Related papers: Conditional Analysis and a Principal-Agent problem
We view a conic optimization problem that has a unique solution as a map from its data to its solution. If sufficient regularity conditions hold at a solution point, namely that the implicit function theorem applies to the normalized…
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…
When a game involves many agents or when communication between agents is not possible, it is useful to resort to distributed learning where each agent acts in complete autonomy without any information on the other agents' situations.…
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which pertained only to risk-averse utility maximizers. The…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
The problem of multi-agent learning and adaptation has attracted a great deal of attention in recent years. It has been suggested that the dynamics of multi agent learning can be studied using replicator equations from population biology.…
We approach a class of discrete event simulation-based optimization problems using optimality in probability, an approach which yields what is termed a "champion solution". Compared to the traditional optimality in expectation, this…
We study the power of menus of contracts in principal-agent problems with adverse selection (agents can be one of several types) and moral hazard (we cannot observe agent actions directly). For principal-agent problems with $T$ types and…
We consider the mechanism design problem of a principal allocating a single good to one of several agents without monetary transfers. Each agent desires the good and uses it to create value for the principal. We designate this value as the…
High-performance dynamic language implementations make heavy use of speculative optimizations to achieve speeds close to statically compiled languages. These optimizations are typically performed by a just-in-time compiler that generates…
Contract theory studies how a principal can incentivize agents to exert costly, unobservable effort through performance-based payments. While classical economic models provide elegant characterizations of optimal solutions, modern…
Autonomous software agents operating in dynamic environments need to constantly reason about actions in pursuit of their goals, while taking into consideration norms which might be imposed on those actions. Normative practical reasoning…
We consider a class of optimization problems that involve determining the maximum value that a function in a particular class can attain subject to a collection of difference constraints. We show that a particular linear programming…
Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…
We consider a dynamic moral hazard problem between a principal and an agent, where the sole instrument the principal has to incentivize the agent is the disclosure of information. The principal aims at maximizing the (discounted) number of…
We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one probability measure, or class of probability measures, she…
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…
A number of prototypical optimization problems in multi-agent systems (e.g., task allocation and network load-sharing) exhibit a highly local structure: that is, each agent's decision variables are only directly coupled to few other agent's…
In a framework close to the one developed by Holmstr\"om and Milgrom [44], we study the optimal contracting scheme between a Principal and several Agents. Each hired Agent is in charge of one project, and can make efforts towards managing…
A contract is an economic tool used by a principal to incentivize one or more agents to exert effort on her behalf, by defining payments based on observable performance measures. A key challenge addressed by contracts -- known in economics…