Stochastic Game Theoretic Formulation for a Multi-Period DC Pension Plan with State-Dependent Risk Aversion

Comparative Risk Aversion for State-Dependent Preferences

Coordinating a decentralized supply chain with a stochastic demand using quantity flexibility contract: a game-theoretic approach

  Supply chain includes two or more parties linked by flow of goods, information, and funds. In a decentralized system, supply chain members make decision regardless of their decision's effects on the performance of the other members and the entire supply chain. This is the key issue in supply chain management, that the mechanism should be developed in which different objectives should be align...

Optimal pension fund management under multi-period risk minimization

In this paper, a multi-period stochastic optimization model for solving a problem of optimal selection of a pension fund by a pension plan member is presented. In our model, a member of the pension plan is given a possibility to switch periodically between m types of the funds with different risk profile and so actively manage her risk exposure and expected return. Minimization the multi-period...

A Generative Game-Theoretic Framework for Adversarial Plan Recognition

Adversarial reasoning is of the first importance for defence and security applications since it allows to (1) better anticipate future threats, and (2) be proactive in deploying effective responses. In this paper, we address the two subtasks of adversarial reasoning, namely adversarial plan recognition and strategy formulation, from a generative, game-theoretic perspective. First, a set of poss...

Multi-Period Bargaining: Asymmetric Information and Risk Aversion

A two period bargaining model with asymmetric information is considered. An uninformed seller charges a uniform price to two buyers. A risk averse seller offers a larger price cut in period two when one buyer remains in the market than when two buyers remain. The price in period one is sensitive to the number of buyers and the seller’s degree of risk aversion. The initial price charged to a sin...