Related papers: Revenue Loss in Shrinking Markets
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
In markets with budget-constrained buyers, competitive equilibria need not be efficient in the utilitarian sense, or maximise the seller's revenue. We consider a setting with multiple divisible goods. Competitive equilibrium outcomes, and…
We obtain a recurrence relation in $d$ for the average singular value $% \alpha (d)$ of a complex valued $d\times d$\ matrix $\frac{1}{\sqrt{d}}X$ with random i.i.d., N( 0,1) entries, and use it to show that $\alpha (d)$ decreases…
An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of…
This paper investigates the effects of a low bound price. To do so, a popular and empirically proven model (Stahl (89') \cite{Stahl89}) is used. The model is extended to include an exogenously given bound on prices sellers can offer,…
We study revenue variance in the sale of $k$ homogeneous items to risk-neutral, unit-demand bidders with independent private values. Although the Revenue Equivalence Theorem implies that standard auctions generate the same expected revenue,…
In many markets, like electricity or cloud computing markets, providers incur large costs for keeping sufficient capacity in reserve to accommodate demand fluctuations of a mostly fixed user base. These costs are significantly affected by…
We study the two-agent single-item bilateral trade. Ideally, the trade should happen whenever the buyer's value for the item exceeds the seller's cost. However, the classical result of Myerson and Satterthwaite showed that no mechanism can…
Existing auto-bidding algorithms in digital advertising often treat the value of an ad opportunity as the revenue obtained when an ad is shown and/or clicked, and bid accordingly. This can lead to wasteful spending because the true value is…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…
In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the…
Second-price auctions with reserve play a critical role for modern search engine and popular online sites since the revenue of these companies often directly de- pends on the outcome of such auctions. The choice of the reserve price is the…
We study the problem of position allocation in job marketplaces, where the platform determines the ranking of the jobs for each seeker. The design of ranking mechanisms is critical to marketplace efficiency, as it influences both short-term…
Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
We study a robust selling problem where a seller attempts to sell one item to a buyer but is uncertain about the buyer's valuation distribution. Existing literature shows that robust screening provides a stronger theoretical guarantee than…
What fraction of the potential social surplus in an environment can be extracted by a revenue-maximizing monopolist? We investigate this problem in Bayesian single-parameter environments with independent private values. The precise answer…
We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…
This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss in wealth of trading strategies due to renewing the…
Generalization of the minority game to more than one market is considered. At each time step every agent chooses one of its strategies and acts on the market related to this strategy. If the payoff function allows for strong fluctuation of…
We study a seller who sells a single good to multiple bidders with uncertainty over the joint distribution of bidders' valuations, as well as bidders' higher-order beliefs about their opponents. The seller only knows the (possibly…