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In participatory budgeting (PB), voters decide through voting which subset of projects to fund within a given budget. Proportionality in the context of PB is crucial to ensure equal treatment of all groups of voters. However, pure…
We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and…
Portfolio optimization is a critical area in finance, aiming to maximize returns while minimizing risk. Metaheuristic algorithms were shown to solve complex optimization problems efficiently, with Genetic Algorithms and Particle Swarm…
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which…
The problem of two-sided matching markets has a wide range of real-world applications and has been extensively studied in the literature. A line of recent works have focused on the problem setting where the preferences of one-side market…
Some investors say increasing investors with the same strategy decreasing their profits per an investor. On the other hand, some investors using technical analysis used to use same strategy and parameters with other investors, and say that…
When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks through complex buyback contracts involving option…
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 consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
Active Feature Acquisition is an instance-wise, sequential decision making problem. The aim is to dynamically select which feature to measure based on current observations, independently for each test instance. Common approaches either use…
In this paper, we work in the framework of the Merton problem but we impose a drawdown constraint on the consumption process. This means that consumption can never fall below a fixed proportion of the running maximum of past consumption. In…
Bayesian Optimization (BO) is a framework for black-box optimization that is especially suitable for expensive cost functions. Among the main parts of a BO algorithm, the acquisition function is of fundamental importance, since it guides…
In this paper we examine problems motivated by on-line financial problems and stochastic games. In particular, we consider a sequence of entirely arbitrary distinct values arriving in random order, and must devise strategies for selecting…
We run experimental asset markets to investigate the emergence of excess trading and the occurrence of synchronised trading activity leading to crashes in the artificial markets. The market environment favours early investment in the risky…
An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…
In an online contract selection problem there is a seller which offers a set of contracts to sequentially arriving buyers whose types are drawn from an unknown distribution. If there exists a profitable contract for the buyer in the offered…
We consider the problem of bid prediction in repeated auctions and evaluate the performance of econometric methods for learning agents using a dataset from a mainstream sponsored search auction marketplace. Sponsored search auctions is a…
We study a signaling game between two firms competing to have their product chosen by a principal. The products have qualities drawn i.i.d. from a common prior. The principal aims to choose the better product, but the quality of a product…
It is a common practice in the current literature of electricity markets to use game-theoretic approaches for strategic price bidding. However, they generally rely on the assumption that the strategic bidders have prior knowledge of rival…
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…