Related papers: Robust Mechanisms for Risk-Averse Sellers
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…
Optimal mechanism design enjoys a beautiful and well-developed theory, and also a number of killer applications. Rules of thumb produced by the field influence everything from how governments sell wireless spectrum licenses to how the major…
We consider an outsourcing problem where a software agent procures multiple services from providers with uncertain reliabilities to complete a computational task before a strict deadline. The service consumer requires a procurement strategy…
We study the problem of a buyer (aka auctioneer) who gains stochastic rewards by procuring multiple units of a service or item from a pool of heterogeneous strategic agents. The reward obtained for a single unit from an allocated agent…
Since economic mechanisms are often applied to very different instances of the same problem, it is desirable to identify mechanisms that work well in a wide range of circumstances. We pursue this goal for a position auction setting and…
Myerson's seminal work provides a computationally efficient revenue-optimal auction for selling one item to multiple bidders. Generalizing this work to selling multiple items at once has been a central question in economics and algorithmic…
We study buyer-optimal procurement mechanisms when quality is contractible. When some costs are borne by every participant of a procurement auction regardless of winning, the classic analysis should be amended. We show that an optimal…
We propose a novel statistical learning method for multi-item auctions that incorporates credible intervals. Our approach employs nonparametric density estimation to estimate credible intervals for bidder types based on historical data. We…
Selling a perfectly divisible item to potential buyers is a fundamental task with apparent applications to pricing communication bandwidth and cloud computing services. Surprisingly, despite the rich literature on single-item auctions,…
We study multi-item profit maximization when there is an underlying distribution over buyers' values. In practice, a full description of the distribution is typically unavailable, so we study the setting where the mechanism designer only…
We consider the classical mathematical economics problem of {\em Bayesian optimal mechanism design} where a principal aims to optimize expected revenue when allocating resources to self-interested agents with preferences drawn from a known…
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…
A hypothetical risk-neutral agent who trades to maximize the expected profit of the next trade will approximately exhibit long-term optimal behavior as long as this agent uses the vector $p = \nabla V (t, x)$ as effective microstructure…
This paper studies multi-unit auctions powered by intermediaries, where each intermediary owns a private set of unit-demand buyers and all intermediaries are networked with each other. Our goal is to incentivize the intermediaries to…
We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…
This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price -- the geometric…
We study the problem of designing posted-price mechanisms in order to sell a single unit of a single item within a finite period of time. Motivated by real-world problems, such as, e.g., long-term rental of rooms and apartments, we assume…
Reserve prices are widely used in practice. The problem of designing revenue-optimal auctions based on reserve price has drawn much attention in the auction design community. Although they have been extensively studied, most developments…
As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…
A seller is selling a pair of divisible complementary goods to an agent. The agent consumes the goods only in a specific ratio and freely disposes of excess in either goods. The value of the bundle and the ratio are private information of…