Related papers: Risk Minimization and Optimal Derivative Design in…
We consider Incentive Decision Processes, where a principal seeks to reduce its costs due to another agent's behavior, by offering incentives to the agent for alternate behavior. We focus on the case where a principal interacts with a…
A framework for risk-averse optimization problems is introduced that is resilient to ambiguities in the true form of the underlying probability distribution. The focus is on problems with partial differential equations (PDEs) as…
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant…
Firms increasingly delegate decisions to learning algorithms in platform markets. Standard algorithms perform well when platform policies are stationary, but firms often face ambiguity about whether policies are stationary or adapt…
A principal and an agent can launch a project under unanimous consent. Their individual payoffs from the project depend on an underlying state, and the agent privately knows his own preference. The principal can conduct a test to learn…
This paper studies a life-cycle optimal portfolio-consumption problem when the consumption performance is measured by a shortfall aversion preference with an additional drawdown constraint on consumption rate. Meanwhile, the agent also…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
Modern AI systems increasingly operate inside markets and institutions where data, behavior, and incentives are endogenous. This paper develops an economic foundation for multi-agent learning by studying a principal-agent interaction in a…
I provide a sufficient condition under which a principal does not benefit from committing to a mechanism in economic models represented by a maximisation problem under constraints. These problems include mechanism design, principal-agent…
We consider the principal-agent problem with heterogeneous agents. Previous works assume that the principal signs independent incentive contracts with every agent to make them invest more efforts on the tasks. However, in many…
We introduce a novel model of contracts with combinatorial actions that accounts for sequential and adaptive agent behavior. As in the standard model, a principal delegates the execution of a costly project to an agent. There are $n$…
When an Agent visits a platform recommending a menu of content to select from, their choice of item depends not only on fixed preferences, but also on their prior engagements with the platform. The Recommender's primary objective is…
We study the problem of a principal who wants to influence an agent's observable action, subject to an ex-post budget. The agent has a private type determining their cost function. This paper endogenizes the value of the resource driving…
We study a sequential mechanism design problem in which a principal seeks to elicit truthful reports from multiple rational agents while starting with no prior knowledge of agents' beliefs. We introduce Distributionally Robust Adaptive…
This paper proposes a method to design an optimal dynamic contract between a principal and an agent, who has the authority to control both the principal's revenue and an engineered system. The key characteristic of our problem setting is…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
We consider reallocation problems in settings where the initial endowment of each agent consists of a subset of the resources. The private information of the players is their value for every possible subset of the resources. The goal is to…
A principal provides nondiscriminatory incentives for independent and identical agents. The principal cannot observe the agents' actions, nor does she know the entire set of actions available to them. It is shown, very generally, that any…
A monopolist sells goods with possibly a characteristic consumers dislike (for instance, he sells random goods to risk averse agents), which does not affect the production costs. We investigate the question whether using undesirable goods…
We present a method for finding optimal hedging policies for arbitrary initial portfolios and market states. We develop a novel actor-critic algorithm for solving general risk-averse stochastic control problems and use it to learn hedging…