This note analyzes in a fishery management problem the effects of relaxing one of the usual assumptions in the literature of dynamic games. Specifically, the assumption that players restrict to strategies that stabilize the system. Previous works in the literature have shown that feedback Nash...

A random intersection graph is constructed by independently assigning each vertex a subset of a given set and drawing an edge between two vertices if and only if their respective subsets intersect. In this paper a model is developed in which each vertex is given a random weight, and vertices...

This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. It shows that, despite claims made in the literature, the method used to derive an analytical solution in one dimensional problems cannot be straightforwardly extended to problems with two...

We consider a common-pool renewable resource differential game. We show that within this dynamic oligopolistic framework, free trade may lead to a lower discounted sum of consumer surplus and of social welfare than autarky. Trade restrictions may be supported based on both resource conservation...

In this article we address the problem of finding feedback Nash equilibria for linear quadratic differential games defined on descriptor systems. First, we decouple the dynamic and algebraic parts of a descriptor system using canonical projectors. We discuss the effects of feedback on the...

This paper studies the pros and cons of a monetary union for the ASEAN1 countries, excluding Myanmar. We estimate a stylized open-economy dynamic general equilibrium model for the ASEAN countries. Using the framework of linear quadratic differential games, we contrast the potential gains or...

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in lexicographical sense. The excess of a set of portfolios is defined as the expected loss...

We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on...

The L1-median is a robust estimator of multivariate location with good statistical properties. Several algorithms for computing the L1-median are available. Problem specific algorithms can be used, but also general optimization routines. The aim is to compare different algorithms with respect to...

This paper considers a class of optimal control problems that allows jumps in the state variable. We present the necessary optimality conditions of the Impulse Control Maximum Principle based on the current value formulation. By reviewing the existing impulse control models in the literature, we...