We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral risk constraints. Since the conditional value at risk (CVaR) is a special case of the spectral risk measure, our algorithm solves portfolio selection problems with...

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism used in stock markets. Both buyers and sellers are...

We explore the manner in which the structure of a social network constrains the level of inequality that can be sustained among its members, based on the following considerations: (i) any distribution of value must be stable with respect to coalitional deviations, and (ii) the network structure...