Related papers: Optimal Pricing For MHR and $\lambda$-Regular Dist…
We study a classic Bayesian mechanism design setting of monopoly problem for an additive buyer in the presence of budgets. In this setting a monopolist seller with $m$ heterogeneous items faces a single buyer and seeks to maximize her…
This paper considers options pricing when the assumption of normality is replaced with that of the symmetry of the underlying distribution. Such a market affords many equivalent martingale measures (EMM). However we argue (as in the…
The Generalized Second Price auction is the primary method by which sponsered search advertisements are sold. We study the performance of this auction under various equilibrium concepts. In particular, we demonstrate that the Bayesian Price…
We provide algorithms that learn simple auctions whose revenue is approximately optimal in multi-item multi-bidder settings, for a wide range of valuations including unit-demand, additive, constrained additive, XOS, and subadditive. We…
We study revenue optimization in a repeated auction between a single seller and a single buyer. Traditionally, the design of repeated auctions requires strong modeling assumptions about the bidder behavior, such as it being myopic, infinite…
We present an extensive analysis of the key problem of learning optimal reserve prices for generalized second price auctions. We describe two algorithms for this task: one based on density estimation, and a novel algorithm benefiting from…
This paper investigates the impact of anonymous trading on the agents' strategy in an optimal execution framework. It mainly explores the specificity of order attribution on the Toronto Stock Exchange, where brokers can choose to either…
This work examines various statistical distributions in connection with random Vandermonde matrices and their extension to $d$--dimensional phase distributions. Upper and lower bound asymptotics for the maximum singular value are found to…
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a…
The intuition that profit is optimized by maximizing marginal revenue is a guiding principle in microeconomics. In the classical auction theory for agents with linear utility and single-dimensional preferences, Bulow and Roberts (1989) show…
We consider the problem of learning optimal reserve price in repeated auctions against non-myopic bidders, who may bid strategically in order to gain in future rounds even if the single-round auctions are truthful. Previous algorithms,…
We study the efficiency of simple combinatorial auctions for the allocation of a set of items to a set of agents, with private subadditive valuation functions and budget constraints. The class we consider includes all auctions that allocate…
We study envy-free pricing mechanisms in matching markets with $m$ items and $n$ budget constrained buyers. Each buyer is interested in a subset of the items on sale, and she appraises at some single-value every item in her preference-set.…
We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…
We study revenue maximization in a buyer-seller setting where the seller has a single object and the buyer has both a private valuation and a private budget. Private budgets complicate the classic single-product monopoly problem, making…
We consider online procurement auctions, where the agents arrive sequentially, in random order, and have private costs for their services. The buyer aims to maximize a monotone submodular value function for the subset of agents whose…
We study the revenue maximization problem of a seller with n heterogeneous items for sale to a single buyer whose valuation function for sets of items is unknown and drawn from some distribution D. We show that if D is a distribution over…
Let $M_n$ denote a random symmetric $n \times n$ matrix whose upper diagonal entries are independent and identically distributed Bernoulli random variables (which take values $1$ and $-1$ with probability $1/2$ each). It is widely…
We study a natural combinatorial pricing problem for sequentially arriving buyers with equal budgets. Each buyer is interested in exactly one pair of items and purchases this pair if and only if, upon arrival, both items are still available…
When selling many goods with independent valuations, we develop a distributionally robust framework, consisting of a two-player game between seller and nature. The seller has only limited knowledge about the value distribution. The seller…