相关论文: Ultra valuations
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for…
Ultraproducts are a well-known tool in the classical model theory of first-order logic. We explore their uses in the context of finite model theory.
We study the matroid secretary problems with submodular valuation functions. In these problems, the elements arrive in random order. When one element arrives, we have to make an immediate and irrevocable decision on whether to accept it or…
We study the problem of fairly allocating a set of indivisible items among a set of agents. We consider the notion of (approximate) maximin share (MMS) and we provide an improved lower bound of $1/2$ (which is tight) for the case of…
We introduce several new estimation methods that leverage shape constraints in auction models to estimate various objects of interest, including the distribution of a bidder's valuations, the bidder's ex ante expected surplus, and the…
The $\lambda$-calculus is a handy formalism to specify the evaluation of higher-order programs. It is not very handy, however, when one interprets the specification as an execution mechanism, because terms can grow exponentially with the…
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of…
Maximum-entropy distributions are shown to appear in the probability calculus as approximations of a model by exchangeability or a model by sufficiency, the former model being preferable. The implications of this fact are discussed,…
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an…
This paper proposes a change in perspective on the ``transformation of values'' problem: from ``searching for a single constant solution'' to ``characterizing the allocation space under objective constraints imposed by the physical…
We investigate a market without money in which agents can offer certain goods (or multiple copies of an agent-specific good) in exchange for goods of other agents. The exchange must be balanced in the sense that each agent should receive a…
The history of research on eigenvalue problems is rich with many outstanding contributions. Nonetheless, the rapidly increasing size of data sets requires new algorithms for old problems in the context of extremely large matrix dimensions.…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
We develop value iteration-based algorithms to solve in a unified manner different classes of combinatorial zero-sum games with mean-payoff type rewards. These algorithms rely on an oracle, evaluating the dynamic programming operator up to…
Several fairness concepts have been proposed recently in attempts to approximate envy-freeness in settings with indivisible goods. Among them, the concept of envy-freeness up to any item (EFX) is arguably the closest to envy-freeness.…
If $R$ is a valuation domain of maximal ideal $P$ with a maximal immediate extension of finite rank it is proven that there exists a finite sequence of prime ideals $P=L_0\supset L_1\supset...\supset L_m\supseteq 0$ such that…
We consider reallocation problems in settings where the initial endowment of each agent consists of a subset of the resources. The private information of the players is their value for every possible subset of the resources. The goal is to…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
In this paper we introduce and study the concept of optimal and surely optimal dual martingales in the context of dual valuation of Bermudan options, and outline the development of new algorithms in this context. We provide a…
We provide an elementary proof that revenue-maximizing mechanisms exist in multi-parameter settings whenever the distribution of valuations has finite expectation.