Related papers: On the Failures of Bonus Plans

We study a decision-maker's problem of finding optimal monetary incentive schemes for retention when faced with agents whose participation decisions (stochastically) depend on the incentive they receive. Our focus is on policies constrained…

We study the problem of mechanism design for allocating a set of indivisible items among agents with private preferences on items. We are interested in such a mechanism that is strategyproof (where agents' best strategy is to report their…

In this paper, we consider the optimal dividend problem for a company. We describe the surplus process of the company by a diffusion model with regime switching. The aim of the company is to choose a dividend policy to maximize the expected…

A set of agents has to make a decision about the provision of a public good and its financing. Agents have heterogeneous values for the public good and each agent's value is private information. An agenda-setter has the right to make a…

In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…

It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…

We examine perfect information stochastic mean-payoff games - a class of games containing as special sub-classes the usual mean-payoff games and parity games. We show that deterministic memoryless strategies that are optimal for discounted…

We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time…

Reinforcement learning algorithms describe how an agent can learn an optimal action policy in a sequential decision process, through repeated experience. In a given environment, the agent policy provides him some running and terminal…

We consider infinite-state turn-based stochastic games of two players, Box and Diamond, who aim at maximizing and minimizing the expected total reward accumulated along a run, respectively. Since the total accumulated reward is unbounded,…

We investigate the optimal regulation of energy production in alignment with the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation…

We consider two-player normal form games where each player has the same finite strategy set. The payoffs of each player are assumed to be i.i.d. random variables with a continuous distribution. We show that, with high probability, the…

We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize…

Institutions and investors face the constant challenge of making accurate decisions and predictions regarding how best they should distribute their endowments. The problem of achieving an optimal outcome at minimal cost has been extensively…

Financial markets investors are involved in many games -- they must interact with other agents to achieve their goals. Among them are those directly connected with their activity on markets but one cannot neglect other aspects that…

An agent makes decisions based on multiple sources of information. In isolation, each source is well understood, but their correlation is unknown. We study the agent's robustly optimal strategies -- those that give the best possible…

The optimal taxation of assets requires attention to two concerns: 1) the elasticity of the supply of assets and 2) the impact of taxing assets on distributional objectives. The most efficient way to attend to these two concerns is to tax…

We analyze how firms should design wage contracts when workers collaborate in teams and effort costs depend on colleagues through a peer network. Performance-based compensation generates incentives that cascade through the organization,…

A sequential decision-making agent balances between exploring to gain new knowledge about an environment and exploiting current knowledge to maximize immediate reward. For environments studied in the traditional literature, optimal…