We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see ...

Incomplete markets and non-default borrowing constraints increase the volatility of pricing kernels and are helpful when addressing assetpricing puzzles. However, ruling out default when markets are in complete is suboptimal. ...

In infinite horizon financial markets economies, competitive equilibria fail to exist if one does not impose restrictions on agents' trades that rule out Ponzi schemes. When there is limited commitment and collateral ...

The division problem under constraints consists of allocating a given amount of an homogeneous and perfectly divisible good among a subset of agents with single-peaked preferences on an exogenously given interval of feasible ...

SignificanceEnergetic constraints of flight and thermoregulation have long been thought to explain why most bat species are small and live predominantly in warm latitudes. We use physical models to investigate how body ...

In this paper we address the problem of optimal dividend payout strategies from a surplus process governed by Brownian motion with drift under a drawdown constraint, i.e. the dividend rate can never decrease below a given ...