computer program, called The…
This paper considers the ideal gas-like model of trading markets, where each individual is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditionally this model introduces…
Although resource allocation is a well studied problem in computer science, until the prevalence of distributed systems, such as computing clouds and data centres, the question had been addressed predominantly for single resource type…
This paper proposes a conceptual framework for the analysis of reward sharing schemes in mining pools, such as those associated with Bitcoin. The framework is centered around the reported shares in a pool instead of agents and results in…
The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails. While estimation on a short-term horizon for less extreme percentiles…
In a distributed game we imagine a team Player engaging a team Opponent in a distributed fashion. Such games and their strategies have been formalised in concurrent games based on event structures. However there are limitations in founding…
We analyze multiline pricing and capital allocation in equilibrium no-arbitrage markets. Existing theories often assume a perfect complete market, but when pricing is linear, there is no diversification benefit from risk pooling and…
In this article we propose a novel measure of systemic risk in the context of financial networks. To this aim, we provide a definition of systemic risk which is based on the structure, developed at different levels, of clustered neighbours…