Related papers: On Bidding with Securities: Risk Aversion and Posi…
I study robust comparative statics for risk-averse subjective expected utility (SEU) maximizers. Starting with a finite menu of actions totally ordered by sensitivity to risk, I identify the transformations of her menu that lead a…
Within the private-values paradigm, we construct a tractable empirical model of equilibrium behavior at first-price auctions when bidders' valuations are potentially dependent, but not necessarily affiliated. We develop a test of…
An indivisible object may be sold to one of $n$ agents who know their valuations of the object. The seller would like to use a revenue-maximizing mechanism but her knowledge of the valuations' distribution is scarce: she knows only the…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
A central problem in Microeconomics is to design auctions with good revenue properties. In this setting, the bidders' valuations for the items are private knowledge, but they are drawn from publicly known prior distributions. The goal is to…
We study the identification and estimation of first-price auction models where bidders have ambiguity about the valuation distribution and their preferences are represented by maxmin expected utility. When entry is exogenous, the…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…
We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that…
Automated bidding, an emerging intelligent decision making paradigm powered by machine learning, has become popular in online advertising. Advertisers in automated bidding evaluate the cumulative utilities and have private financial…
We study sequential procurement auctions where the sellers are provided with a ``best and final offer'' (BAFO) strategy. This strategy allows each seller $i$ to effectively ``freeze'' their price while remaining active in the auction, and…
Consider a predictor who ranks eventualities on the basis of past cases: for instance a search engine ranking webpages given past searches. Resampling past cases leads to different rankings and the extraction of deeper information. Yet a…
We construct prior-free auctions with constant-factor approximation guarantees with ordered bidders, in both unlimited and limited supply settings. We compare the expected revenue of our auctions on a bid vector to the monotone price…
We study how a budget-constrained bidder should learn to adaptively bid in repeated first-price auctions to maximize her cumulative payoff. This problem arose due to an industry-wide shift from second-price auctions to first-price auctions…
Most of the stochastic orders for comparing random variables, considered in the literature, are afflicted with two main drawbacks: (i) lack of connex property and (ii) lack of consideration of any dependence structure between the random…
This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…
This paper presents a method for incorporating risk aversion into existing decision tree models used in economic evaluations. The method involves applying a probability weighting function based on rank dependent utility theory to reduced…
First-price auctions have largely replaced traditional bidding approaches based on Vickrey auctions in programmatic advertising. As far as learning is concerned, first-price auctions are more challenging because the optimal bidding strategy…
Dempster-Shafer theory (D-S theory) is widely used in decision making under the uncertain environment. Ranking basic belief assignments (BBAs) now is an open issue. Existing evidence distance measures cannot rank the BBAs in the situations…
We study auctions whose bidders are embedded in a social or economic network. As a result, even bidders who do not win the auction themselves might derive utility from the auction, namely, when a friend wins. On the other hand, when an…
The Generalized Second Price (GSP) auction used typically to model sponsored search auctions does not include the notion of budget constraints, which is present in practice. Motivated by this, we introduce the different variants of GSP…