268 research outputs found
Risk Minimization and Optimal Derivative Design in a Principal Agent Game
We consider the problem of Adverse Selection and optimal derivative design
within a Principal-Agent framework. The principal's income is exposed to
non-hedgeable risk factors arising, for instance, from weather or climate
phenomena. She evaluates her risk using a coherent and law invariant risk
measure and tries minimize her exposure by selling derivative securities on her
income to individual agents. The agents have mean-variance preferences with
heterogeneous risk aversion coefficients. An agent's degree of risk aversion is
private information and hidden to the principal who only knows the overall
distribution. We show that the principal's risk minimization problem has a
solution and illustrate the effects of risk transfer on her income by means of
two specific examples. Our model extends earlier work of Barrieu and El Karoui
(2005) and Carlier, Ekeland and Touzi (2007).Comment: 28 pages, 4 figure
Ekeland-type variational principle with applications to nonconvex minimization and equilibrium problems
The aim of the present paper is to establish a variational principle in metric spaces without assumption of completeness when the involved function is not lower semicontinuous. As consequences, we derive many fixed point results, nonconvex minimization theorem, a nonconvex minimax theorem, a nonconvex equilibrium theorem in noncomplete metric spaces. Examples are also given to illustrate and to show that obtained results are proper generalizations
Pareto efficiency for the concave order and multivariate comonotonicity
In this paper, we focus on efficient risk-sharing rules for the concave
dominance order. For a univariate risk, it follows from a comonotone dominance
principle, due to Landsberger and Meilijson [25], that efficiency is
characterized by a comonotonicity condition. The goal of this paper is to
generalize the comonotone dominance principle as well as the equivalence
between efficiency and comonotonicity to the multi-dimensional case. The
multivariate setting is more involved (in particular because there is no
immediate extension of the notion of comonotonicity) and we address it using
techniques from convex duality and optimal transportation
Variational Principles for Set-Valued Mappings with Applications to Multiobjective Optimization
This paper primarily concerns the study of general classes of constrained multiobjective optimization problems (including those described via set-valued and vector-valued cost mappings) from the viewpoint of modern variational analysis and generalized differentiation. To proceed, we first establish two variational principles for set-valued mappings, which~being certainly of independent interest are mainly motivated by applications to multiobjective optimization problems considered in this paper. The first variational principle is a set-valued counterpart of the seminal derivative-free Ekeland variational principle, while the second one is a set-valued extension of the subdifferential principle by Mordukhovich and Wang formulated via an appropriate subdifferential notion for set-valued mappings with values in partially ordered spaces. Based on these variational principles and corresponding tools of generalized differentiation, we derive new conditions of the coercivity and Palais-Smale types ensuring the existence of optimal solutions to set-valued optimization problems with noncompact feasible sets in infinite dimensions and then obtain necessary optimality and suboptimality conditions for nonsmooth multiobjective optmization problems with general constraints, which are new in both finite-dimensional and infinite-dimensional settings
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