相关论文: Capital Requirement for Achieving Acceptability
We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…
We derive deterministic criteria for the existence and non-existence of equivalent (local) martingale measures for financial markets driven by multi-dimensional time-inhomogeneous diffusions. Our conditions can be used to construct…
Within the setup of continuous-time semimartingale financial markets, we show that a multiprior Gilboa-Schmeidler minimax expected utility maximizer forms a portfolio consisting only of the riskless asset if and only if among the investor's…
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
In a series of precedent papers, we have presented a comprehensive methodology, termed Field Economics, for translating a standard economic model into a statistical field-formalism framework. This formalism requires a large number of…
Rejection Sampling is a fundamental Monte-Carlo method. It is used to sample from distributions admitting a probability density function which can be evaluated exactly at any given point, albeit at a high computational cost. However,…
We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers…
Auctions in which agents' payoffs are random variables have received increased attention in recent years. In particular, recent work in algorithmic mechanism design has produced mechanisms employing internal randomization, partly in…
Let $L$ be a convex cone of real random variables on the probability space $(\Omega,\mathcal{A},P_0)$. The existence of a probability $P$ on $\mathcal{A}$ such that $$ P \sim P_0,\quad E_P \abs{X}< \infty\, \text{ and } \, E_P(X) \leq 0\,…
Reasoning about agent preferences on a set of alternatives, and the aggregation of such preferences into some social ranking is a fundamental issue in reasoning about uncertainty and multi-agent systems. When the set of agents and the set…
We study a simple exchange model in which price is fixed and the amount of a good transferred between actors depends only on the actors' respective budgets and the existence of a link between transacting actors. The model induces a…
The synthesis problem asks to construct a reactive finite-state system from an $\omega$-regular specification. Initial specifications are often unrealizable, which means that there is no system that implements the specification. A common…
A principal has $m$ identical objects to allocate among a group of $n$ agents. Objects are desirable and the principal's value of assigning an object to an agent is the agent's private information. The principal can verify up to $k$ agents,…
In the standard setting of approachability there are two players and a target set. The players play repeatedly a known vector-valued game where the first player wants to have the average vector-valued payoff converge to the target set which…
A well known result in stochastic analysis reads as follows: for an $\mathbb{R}$-valued super-martingale $X = (X_t)_{0\leq t \leq T}$ such that the terminal value $X_T$ is non-negative, we have that the entire process $X$ is non-negative.…
Our work studies the fair allocation of indivisible items to a set of agents, and falls within the scope of establishing improved approximation guarantees. It is well known by now that the classic solution concepts in fair division, such as…
A decision maker starts from a judgmental decision and moves to the closest boundary of the confidence interval. This statistical decision rule is admissible and does not perform worse than the judgmental decision with a probability equal…
This paper provides a general method to translate a standard economic model with a large number of agents into a field-formalism model. This formalism preserves the system's interactions and microeconomic features at the individual level…
The classic model of computable randomness considers martingales that take real or rational values. Recent work by Bienvenu et al. (2012) and Teutsch (2014) shows that fundamental features of the classic model change when the martingales…