Related papers: Equilibrium with coherent risk
The goal of an auction is to determine commodity prices such that all participants are perfectly happy. Such a solution is called a competitive equilibrium and does not exist in general. For this reason we are interested in solutions which…
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-ascent algorithm which applies to problems subject to…
This working paper is divided into two parts. Firstly, we develop a new combined equilibrium model of business land-use, which puts travelers' traffic equilibrium and business companies' competitive location equilibrium into a unified…
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…
We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…
Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
In settings where full incentive-compatibility is not available, such as core-constraint combinatorial auctions and budget-balanced combinatorial exchanges, we may wish to design mechanisms that are as incentive-compatible as possible. This…
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio…
This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical…
I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…
The paper proposes a novel hybrid method for solving equilibrium problems and fixed point problems. By constructing specially cutting-halfspaces, in this algorithm, only an optimization program is solved at each iteration without the…
The paper concerns the study of equilibrium points, namely the stationary solutions to the closed loop equation, of an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. Sufficient…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
In this paper, we study two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measured by a distortion risk measure and the premium is given by a…
A variety of approaches has been developed to deal with uncertain optimization problems. Often, they start with a given set of uncertainties and then try to minimize the influence of these uncertainties. Depending on the approach used, the…
In this paper we consider resource allocation problem stated as a convex minimization problem with linear constraints. To solve this problem, we use gradient and accelerated gradient descent applied to the dual problem and prove the…
We consider the problem of allocating indivisible goods in a way that is fair, using one of the leading market mechanisms in economics: the competitive equilibrium from equal incomes. Focusing on two major classes of valuations, namely…