Related papers: Robust Quantitative Comparative Statics for a Mult…
In sorting literature, comparative statics for multidimensional assignment models with general output functions and input distributions is an important open question. We provide a complete theory of comparative statics for technological…
I study symmetric competitions in which each player chooses an arbitrary distribution over a one-dimensional performance index, subject to a convex cost. I establish existence of a symmetric equilibrium, document various properties it must…
We study Cournot competition among firms in a networked marketplace that is centrally managed by a market maker. In particular, we study a situation in which a market maker facilitates trade between geographically separate markets via a…
We study competitive equilibria in the classic Shapley-Shubik assignment model with indivisible goods and unit-demand buyers, with budget constraints: buyers can specify a maximum price they are willing to pay for each item, beyond which…
Market power behaviour often occurs in modern wholesale electricity markets. Mixed Complementarity Problems (MCPs) have been typically used for computational modelling of market power when it is characterised by an oligopoly with…
In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive market. The dealers' trading intensities, their optimal bid…
We study N-player finite games with costs perturbed due to time-varying disturbances in the underlying system and to that end, we propose the concept of Robust Correlated Equilibrium that generalizes the definition of Correlated…
This paper proposes a strategic model of pollution control. A firm, representative of the productive sector of a country, aims at maximizing its profits by expanding its production. Assuming that the output of production is proportional to…
We study monopoly regulation under asymmetric information about costs when subsidies are infeasible. A monopolist with privately known marginal cost serves a single product market and sets a price. The regulator maximizes a weighted welfare…
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of…
Despite having the same basic prophet inequality setup and model of loss aversion, conclusions in our multi-dimensional model differs considerably from the one-dimensional model of Kleinberg et al. For example, Kleinberg et al. gives a…
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of stochastic maximum principle, we establish verification…
This work is concerned with the dynamics of online cultural markets, namely, attention allocation of many users on a set of digital goods with infinite supply. Such dynamic is important in shaping processes and outcomes in society, from…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
We study the performance of general dynamic matching models. This model is defined by a connected graph, where nodes represent the class of items and the edges the compatibilities between items. Items of different classes arrive one by one…
Personalized pricing is a business strategy to charge different prices to individual consumers based on their characteristics and behaviors. It has become common practice in many industries nowadays due to the availability of a growing…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…
In this paper, we consider microgrids that interconnect prosumers with distributed energy resources and dynamic loads. Prosumers are connected through the microgrid to trade energy and gain profit while respecting the network constraints.…
Since 2016 the operation of insurance companies in the European Union is regulated by the Solvency II directive. According to the EU directive the capital requirement should be calculated as a 99.5\% of Value at Risk. In this study, we…