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Duality in Procurement Design     Duality  Procurement Design       2015/9/23
Finding an optimal mechanism in a standard adverse selection model is equivalent to solving an infinite dimensional linear program. We begin with certain feasible mechanisms— those implemented by auct...
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a shadow price, i.e., a least favorable frictionless market extension leading to the same opti...
We provide a dual representation of quasiconvex conditional risk measures $% \rho $ defined on $L^{0}$ modules of the $L^{p}$ type. This is a consequence of more general result which extend the usual ...
We prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered aremarkets with proportional transaction costs and the illiquid mar...
We revisit the problem of maximizing expected logarithmic utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in the seminal p...
We study the stochastic control problem of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked poin...
This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies ma...
Is CEO/Chair Duality Associated with Greater Likelihood of an International Acquisition?
We propose an approach to the aggregation of risks which is based on estimation of simple quantities (such as covariances) associated to a vector of dependent random variables, and which avoids the us...

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