Related papers: Conditional Analysis and a Principal-Agent problem

We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when…

In this paper, we study a distributed optimization problem for a class of high-order multi-agent systems with unknown dynamics. In comparison with existing results for integrators or linear agents, we need to overcome the difficulties…

We study optimal contract design for large populations of heterogeneous agents whose actions generate network spillovers represented by an interaction function. In a linear-quadratic framework, we solve the finite-agent problem and its…

Time-varying stochastic optimization problems frequently arise in machine learning practice (e.g. gradual domain shift, object tracking, strategic classification). Although most problems are solved in discrete time, the underlying process…

In high-stakes engineering applications, optimization algorithms must come with provable worst-case guarantees over a mathematically defined class of problems. Designing for the worst case, however, inevitably sacrifices performance on the…

In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization…

We present a continuous-time contract whereby a top-level player can incentivize a hierarchy of players below him to act in his best interest despite only observing the output of his direct subordinate. This paper extends Sannikov's…

In this work, we study sequential contracts under matroid constraints. In the sequential setting, an agent can take actions one by one. After each action, the agent observes the stochastic value of the action and then decides which action…

We study hidden-action principal-agent problems with multiple agents. These are problems in which a principal commits to an outcome-dependent payment scheme in order to incentivize some agents to take costly, unobservable actions that lead…

Distributed optimization algorithms are used in a wide variety of problems involving complex network systems where the goal is for a set of agents in the network to solve a network-wide optimization problem via distributed update rules. In…

We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…

This paper derives polynomial-time approximation schemes for several NP-hard stochastic optimization problems from the algorithmic mechanism design and operations research literatures. The problems we consider involve a principal or seller…

We study a general contracting problem between the principal and a finite set of competitive agents, who perform equivalent changes of measure by controlling the drift of the output process and the compensator of its associated jump…

We study the expected utility portfolio optimization problem in an incomplete financial market where the risky asset dynamics depend on stochastic factors and the portfolio allocation is constrained to lie within a given convex set. We…

For optimization models to be used in practice, it is crucial that users trust the results. A key factor in this aspect is the interpretability of the solution process. A previous framework for inherently interpretable optimization models…

The paper studies a distributed constrained optimization problem, where multiple agents connected in a network collectively minimize the sum of individual objective functions subject to a global constraint being an intersection of the local…

This paper provides a framework for deriving a new set of necessary conditions for adverse control problems among two players. The distinguish feature of such problems is that the first player has a priori knowledge on the second player…

What type of delegation contract should be offered when facing a risk of the magnitude of the pandemic we are currently experiencing and how does the likelihood of an exogenous early termination of the relationship modify the terms of a…

We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can…

We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…