Related papers: Optimal Mechanism Design with Risk-loving Agents
We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value…
We provide a characterization of revenue-optimal dynamic mechanisms in settings where a monopolist sells k items over k periods to a buyer who realizes his value for item i in the beginning of period i. We require that the mechanism…
This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price -- the geometric…
We study the mechanism design problem of selling $k$ items to unit-demand buyers with private valuations for the items. A buyer either participates directly in the auction or is represented by an intermediary, who represents a subset of…
We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…
Digital advertising constitutes one of the main revenue sources for online platforms. In recent years, some advertisers tend to adopt auto-bidding tools to facilitate advertising performance optimization, making the classical \emph{utility…
We consider the classical mathematical economics problem of {\em Bayesian optimal mechanism design} where a principal aims to optimize expected revenue when allocating resources to self-interested agents with preferences drawn from a known…
We present a number of models for the adword auctions used for pricing advertising slots on search engines such as Google, Yahoo! etc. We begin with a general problem formulation which allows the privately known valuation per click to be a…
In many settings, money is a tool of exchange with minimal inherent utility --- agents will spend it in a way that maximizes the value of goods received subject to reasonable constraints, giving only second-order consideration to the…
A fundamental assumption in classical mechanism design is that buyers are perfect optimizers. However, in practice, buyers may be limited by their computational capabilities or a lack of information, and may not be able to perfectly…
We consider a mechanism design setting with a single item and a single buyer who is uncertain about the value of the item. Both the buyer and the seller have a common model for the buyer's value, but the buyer discovers her true value only…
We consider the problem of maximizing revenue when selling 2 items to a single buyer with known valuation distributions. Hart and Nisan showed that selling each item separately using the optimal Myerson's price, gains at least half of the…
We consider randomized mechanisms with optional participation. Preferences over lotteries are modeled using skew-symmetric bilinear (SSB) utility functions, a generalization of classic von Neumann-Morgenstern utility functions. We show that…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
We consider auctions with N+1 bidders. Of these, N are symmetric and N+1 is "sufficiently strong" relative to the others. The auction is a "tournament" in which the first N players bid to win the right to compete with N+1. The bids of the…
We propose a new architecture to approximately learn incentive compatible, revenue-maximizing auctions from sampled valuations. Our architecture uses the Sinkhorn algorithm to perform a differentiable bipartite matching which allows the…
Auction theory traditionally assumes that bidders' valuation distributions are known to the auctioneer, such as in the celebrated, revenue-optimal Myerson auction. However, this theory does not describe how the auctioneer comes to possess…
A patient seller aims to sell a good to an impatient buyer (i.e., one who discounts utility over time). The buyer will remain in the market for a period of time $T$, and her private value is drawn from a publicly known distribution. What is…
We consider a robust version of the revenue maximization problem, where a single seller wishes to sell $n$ items to a single unit-demand buyer. In this robust version, the seller knows the buyer's marginal value distribution for each item…
Along with substantial progress made recently in designing near-optimal mechanisms for multi-item auctions, interesting structural questions have also been raised and studied. In particular, is it true that the seller can always extract…