Risk allocation under liquidity constraints

Abstract Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity policy, a financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under liquidity constraints is not straightforward, since the presence of a liquidity policy leads to externalities. We argue that the standard worst case approach should not be used here and present an alternative definition. We show that the resulting class of transferable utility games coincides with the class of totally balanced games. It follows from our results that also when taking liquidity considerations into account there is always a stable way to allocate risk

Game-theoretic Resource Allocation Methods for Device-to-Device (D2D) Communication

Device-to-device (D2D) communication underlaying cellular networks allows mobile devices such as smartphones and tablets to use the licensed spectrum allocated to cellular services for direct peer-to-peer transmission. D2D communication can use either one-hop transmission (i.e., in D2D direct communication) or multi-hop cluster-based transmission (i.e., in D2D local area networks). The D2D devices can compete or cooperate with each other to reuse the radio resources in D2D networks. Therefore, resource allocation and access for D2D communication can be treated as games. The theories behind these games provide a variety of mathematical tools to effectively model and analyze the individual or group behaviors of D2D users. In addition, game models can provide distributed solutions to the resource allocation problems for D2D communication. The aim of this article is to demonstrate the applications of game-theoretic models to study the radio resource allocation issues in D2D communication. The article also outlines several key open research directions.Comment: Accepted. IEEE Wireless Comms Mag. 201

Applications of Negotiation Theory to Water Issues

The purpose of the paper is to review the applications of non-cooperative bargaining theory to water related issues – which fall in the category of formal models of negotiation. The ultimate aim is that to, on the one hand, identify the conditions under which agreements are likely to emerge, and their characteristics; and, on the other hand, to support policy makers in devising the “rules of the game” that could help obtain a desired result. Despite the fact that allocation of natural resources, especially of trans-boundary nature, has all the characteristics of a negotiation problem, there are not many applications of formal negotiation theory to the issue. Therefore, this paper first discusses the non-cooperative bargaining models applied to water allocation problems found in the literature. Particular attention will be given to those directly modelling the process of negotiation, although some attempts at finding strategies to maintain the efficient allocation solution will also be illustrated. In addition, this paper will focus on Negotiation Support Systems (NSS), developed to support the process of negotiation. This field of research is still relatively new, however, and NSS have not yet found much use in real life negotiation. The paper will conclude by highlighting the key remaining gaps in the literature.Negotiation theory, Water, Agreeements, Stochasticity, Stakeholders

Enhancing cooperation in wireless networks using different concepts of game theory

PhDOptimizing radio resource within a network and across cooperating heterogeneous networks is the focus of this thesis. Cooperation in a multi-network environment is tackled by investigating network selection mechanisms. These play an important role in ensuring quality of service for users in a multi-network environment. Churning of mobile users from one service provider to another is already common when people change contracts and in a heterogeneous communication environment, where mobile users have freedom to choose the best wireless service-real time selection is expected to become common feature. This real time selection impacts both the technical and the economic aspects of wireless network operations. Next generation wireless networks will enable a dynamic environment whereby the nodes of the same or even different network operator can interact and cooperate to improve their performance. Cooperation has emerged as a novel communication paradigm that can yield tremendous performance gains from the physical layer all the way up to the application layer. Game theory and in particular coalitional game theory is a highly suited mathematical tool for modelling cooperation between wireless networks and is investigated in this thesis. In this thesis, the churning behaviour of wireless service users is modelled by using evolutionary game theory in the context of WLAN access points and WiMAX networks. This approach illustrates how to improve the user perceived QoS in heterogeneous networks using a two-layered optimization. The top layer views the problem of prediction of the network that would be chosen by a user where the criteria are offered bit rate, price, mobility support and reputation. At the second level, conditional on the strategies chosen by the users, the network provider hypothetically, reconfigures the network, subject to the network constraints of bandwidth and acceptable SNR and optimizes the network coverage to support users who would otherwise not be serviced adequately. This forms an iterative cycle until a solution that optimizes the user satisfaction subject to the adjustments that the network provider can make to mitigate the binding constraints, is found and applied to the real network. The evolutionary equilibrium, which is used to 3 compute the average number of users choosing each wireless service, is taken as the solution. This thesis also proposes a fair and practical cooperation framework in which the base stations belonging to the same network provider cooperate, to serve each other‘s customers. How this cooperation can potentially increase their aggregate payoffs through efficient utilization of resources is shown for the case of dynamic frequency allocation. This cooperation framework needs to intelligently determine the cooperating partner and provide a rational basis for sharing aggregate payoff between the cooperative partners for the stability of the coalition. The optimum cooperation strategy, which involves the allocations of the channels to mobile customers, can be obtained as solutions of linear programming optimizations

