Related papers: Risk Minimization and Optimal Derivative Design in…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
In this paper we consider a principal agent problem where the agent is allowed to quit, by incurring a cost. When the current agent quits the job, the principal will hire a new one, possibly with a different type. We characterize the…
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a…
We study a setting in which a principal selects an agent to execute a collection of tasks according to a specified priority sequence. Agents, however, have their own individual priority sequences according to which they wish to execute the…
In this paper, we consider a risk-averse decision problem for controlled-diffusion processes, with dynamic risk measures, in which multiple risk-averse agents choose their decisions in such a way to minimize their individual accumulated…
This paper characterises optimal incentive schemes for ESG disclosure in a continuous-time principal-agent setting. We model a risk-averse principal (e.g., a platform or standard-setter) contracting with a team of heterogeneous agents whose…
We study a robust contract design problem with deferred inspection, in which a principal allocates a scarce resource to an agent, observes the agent's realized outcome ex post at negligible cost, and conditions transfers on this information…
Auctions in which agents' payoffs are random variables have received increased attention in recent years. In particular, recent work in algorithmic mechanism design has produced mechanisms employing internal randomization, partly in…
We study principal-agent problems where a farsighted agent takes costly actions in an MDP. The core challenge in these settings is that agent's actions are hidden to the principal, who can only observe their outcomes, namely state…
We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preferences. The planner's objective is a two-stage utility functional…
We consider a principal agent project selection problem with asymmetric information. There are $N$ projects and the principal must select exactly one of them. Each project provides some profit to the principal and some payoff to the agent…
Fairness is desirable yet challenging to achieve within multi-agent systems, especially when agents differ in latent traits that affect their abilities. This hidden heterogeneity often leads to unequal distributions of wealth, even when…
We consider a counter-adversarial sequential decision-making problem where an agent computes its private belief (posterior distribution) of the current state of the world, by filtering private information. According to its private belief,…
Principal-agent problems arise when one party acts on behalf of another, leading to conflicts of interest. The economic literature has extensively studied principal-agent problems, and recent work has extended this to more complex scenarios…
We introduce and study a computational version of the principal-agent problem -- a classic problem in Economics that arises when a principal desires to contract an agent to carry out some task, but has incomplete information about the agent…
We consider the problem of estimating the possibly non-convex cost of an agent by observing its interactions with a nonlinear, non-stationary and stochastic environment. For this inverse problem, we give a result that allows to estimate the…
A principal must decide between two options. Which one she prefers depends on the private information of two agents. One agent always prefers the first option; the other always prefers the second. Transfers are infeasible. One application…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
We consider a discrete-time dividend payout problem with risk sensitive shareholders. It is assumed that they are equipped with a risk aversion coefficient and construct their discounted payoff with the help of the exponential premium…
We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage…