Related papers: Moral Hazard in Dynamic Risk Management
In optimization problems, the quality of a candidate solution can be characterized by the optimality gap. For most stochastic optimization problems, this gap must be statistically estimated. We show that for risk-averse problems, standard…
Real-world contracts are often ambiguous. While recent work by D\"utting, Feldman, Peretz, and Samuelson (EC 2023, Econometrica 2024) demonstrates that ambiguous contracts can yield large gains for the principal, their optimal solutions…
We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estimated by fitting a parametric distribution on a finite sample…
Adding a capacity constraint to a hidden-action principal-agent problem results in the same set of Pareto optimal contracts as the unconstrained problem where output is scaled down by a constant factor. This scaling factor is increasing in…
We study a natural application of contract design in the context of sequential exploration problems. In our principal-agent setting, a search task is delegated to an agent. The agent performs a sequential exploration of $n$ boxes, suffers…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
In this study we analyze linear mixed-integer programming problems, in which the distribution of the cost vector is only observable through a finite training data set. In contrast to the related studies, we assume that the number of random…
On information security outsourcing market, an important reason that firms do not want to let outside firms(usually called MSSPs-Managed Security Service Providers) to take care of their security need is that they worry about service…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
We study delegated Bayesian persuasion: a principal incentivizes an intermediary to design information via outcome-contingent transfers, while the intermediary privately chooses the experiment subject to convex costs. We characterize…
We consider a principal agent project selection problem with asymmetric information. There are $N$ projects and the principal must select exactly one of them. Each project provides some profit to the principal and some payoff to the agent…
We consider the life-cycle optimal portfolio choice problem faced by an agent receiving labor income and allocating her wealth to risky assets and a riskless bond subject to a borrowing constraint. In this paper, to reflect a realistic…
We propose a methodology that exploits the contract formalism to characterize the continuous-time safety control problem, which is often difficult to address, in terms of a discrete-time one, for which numerous efficient solution scheme…
In risk-sharing markets with aggregate uncertainty, characterizing Pareto-optimal allocations when agents might not be risk averse is a challenging task, and the literature has only provided limited explicit results thus far. In particular,…
We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk measures is often studied through the lens of…
The safe linear bandit problem is a version of the classical stochastic linear bandit problem where the learner's actions must satisfy an uncertain constraint at all rounds. Due its applicability to many real-world settings, this problem…
This paper is devoted to study the effects arising from imposing a value-at-risk (VaR) constraint in mean-variance portfolio selection problem for an investor who receives a stochastic cash flow which he/she must then invest in a…
I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference…
A fundamental problem in revenue management is to optimally choose the attributes of products, such that the total profit or revenue or market share is maximized. Usually, these attributes can affect both a product's market share…