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math.OC2025
A Characterization of Law-Invariant and Coherent Risk Measures through Optimal Transport
Riccardo Bonalli, Benoît Bonnet-Weill, Laurent Pfeiffer
In this article, we propose a novel characterization of law-invariant and coherent risk measures, based on a generalized optimal transport problem in which the second marginal of t…
math.AP2025
From Nash to Cournot--Nash equilibria via -convergence
João Miguel Machado, Guilherme Mazanti, Laurent Pfeiffer
This work addresses the issue of the convergence of an -player game towards a limit model involving a continuum of players, as the number of agents goes to infinity. More pr…