This research examines the computational complexity of two boundedly rational choice models that use multiple rationales to explain observed choice behavior. First, we show that the notion of rationalizability by K rationales as introduced by Kalai, Rubinstein, and Spiegler (2002) is NP-complete...

We consider a setting where a coalition of individuals chooses one or several alternatives from each set in a collection of choice sets. We examine the computational complexity of Pareto rationalizability. Pareto rationalizability requires that we can endow each individual in the coalition with...

This paper addresses the joint calibration problem of SPX options and VIX options or futures. We show that the problem can be formulated as a semimartingale optimal transport problem under a finite number of discrete constraints, in the spirit of [arXiv:1906.06478]. We introduce a PDE...

Distributionally robust optimization (DRO) has arose as an important paradigm to address the issue of distributional ambiguity in decision optimization. In its standard form, DRO seeks an optimal solution against the worst-possible expected value evaluated based on a set of candidate...

The main contents of this paper is two-fold. First, we present a method to approximate multivariate convex functions by piecewise linear upper and lower bounds. We consider a method that is based on function evaluations only. However, to use this method, the data have to be convex....

This paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to...

In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting. Instead of the classical constraints on marginal distributions, we consider a general framework of path dependent constraints. Duality results are established, representing the...

This is a preliminary draft of the manuscript of my textbook "Optimal Transport Methods in Economics" (to appear), based on lectures given at MIT in Spring 2015. The present preprint version is circulated to invite comments by readers

We give sufficient conditions under which a policy that assigns customers to the Fastest Available Server, labelled FAS, is optimal among non-idling policies in queuing models with multiple independent Markov-modulated Poisson arrival processes and heterogeneous parallel exponential servers with...

Recent periods of high and volatile food prices have prompted several import-dependent Arab micro-states to consider at least some domestic production, among other proposals, as a way of mitigating extremely volatile food prices, which even in rich micro-states can have adverse health and...