相关论文: The Economy's Potential: Duality and Equilibrium

In a Walrasian equilibrium (WE), all bidders are envy-free (EF), meaning that their allocation maximizes their utility; and the market clears (MC), meaning that the price of unallocated goods is zero. EF is desirable to ensure the long-term…

We show that the main results of the expected utility and dual utility theories can be derived in a unified way from two fundamental mathematical ideas: the separation principle of convex analysis, and integral representations of continuous…

The problem of finding envy-free allocations of indivisible goods can not always be solved; therefore, it is common to study some relaxations such as envy-free up to one good (EF1). Another property of interest for efficiency of an…

It is well-known that demand response can improve the system efficiency as well as lower consumers' (prosumers') electricity bills. However, it is not clear how we can either qualitatively identify the prosumer with the most impact…

This paper exhibits a duality between the theory of Revealed Preference of Afriat and the housing allocation problem of Shapley and Scarf. In particular, it is shown that Afriat's theorem can be interpreted as a second welfare theorem in…

We study the allocation of indivisible items that form an undirected graph and investigate the worst-case welfare loss when requiring that each agent must receive a connected subgraph. Our focus is on both egalitarian and utilitarian…

We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…

We consider the problem of finding the (unique) minimal Walrasian equilibrium price in multi-item, multi-unit auction models: there are multiple indivisible items for sale, with several units of each item, and a bidder may be interested in…

We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We…

Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…

An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general…

In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled…

This paper studies preference aggregation under uncertainty in the multi-profile framework and characterizes a new class of aggregation rules that address classical concerns about Harsanyi's (1955) utilitarian rules. Our aggregation rules,…

In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…

Reducing wealth inequality and increasing utility are critical issues. This study reveals the effects of redistribution and consumption morals on wealth inequality and utility. To this end, we present a novel approach that couples the…

Balancing fairness and efficiency in resource allocation is a classical economic and computational problem. The price of fairness measures the worst-case loss of economic efficiency when using an inefficient but fair allocation rule; for…

Many fairness criteria constrain the policy or choice of predictors, which can have unwanted consequences, in particular, when optimizing the policy under such constraints. Here, we advocate to instead focus on the utility function the…

We study an Arrow-Debreu economy with externalities generated by multiplex networks. Market equilibrium prices reflect both the preferences and scarcity of goods, consumers' network centralities arising from goods' externalities, as well as…

We study competition between firms in labor markets, following a combinatorial model suggested by Kelso and Crawford [1982]. In this model, each firm is trying to recruit workers by offering a higher salary than its competitors, and its…

In this paper, we study expected utility maximization under ratchet and drawdown constraints on consumption in a general incomplete semimartingale market using duality methods. The optimization is considered with respect to two parameters:…