相关论文: The Risk-Sharing problem under limited liability c…

In this paper we study the problem of allocating a scarce resource among several players (or agents). A central decision maker wants to maximize the total utility of all agents. However, such a solution may be unfair for one or more agents…

We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…

This paper considers the problem of shaping agent utility functions in a transactive energy system to ensure the optimal energy price at a competitive equilibrium is always socially acceptable, that is, below a prescribed threshold. Agents…

We consider a dynamic moral hazard problem between a principal and an agent, where the sole instrument the principal has to incentivize the agent is the disclosure of information. The principal aims at maximizing the (discounted) number of…

In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) utility function, marginalized over a distribution of…

In this paper we study reduction by symmetry for optimality conditions in optimal control problems of left-invariant affine multi-agent control systems, with partial symmetry breaking cost functions. Our approach emphasizes the role of…

We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption…

We investigate the implementation of reduced-form allocation probabilities in a two-person bargaining problem without side payments, where the agents have to select one alternative from a finite set of social alternatives. We provide a…

We develop a framework for studying and quantifying the risk of cascading failures in time-delay consensus networks, motivated by a team of agents attempting temporal rendezvous under stochastic disturbances and communication delays. To…

We introduce and study a computational version of the principal-agent problem -- a classic problem in Economics that arises when a principal desires to contract an agent to carry out some task, but has incomplete information about the agent…

This paper focuses on specific investments under negotiated transfer pricing. Reasons for transfer pricing studies are primarily to find conditions that maximize the firm's overall profit, especially in cases with bilateral trading problems…

We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a…

We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In…

Social dilemmas present a significant challenge in multi-agent cooperation because individuals are incentivised to behave in ways that undermine socially optimal outcomes. Consequently, self-interested agents often avoid collective…

In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is well-known in a setting with moral hazard and…

We study distributed optimization in a cooperative multi-agent setting, where agents have to agree on the usage of shared resources and can communicate via a time-varying network to this purpose. Each agent has its own decision variables…

We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from…

Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of \emph{insider information}. We assume that, since the…

In this paper, we study the finite-horizon problem of an economic agent's optimal consumption, investment, and job-switching decisions. The key new feature of our model is that the job-switching cost is time-varying. This extension leads to…

In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random…