相关论文: Capital Requirement for Achieving Acceptability

A triplet $(\mathbb{P},\mathbb{F},S)$ of a probability measure $\mathbb{P}$, of an information flow $\mathbb{F}=(\mathcal{F}_t)_{t\in\mathbb{R}_+}$, and of an $\mathbb{F}$ adapted asset process $S$, is a financial market model, only if it…

When there are infinitely many scenarios, the current studies of two-stage stochastic programming problems rely on the relatively complete recourse assumption. However, such assumption can be unrealistic for many real-world problems. This…

Envy-freeness is a widely studied notion in resource allocation, capturing some aspects of fairness. The notion of envy being inherently subjective though, it might be the case that an agent envies another agent, but that she objectively…

We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…

Consider the problem of assigning indivisible objects to agents with strict ordinal preferences over objects, where each agent is interested in consuming at most one object, and objects have integer minimum and maximum quotas. We define an…

We present a simplified model for the exploitation of finite resources by interacting agents, where each agent receives a random fraction of the available resources. An extremal dynamics ensures that the poorest agent has a chance to change…

In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…

In dynamic programming and reinforcement learning, the policy for the sequential decision making of an agent in a stochastic environment is usually determined by expressing the goal as a scalar reward function and seeking a policy that…

We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogeneous in that they apply varying capital adequacy tests and…

Admissibility has been studied for games of infinite duration with Boolean objectives. We extend here this study to games of infinite duration with quantitative objectives. First, we show that, un- der the assumption that optimal worst-case…

This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths…

Artificial stock market simulation based on agent is an important means to study financial market. Based on the assumption that the investors are composed of a main fund, small trend and contrarian investors characterized by four…

In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…

We consider the problem of optimal inside portfolio $\pi(t)$ in a financial market with a corresponding wealth process $X(t)=X^{\pi}(t)$ modelled by \begin{align}\label{eq0.1} \begin{cases} dX(t)&=\pi(t)X(t)[\alpha(t)dt+\beta(t)dB(t)];…

Solvency games, introduced by Berger et al., provide an abstract framework for modelling decisions of a risk-averse investor, whose goal is to avoid ever going broke. We study a new variant of this model, where, in addition to stochastic…

We study the design of optimal incentives in sequential processes. To do so, we consider a basic and fundamental model in which an agent initiates a value-creating sequential process through costly investment with random success. If…

It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This holds true in market models where no…

We consider trading in a financial market with proportional transaction costs. In the frictionless case, claims are maximal if and only if they are priced by a consistent price process--the equivalent of an equivalent martingale measure.…

When allocating indivisible resources or tasks, an envy-free allocation or equitable allocation may not exist. We present a sufficient condition and an algorithm to achieve envy-freeness and equitability when monetary transfers are allowed.…

Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…