This paper studies the effects of altruism and spitefulness in a two-sided market in which agents behave strategically and trade according to the ShapleyShubik mechanism. By assuming that altruistic agents have concerns for others on the opposite side of the market, it shows that agents always find advantageous to trade. However, they prefer to stay out of the market and consume their endowment...

Sculptured surfaces are usually machined to their final shapes by a series of rough and finish passes. After each pass, excess material may be left at some concave or C1 discontinuous areas. Traditionally these undercut areas are “cleaned up” by repeatedly machining the whole surface with progressively smaller cutting tools. We present an algorithm for automatically identifying areas with exces...

A discrete-time financial market model is considered with a sequence of investors whose preferences are described by concave strictly increasing functions defined on the positive axis. Under suitable conditions we show that, whenever their absolute risk-aversion tends to infinity, the respective utility indifference prices of a given bounded contingent claim converge to the superreplication price.

The concept of the gamma of a …nanced return as the highest level of stress that a return distribution can withstand is introduced. Stress is measured by positive expectation under a concave distortion of the return distribution accessed. Four distortions introduced in Cherny and Madan (2008) are employed in studying the distribution of returns available in the hedge fund universe. It is shown ...

Abstract. The aim of this paper is to represent given sets of concave functions by Radon probability measures. We define sets Kp (for p ∈ [1,∞]) of concave functions from the spaces L((0, 1)) having some additional properties. These sets of functions are convex and compact so that Choquet’s theorem can be used to obtain existence of representing measures. Uniqueness is examined on a case-by-cas...

Consumption is commonly used as a proxy for permanent income. We go a step further by establishing the link between the distribution of consumption and that of permanent income in terms of dominance orderings. We introduce two new dominance orderings, the Generalized Top Lorenz test and the related affluence ordering. If consumption is a concave function of permanent income, we get an indirect ...

Two s t o c hastic programming decision models are presented. In the rst one, we use probabilistic constraints, and constraints involving conditional expectations further incorporate penalties into the objective. The probabilistic constraint prescribes a lower bound for the probability of simultaneous occurrence of events, the number of which can be innnite in which c a s e s t o c hastic proce...

We prove that a general class of measures, which includes logconcave measures, is 1 n -concave according to the terminology of Borell, with additional assumptions on the measures or on the sets, such as symmetries. This generalizes results of Gardner and Zvavitch [8].

This paper considers leisure externalities in a Lucas (1988) type model in which physical and human capital are necessary inputs in both sectors. In spite of a non-concave utility, the balanced growth path is always unique in our model which guarantees global stability for comparative-static exercises. We analyze and quantify the effects of preferences toward leisure on labor supply and welfare...

The efficient set of a linear multicriteria programming problem can be represented by a ’reverse convex constraint’ of the form g(z) ≤ 0, where g is a concave function. Consequently, the problem of optimizing some real function over the efficient set belongs to an important problem class of global optimization called reverse convex programming. Since the concave function used in the literature ...