相关论文: Capital Requirement for Achieving Acceptability

The Walras approach to equilibrium focuses on the existence of market prices at which the total demands for goods are matched by the total supplies. Trading activities that might identify such prices by bringing agents together as potential…

We construct a general stochastic process and prove weak convergence results. It is scaled in space and through the parameters of its distribution. We show that our simplified scaling is equivalent to time scaling used frequently. The…

We revisit Blackwell's celebrated approachability problem which considers a repeated vector-valued game between a player and an adversary. Motivated by settings in which the action set of the player or adversary (or both) is difficult to…

I provide a novel approach to characterizing the set of interim realizable allocations, in the spirit of Matthews (1984) and Border (1991). The approach allows me to identify precisely why exact characterizations are difficult to obtain in…

Approachability theory, introduced by Blackwell (1956), provides fundamental results on repeated games with vector-valued payoffs, and has been usefully applied since in the theory of learning in games and to learning algorithms in the…

We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by…

Expectiles are statistical parameters which also provide a class of sublinear risk measures in finance. They are solutions of continuous optimization problems. The corresponding first order condition provides two different fixed point…

Functions or 'functionings' enable to give a structure to any activity and their combinations constitute the capabilities which characterize economic assets such as work utility. The basic law of supply and demand naturally emerges from…

There are various situations in which it is natural to ask whether a given collection of $k$ functions, $\rho_j(\r_1,...,\r_j)$, $j=1,...,k$, defined on a set $X$, are the first $k$ correlation functions of a point process on $X$. Here we…

Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work (2004) the…

We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making strategies. We show that for any such fair market, there exists a martingale fair…

The paper is aware of the importance of certain figures that are essential to an understanding of Credit Scoring models in credit acceptance process optimization, namely if the power of discrimination measured by Gini value is increased by…

This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…

This paper consider a standard consensus algorithm under output saturations. In the presence of output saturations, global consensus can not be realized due to the existence of stable, unachievable equilibrium points for the consensus.…

We propose a controlled simulation within a competitive sum-zero environment as a proxy for disaggregating components of success. Given a simulation of the Risk board game, we consider (a) Talent to be one of three rule-based strategies…

This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…

Most work in mechanism design assumes that buyers are risk neutral; some considers risk aversion arising due to a non-linear utility for money. Yet behavioral studies have established that real agents exhibit risk attitudes which cannot be…

Sufficient conditions are identified under which the value function and the optimal strategy of a Markov decision process (MDP) are even and quasi-convex in the state. The key idea behind these conditions is the following. First, sufficient…

It is common to use minimax rules to make decisions for planning when there is great uncertainty on what will happen in the future. Minimax regret is one popular version of this. We give an analysis of the behaviour of minimax rules in the…

The efficient and fair distribution of indivisible resources among agents is a common problem in the field of \emph{Multi-Agent-Systems}. We consider a graph-based version of this problem called Reachable Assignments, introduced by Gourves,…