相关论文: Existence and Uniqueness of Recursive Utility Mode…
The random utility model, a cornerstone in economics, is axiomatized by Falmagne (1978) and McFadden and Richter (1990) with the assumption that if a menu is observable, the choice frequencies of all alternatives are also observable.…
We say a model is continuous in utilities (resp., preferences) if small perturbations of utility functions (resp., preferences) generate small changes in the model's outputs. While similar, these two questions are different. They are only…
We propose new results for the existence and uniqueness of a general nonparametric and nonseparable competitive equilibrium with substitutes. These results ensure the invertibility of a general competitive system. The existing literature…
Utility-oriented pattern mining has become an emerging topic since it can reveal high-utility patterns (e.g., itemsets, rules, sequences) from different types of data, which provides more information than the traditional…
We study dynamic mechanism design in a pure-exchange economy with privately observed idiosyncratic income. In the standard infinitely lived hidden-income benchmark of Green (1987) and Thomas-Worrall (1990), constrained-efficient allocations…
Consider the object allocation (one-sided matching) model of Shapley and Scarf (1974). When final allocations are observed but agents' preferences are unknown, when might the allocation be in the core? This is a one-sided analogue of the…
In 2010, Brasselet, Sch\"urmann and Yokura conjectured an equality of characteristic classes of singular varieties between the Goresky-MacPherson $L$-class $L_*(X)$ and the Hirzebruch homology class $T_{1*}(X)$ for a compact complex…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer randomized decisions leading to stochastic and noisy choices.…
Richard Cox [1] set the axiomatic foundations of probable inference and the algebra of propositions. He showed that consistency within these axioms requires certain rules for updating belief. In this paper we use the analogy between…
The maximum utility estimation proposed by Elliott and Lieli (2013) can be viewed as cost-sensitive binary classification; thus, its in-sample overfitting issue is similar to that of perceptron learning. A utility-maximizing prediction rule…
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…
Picard-Lefschetz theory is applied to solutions of the Helmholtz equation, formulated in terms of sums of integrals of a proper-time, or `einbein', wave function $\Psi(\Lambda) = \exp(i\mathbb S(\Lambda))$ along complex contours bounded by…
When considering the problem of forecasting a continuous-time stochastic process over an entire time-interval in terms of its recent past, the notion of Autoregressive Hilbert space processes (ARH) arises. This model can be seen as a…
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random…
Existence, uniqueness, and $L_p$-approximation results are presented for scalar stochastic differential equations (SDEs) by considering the case where, the drift coefficient has finitely many spatial discontinuities while both coefficients…
Employing a generalized definition of Pratt (1964) and Arrow's (1965, 1971) probability premium, we introduce a new concept of attitude towards probability. We illustrate in a problem of risk sharing that whether attitude towards…
We extend the limited participation model in Basak and Cuoco (1998) to allow for traders with different time-preference coefficients but identical constant relative risk-aversion coefficients. Our main result gives parameter restrictions…
Recently Carr and Wu (2004, 2005) and also Huang and Wu (2004) show that most stochastic processes used in traditional option pricing models can be cast as special cases of time-changed L\'evy processes. In particular these are models which…
The additive model is one of the most popular semiparametric models. The backfitting estimation (Buja, Hastie and Tibshirani, 1989, \textit{Ann. Statist.}) for the model is intuitively easy to understand and theoretically most efficient…