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作者：Dentcheva, Darinka; Wolfhagen, Eli
作者单位：Stevens Institute of Technology
摘要：We propose a two-stage risk-averse stochastic optimization problem with a stochastic-order constraint on a vector-valued function of the second-stage decisions. This model is motivated by a multiobjective second-stage problem. We formulate optimality conditions for the problem and analyse the Lagrangian relaxation of the order constraint. We propose two decomposition methods to solve the problems and prove their convergence. The methods are based on Lagrangian relaxation of the order constrain...
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作者：Blanchet, Adrien; Carlier, Guillaume
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite PSL; Universite Paris-Dauphine
摘要：We study a class of games with a continuum of players for which a Cournot-Nash equilibria can be obtained by the minimisation of some cost related to optimal transport. This cost is not convex in the usual sense, in general, but it turns out to have hidden strict convexity properties in many relevant cases. This enables us to obtain new uniqueness results and a characterisation of equilibria in terms of some partial differential equations, a simple numerical scheme in dimension one as well as ...
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作者：Li, Xiaoou; Liu, Jingchen; Xu, Gongjun
作者单位：Columbia University; University of Minnesota System; University of Minnesota Twin Cities
摘要：We develop asymptotic approximations for the tail probabilities of integrals of lognormal random fields. We consider the asymptotic regime that the variance of the random field converges to zero. Under this setting, the integral converges to its limiting value. This analysis is of interest in considering short-term portfolio risk analysis (such as daily performance), for which the variances of log-returns could be as small as a few percent.
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作者：Carassus, Laurence; Rasonyi, Miklos
作者单位：Universite de Reims Champagne-Ardenne; HUN-REN; HUN-REN Alfred Renyi Institute of Mathematics; Universite Paris Cite; University of Edinburgh
摘要：This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. By contrast to the standard setting, a possibly nonconcave utility function U is considered, with domain of definition equal to the whole real line. Simple conditions are presented that guarantee the existence of an optimal strategy for the problem. In particular, the asymptotic elasticity of U plays a decisive role: Existence ...
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作者：Chandrasekaran, Karthekeyan; Vegh, Laszlo A.; Vempala, Santosh S.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of London; London School Economics & Political Science; University System of Georgia; Georgia Institute of Technology; University System of Georgia; Georgia Institute of Technology
摘要：The cutting plane approach to finding minimum-cost perfect matchings has been discussed by several authors over past decades. Its convergence has been an open question. We develop a cutting plane algorithm that converges in polynomial-time using only Edmonds' blossom inequalities, and which maintains half-integral intermediate LP solutions supported by a disjoint union of odd cycles and edges. Our main insight is a method to retain only a subset of the previously added cutting planes based on ...
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作者：Harks, Tobias; Klimm, Max
作者单位：Maastricht University; Technical University of Berlin
摘要：We initiate the study of congestion games with variable demands in which the players strategically choose both a nonnegative demand and a subset of resources. The players' incentives to use higher demands are stimulated by nondecreasing and concave utility functions. The payoff for a player is defined as the difference between the utility of the demand and the associated cost on the used resources. Although this class of noncooperative games captures many elements of real-world applications, i...
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作者：Sudderth, William D.
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：The theory of dynamic programming is formulated using finitely additive probability measures defined on sets of arbitrary cardinality. Many results from the conventional countably additive theory generalize, and the proofs are simpler.
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作者：Heidergott, Bernd; Volk-Makarewicz, Warren
作者单位：Vrije Universiteit Amsterdam; Tinbergen Institute; Vrije Universiteit Amsterdam
摘要：Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the financial industry. The recent discovery that efficient simulation-based estimators can be obtained for quantile sensitivities has led to an intensive search for sample-path differentiation-based estimators for quantile sensitivities. In this paper, we present a novel approach to quantile sensitivity estimation. Our approach elaborates on the concept of measure-valued different...
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作者：Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A.
作者单位：Princeton University; Humboldt University of Berlin; University of Konstanz; McMaster University
摘要：We propose a general discrete-time framework for deriving equilibrium prices of financial securities. It allows for heterogeneous agents, unspanned random endowments, and convex trading constraints. We give a dual characterization of equilibria and provide general results on their existence and uniqueness. In the special case where all agents have preferences of the same type and in equilibrium, all random endowments are replicable by trading in the financial market, we show that a one-fund th...
