Related papers: Equilibrium with coherent risk
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…
We consider three equilibrium concepts proposed in the literature for time-inconsistent stopping problems, including mild equilibria, weak equilibria and strong equilibria. The discount function is assumed to be log sub-additive and the…
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of super-hedging a European option. Our main result is the…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call…
The complex interactions between algorithmic trading agents can have a severe influence on the functioning of our economy, as witnessed by recent banking crises and trading anomalies. A common phenomenon in these situations are fire sales,…
When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…
Separable convex optimization problems with linear ascending inequality and equality constraints are addressed in this paper. Under an ordering condition on the slopes of the functions at the origin, an algorithm that determines the optimum…
We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options with convex payoffs in terms of prices of call options with…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
In classical inverse linear optimization, one assumes a given solution is a candidate to be optimal. Real data is imperfect and noisy, so there is no guarantee this assumption is satisfied. Inspired by regression, this paper presents a…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
We consider scalar equilibrium problems governed by a bifunction in a finite-dimensional framework. By using classical arguments in Convex Analysis, we show that under suitable generalized convexity assumptions imposed on the bifunction,…
Several problems in planning and reactive synthesis can be reduced to the analysis of two-player quantitative graph games. {\em Optimization} is one form of analysis. We argue that in many cases it may be better to replace the optimization…
In this paper, we study a retailer price optimization problem which includes the practical constraints: maximum number of price changes and minimum amount of price change (if a change is recommended). We provide a closed-form formula for…
We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the super-replication cost.…
This paper provides a general characterization of subgame perfect equilibria for strategic timing problems, where two firms have the (real) option to make an irreversible investment. Profit streams are uncertain and depend on the market…
In this paper a class of combinatorial optimization problems is discussed. It is assumed that a solution can be constructed in two stages. The current first-stage costs are precisely known, while the future second-stage costs are only known…