Related papers: Risk Minimization and Optimal Derivative Design in…

Autonomous agents optimize the reward function we give them. What they don't know is how hard it is for us to design a reward function that actually captures what we want. When designing the reward, we might think of some specific training…

The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and…

A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…

Principal agent games are a growing area of research which focuses on the optimal behaviour of a principal and an agent, with the former contracting work from the latter, in return for providing a monetary award. While this field…

We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…

We examine hypothesis testing within a principal-agent framework, where a strategic agent, holding private beliefs about the effectiveness of a product, submits data to a principal who decides on approval. The principal employs a hypothesis…

We state the problem of inverse reinforcement learning in terms of preference elicitation, resulting in a principled (Bayesian) statistical formulation. This generalises previous work on Bayesian inverse reinforcement learning and allows us…

We analyze a model of selling a single object to a principal-agent pair who want to acquire the object for a firm. The principal and the agent have different assessments of the object's value to the firm. The agent is budget-constrained…

What is the purpose of pre-analysis plans, and how should they be designed? We model the interaction between an agent who analyzes data and a principal who makes a decision based on agent reports. The agent could be the manufacturer of a…

The fundamental principle in Modern Portfolio Theory (MPT) is based on the quantification of the portfolio's risk related to performance. Although MPT has made huge impacts on the investment world and prompted the success and prevalence of…

We study optimal contract design for large populations of heterogeneous agents whose actions generate network spillovers represented by an interaction function. In a linear-quadratic framework, we solve the finite-agent problem and its…

In this paper, we consider the problem of a Principal aiming at designing a reward function for a population of heterogeneous agents. We construct an incentive based on the ranking of the agents, so that a competition among the latter is…

We study a Bayesian persuasion problem with externalities. In this model, a principal sends signals to inform multiple agents about the state of the world. Simultaneously, due to the existence of externalities in the agents' utilities, the…

We study a general class of Principal-Agent problems in continuous time under hidden action. By formulating the model as a coupled stochastic optimal control problem we are able to find a set of necessary conditions characterizing optimal…

We consider the problem of linear regression from strategic data sources with a public good component, i.e., when data is provided by strategic agents who seek to minimize an individual provision cost for increasing their data's precision…

We study equilibrium feedback strategies for a family of dynamic mean-variance problems with competition among a large group of agents. We assume that the time horizon is random and each agent's risk aversion depends dynamically on the…

We consider statistical Markov Decision Processes where the decision maker is risk averse against model ambiguity. The latter is given by an unknown parameter which influences the transition law and the cost functions. Risk aversion is…

Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…

We introduce a way to compare actions in decision problems. One action is safer than another if the set of beliefs at which the decision-maker prefers the safer action expands as the decision-maker becomes more risk averse. We provide a…

While the importance of personalized policymaking is widely recognized, fully personalized implementation remains rare in practice, often due to legal, fairness or cost concerns. We study the problem of policy targeting for a regret-averse…