相关论文: Optimal Collaterals in Multi-Enterprise Investment…

Collaborative machine learning (CML) provides a promising paradigm for democratizing advanced technologies by enabling cost-sharing among participants. However, the potential for rent-seeking behaviors among parties can undermine such…

Professional networks -- the social networks among people in a given line of work -- can serve as a conduit for job prospects and other opportunities. Here we propose a model for the formation of such networks and the transfer of…

In the contemporary digital landscape, cybersecurity has become a critical issue due to the increasing frequency and sophistication of cyber attacks. This study utilizes a non-zero-sum game theoretical framework to model the strategic…

This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features of this work are as follows: (i) the reservation values of…

This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Under fairly general assumptions for the distribution of the total net…

This paper analyzes the equilibrium of insurance market in a dynamic setting, focusing on the interaction between insurers' underwriting and investment strategies. Three possible equilibrium outcomes are identified: a positive insurance…

We propose a novel risk matrix to characterize the optimal portfolio choice of an investor with tail concerns. The diagonal of the matrix contains the Value-at-Risk of each asset in the portfolio and the off-diagonal the pairwise…

We propose a type of non-cooperative game, termed multi-cluster aggregative game, which is composed of clusters as players, where each cluster consists of collaborative agents with cost functions depending on their own decisions and the…

We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, we generalize the systemic risk measure proposed in [F.…

Game-theoretic analyses of distributed and peer-to-peer systems typically use the Nash equilibrium solution concept, but this explicitly excludes the possibility of strategic behavior involving more than one agent. We examine the effects of…

We introduce a novel framework for computing optimal randomized security policies in networked domains which extends previous approaches in several ways. First, we extend previous linear programming techniques for Stackelberg security games…

The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…

Efficient allocation and use of limited resources are fundamental to advancing collective welfare and achieving long-term societal sustainability. This challenge involves not only how policymakers distribute scarce resources among…

We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a…

We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…

In this paper, we study a strategic model of marketing and product consumption in social networks. We consider two firms in a market competing to maximize the consumption of their products. Firms have a limited budget which can be either…

We consider the provision of public goods on networks of strategic agents. We study different effort outcomes of these network games, namely, the Nash equilibria, Pareto efficient effort profiles, and semi-cooperative equilibria (effort…

Multi-agent contract design has largely evaluated contracts through the lens of pure Nash equilibria (PNE). This focus, however, is not without loss: In general, the principal can strictly gain by recommending a complex, possibly…

Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…

We study the role of regulatory inspections in a contract design problem in which a principal interacts separately with multiple agents. Each agent's hidden action includes a dimension that determines whether they undertake an extra costly…