In this paper, we develop a convexification tool that enables construction of convex hulls for orthogonal disjunctive sets using convex extensions and disjunctive programming techniques. A distinguishing feature of our technique is that, unlike most applications of disjunctive programming, it...

We consider a two-period exchange economy with a finite set of consumers, states of nature, independent assets and a single consumption good. We prove the existence of competitive equilibrium in incomplete markets, when consumption set is not assumed to be compact, set of assets is linearly...

We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility maximization in incomplete semimartingale-driven financial markets. Unlike in the lower- and upper-hedging problems, and somewhat unexpectedly,...

Linking of repeated games and exchange of concessions in fields of relative strength may lead to more cooperation and to Pareto improvements relative to the situation where each game is played separately. In this paper we formalize these statements, provide some general results concerning the...

A cephoid is a Minkowski sum of finitely many prisms in R^n. We discuss the concept of duality for cephoids. Also, we show that the reference number uniquely defines a face. Based on these results, we exhibit two graphs on the outer surface of a cephoid. The first one corresponds to a maximal...

A cephoid is a Minkowski sum of finitely many prisms in Rⁿ. We discuss the concept of duality for cephoids. Also, we show that the reference number uniquely defines a face. Based on these results, we exhibit two graphs on the outer surface of a cephoid. The first one corresponds to a maximal...

Linking of repeated games and exchange of concessions in fields of relative strength may lead to more cooperation and to Pareto improvements relative to the situation where each game is played separately. In this paper we formalize these statements, provide some general results concerning the...