Related papers: Optimal Selection of Transaction Costs in a Dynami…

We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…

The aim of this article is to propose a core game theory model of transaction costs wherein it is indicated how direct costs determine the probability of loss and subsequent transaction costs. The existence of optimum is proven, and the way…

We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed…

A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…

We study the design of optimal allocation mechanisms in an environment where agents and goods arrive stochastically. Agents have private types that determine the principal payoff. Either agents or goods can be held in a queue at a flow cost…

This paper proposes a method to design an optimal dynamic contract between a principal and an agent, who has the authority to control both the principal's revenue and an engineered system. The key characteristic of our problem setting is…

We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…

We analyze a two-period principal-agent model in which the principal faces a budget constraint, and the agent's private costs of performing tasks across the two periods may be correlated. We examine the optimal design of the reward scheme…

We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions -- price impact and transaction costs -- lead the agents to…

We study hidden-action principal-agent problems in which a principal commits to an outcome-dependent payment scheme (called contract) so as to incentivize the agent to take a costly, unobservable action leading to favorable outcomes. In…

We study how to optimally design selection mechanisms, accounting for agents' investment incentives. A principal wishes to allocate a resource of homogeneous quality to a heterogeneous population of agents. The principal commits to a…

In this paper we study a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero sum Stackelberg game between the principal and agent to a standard…

Strategic learning studies how decision rules interact with agents who may strategically change their inputs/features to achieve better outcomes. In standard settings, models assume that the decision-maker's sole scope is to learn a…

In this paper we consider a principal agent problem where the agent is allowed to quit, by incurring a cost. When the current agent quits the job, the principal will hire a new one, possibly with a different type. We characterize the…

We study the role of regulatory inspections in a contract design problem in which a principal interacts separately with multiple agents. Each agent's hidden action includes a dimension that determines whether they undertake an extra costly…

We present a novel model for capturing the behavior of an agent exhibiting sunk-cost bias in a stochastic environment. Agents exhibiting sunk-cost bias take into account the effort they have already spent on an endeavor when they evaluate…

In dynamic mechanism design literature, one critical aspect has been typically ignored-the agents' periodic participation, which they can adapt and plan strategically. We propose a framework for dynamic principal-multiagent problems,…

We study the problem of designing an optimal sequence of incentives that a principal should offer to an agent so that the agent's optimal behavior under the incentives realizes the principal's objective expressed as a temporal logic…

We study a principal-agent problem with adverse selection, where the principal does not know the agent's true cost but must design a contract to optimize a specific criterion. Unlike standard screening frameworks that allow for…

This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…