Related papers: On Bidding with Securities: Risk Aversion and Posi…
Conventionally, random forests are built from "greedy" decision trees which each consider only one split at a time during their construction. The sub-optimality of greedy implementation has been well-known, yet mainstream adoption of more…
In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…
We study actual bidding behavior when a new auction format gets introduced into the marketplace. More specifically, we investigate this question using a novel dataset on internet display advertising auctions that exploits a staggered…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
Online A/B testing, the gold standard for evaluating new advertising policies, consumes substantial engineering resources and risks significant revenue loss from deploying underperforming variations. This motivates the use of Off-Policy…
We study procurement design when the buyer is uncertain about both the value of the good and the seller's cost. The buyer has a conjectured model but does not fully trust it. She first identifies mechanisms that maximize her worst-case…
We provide the first direct test of how the credibility of an auction format affects bidding behavior and final outcomes. To do so, we conduct a series of laboratory experiments where the role of the seller is played by a human subject who…
We deal with coalitional games possessing strictly positive values. Individually rational allocations of such a game has clear fractional interpretations. Many concepts, including the long-existing core and other stability notions more…
In many first-price auctions, bidders face considerable strategic uncertainty: They cannot perfectly anticipate the other bidders' bidding behavior. We propose a model in which bidders do not know the entire distribution of opponent bids…
This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about…
Consider a seller with m heterogeneous items for sale to a single additive buyer whose values for the items are arbitrarily correlated. It was previously shown that, in such settings, distributions exist for which the seller's optimal…
Inertia and context-dependent choice effects are well-studied classes of behavioural phenomena. While much is known about these effects in isolation, little is known about whether one of them "dominates" the other when both can potentially…
A decision maker starts from a judgmental decision and moves to the closest boundary of the confidence interval. This statistical decision rule is admissible and does not perform worse than the judgmental decision with a probability equal…
Consider a seller that intends to auction some item. The seller can invest money and effort in advertising in different market segments in order to recruit $n$ bidders to the auction. Alternatively, the seller can have a much cheaper and…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
The standard framework of online bidding algorithm design assumes that the seller commits himself to faithfully implementing the rules of the adopted auction. However, the seller may attempt to cheat in execution to increase his revenue if…
We provide conditions for the stochastic dominance comparisons of a risk $X$ and an associated risk $X+Z$, where $Z$ represents the uncertainty due to the environment and where $X$ and $Z$ can be dependent. The comparisons depend on both…
While auction theory views bids and valuations as continuous variables, real-world auctions are necessarily discrete. In this paper, we use a combination of analytical and computational methods to investigate whether incorporating…
With the increasing use of auctions in online advertising, there has been a large effort to study seller revenue maximization, following Myerson's seminal work, both theoretically and practically. We take the point of view of the buyer in…
The construction of an efficient portfolio with a good level of return and minimal risk depends on selecting the optimal combination of stocks. This paper introduces a novel decision-making framework for stock selection based on fractional…