A Bayesian abstract economy with a measure space of agents.
A bipolar theorem for L
A case study of the residual-based cointegration procedure.
A characterization of separable utility functions
A characterization of value efficiency.
An important issue in multi-attribute decision making consists of identifying the set of efficient solutions. The importance of this set is that the decision maker (DM) can restrict his attention to it, discarding all other solutions, because a nonefficient solution can never be optimal. Several methods have been developed to aid a DM in generating all or representative subsets of efficient solutions, [1] and [4], or to approximate it [7]. However most of these methods may be hard to apply to nonlinear...
A classical decision theoretic perspective on worst-case analysis
We examine worst-case analysis from the standpoint of classical Decision Theory. We elucidate how this analysis is expressed in the framework of Wald's famous Maximin paradigm for decision-making under strict uncertainty. We illustrate the subtlety required in modeling this paradigm by showing that information-gap's robustness model is in fact a Maximin model in disguise.
A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing.
A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA.
A comparison between two indices obtained by MDF.
A constructive analysis of convex-valued demand correspondence for weakly uniformly rotund and monotonic preference.
A consumption-investment problem modelled as a discounted Markov decision process
In this paper a problem of consumption and investment is presented as a model of a discounted Markov decision process with discrete-time. In this problem, it is assumed that the wealth is affected by a production function. This assumption gives the investor a chance to increase his wealth before the investment. For the solution of the problem there is established a suitable version of the Euler Equation (EE) which characterizes its optimal policy completely, that is, there are provided conditions...
A continuous optimization model for a joint problem of pricing and resource allocation
This paper investigates the problem of maximizing the revenue of a telecommunications operator by simultaneously pricing point-to-point services and allocating bandwidth in its network, while facing competition. Customers are distributed into market segments, i.e., groups of customers with a similar preference for the services. This preference is expressed using utility functions, and customers choose between the offers of the operator and of the competition according to their utility. We model...
A continuous-time model for claims reserving
Prediction of outstanding liabilities is an important problem in non-life insurance. In the framework of the Solvency II Project, the best estimate must be derived by well defined probabilistic models properly calibrated on the relevant claims experience. A general model along these lines was proposed earlier by Norberg (1993, 1999), who suggested modelling claim arrivals and payment streams as a marked point process. In this paper we specify that claims occur in [0,1] according to a Poisson point...
A continuous-time search model with finite horizon
A convex Darboux theorem
A discrete economic growth model with endogenous labor.
A discrete heterogeneous-group economic growth model with endogenous leisure time.
A discrete monetary economic growth model with the MIU approach.
A discrete two-sector economic growth model.
A distributed voting scheme to maximize preferences
We study the problem of designing a distributed voting scheme for electing a candidate that maximizes the preferences of a set of agents. We assume the preference of agent i for candidate j is a real number xi,j, and we do not make any assumptions on the mechanism generating these preferences. We show simple randomized voting schemes guaranteeing the election of a candidate whose expected total preference is nearly the highest among all candidates. The algorithms we consider are designed so that...