Výsledky vyhledávání - "ALVAREZ, GUILLERMO A."

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Neural Operators Can Play Dynamic Stackelberg Games

Autor: Alvarez, Guillermo, Ekren, Ibrahim, Kratsios, Anastasis, Yang, Xuwei

Dynamic Stackelberg games are a broad class of two-player games in which the leader acts first, and the follower chooses a response strategy to the leader's strategy. Unfortunately, only stylized Stackelberg games are explicitly solvable since the fo

Externí odkaz: http://arxiv.org/abs/2411.09644

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Sequential optimal contracting in continuous time

Autor: Alvarez, Guillermo Alonso, Bayraktar, Erhan, Ekren, Ibrahim, Huang, Liwei

In this paper we study a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero sum Stackelberg game between the principal and agent to a standard stochasti

Externí odkaz: http://arxiv.org/abs/2411.04262

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Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal

Autor: Alvarez, Guillermo Alonso, Nadtochiy, Sergey

In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry. The method we illustrate was initially motivated by the problem of designing optimal brokerage fee

Externí odkaz: http://arxiv.org/abs/2307.07010

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Optimal brokerage contracts in Almgren-Chriss model with multiple clients

Autor: Alvarez, Guillermo Alonso, Nadtochiy, Sergey, Webster, Kevin

This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features of this work are as follows: (i) the reservation values of the client

Externí odkaz: http://arxiv.org/abs/2204.05403

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