Cooperative game theory and its application to natural, environmental, and water resource issues : 2. application to natural and environmental resources

This paper provides a review of various applications of cooperative game theory (CGT) to issues of natural and environmental resources. With an increase in the level of competition over environmental and natural resources, the incidents of disputes have been at the center of allocation agreements. The paper reviews the cases of common pool resources such as fisheries and forests, and cases of environmental pollution such as acid rain, flow, and stock pollution. In addition to providing examples of cooperative solutions to allocation problems, the conclusion from this review suggests that cooperation over scarce environmental and natural resources is possible under a variety of physical conditions and institutional arrangements. CGT applications to international fishery disputes are especially useful in that they have been making headway in policy-related agreements among states and regions of the world. Forest applications are more local in nature, but of great relevance in solving disputes among communities and various levels of governments.Environmental Economics&Policies,Fisheries&Aquaculture,Common Property Resource Development,Economic Theory&Research,Ecosystems and Natural Habitats

Risk allocation under liquidity constraints

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity policy, a financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under liquidity constraints is not straight-forward, since the presence of a liquidity policy leads to externalities. We argue that the standard worst case approach should not be used here and present an alternative definition. We show that the resulting class of transferable utility games coincides with the class of totally balanced games. It follows from our results that also when taking liquidity considerations into account there is always a stable way to allocat

Applications of negotiation theory to water issues

The authors review the applications of noncooperative bargaining theory to waterrelated issues-which fall in the category of formal models of negotiation. They aim to identify the conditions under which agreements are likely to emerge and their characteristics, to support policymakers in devising the"rules of the game"that could help obtain a desired result. Despite the fact that allocation of natural resources, especially trans-boundary allocation, has all the characteristics of a negotiation problem, there are not many applications of formal negotiation theory to the issue. Therefore, the authors first discuss the noncooperative bargaining models applied to water allocation problems found in the literature. Key findings include the important role noncooperative negotiations can play in cases where binding agreements cannot be signed; the value added of politically and socially acceptable compromises; and the need for a negotiated model that considers incomplete information over the negotiated resource.Water Supply and Sanitation Governance and Institutions,Town Water Supply and Sanitation,Water and Industry,Environmental Economics&Policies,Water Conservation

Applications of negotiation theory to water issues

The purpose of the paper is to review the applications of non-cooperative bargaining theory to water related issues – which fall in the category of formal models of negotiation. The ultimate aim is that of, on the one hand, identify the conditions under which agreements are likely to emerge, and their characteristics; and, on the other hand, to support policy makers in devising the “rules of the game” that could help obtain a desired result. Despite the fact that allocation of natural resources, especially of trans-boundary nature, has all the characteristics of a negotiation problem, there are not many applications of formal negotiation theory to the issue. Therefore, this paper first discusses the noncooperative bargaining models applied to water allocation problems found in the literature. Particular attention will be given to those directly modelling the process of negotiation, although some attempts at finding strategies to maintain the efficient allocation solution will also be illustrated. In addition, this paper will focus on Negotiation Support Systems (NSS), developed to support the process of negotiation. This field of research is still relatively new, however, and NSS have not yet found much use in real life negotiation. The paper will conclude by highlighting the key remaining gaps in the literature.Negotiation theory, Bragaining, Coalitions, Fairness, Agreements