Related papers: Optimal Mechanism Design with Risk-loving Agents
This study introduces an optimal mechanism in a dynamic stochastic knapsack environment. The model features a single seller who has a fixed quantity of a perfectly divisible item. Impatient buyers with a piece-wise linear utility function…
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…
We study buyer-optimal procurement mechanisms when quality is contractible. When some costs are borne by every participant of a procurement auction regardless of winning, the classic analysis should be amended. We show that an optimal…
We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional analytic techniques to show the existence of optimal…
We study the problem of designing revenue-maximizing auctions for allocating multiple goods to flexible consumers. In our model, each consumer is interested in a subset of goods known as its flexibility set and wants to consume one good…
We obtain revenue guarantees for the simple pricing mechanism of a single posted price, in terms of a natural parameter of the distribution of buyers' valuations. Our revenue guarantee applies to the single item n buyers setting, with…
The system operator's scheduling problem in electricity markets, called unit commitment, is a non-convex mixed-integer program. The optimal value function is non-convex, preventing the application of traditional marginal pricing theory to…
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…
I study the design of auctions in which the auctioneer is assumed to have information only about the marginal distribution of a generic bidder's valuation, but does not know the correlation structure of the joint distribution of bidders'…
A seller wants to sell an item to $n$ buyers. Buyer valuations are drawn i.i.d. from a distribution unknown to the seller; the seller only knows that the support is included in $[a, b]$. To be robust, the seller chooses a DSIC mechanism…
We consider a persuasion problem between a sender and a receiver whose utility may be nonlinear in her belief; we call such receivers risk-conscious. Such utility models arise when the receiver exhibits systematic biases away from…
Mechanism design, a branch of economics, aims to design rules that can autonomously achieve desired outcomes in resource allocation and public decision making. The research on mechanism design using machine learning is called automated…
We consider the revenue maximization problem of a monopolist via a non-Myersonian approach that could generalize to multiple items and multiple buyers. Although such an approach does not lead to any closed-form solution of the problem, it…
Revealed preference techniques are used to test whether a data set is compatible with rational behaviour. They are also incorporated as constraints in mechanism design to encourage truthful behaviour in applications such as combinatorial…
A single unit of a good is sold to one of two bidders. Each bidder has either a high prior valuation or a low prior valuation for the good. Their prior valuations are independently and identically distributed. Each bidder may observe an…
This letter considers the design of an auction mechanism to sell the object of a seller when the buyers quantize their private value estimates regarding the object prior to communicating them to the seller. The designed auction mechanism…
We consider a monopolist seller facing a single buyer with additive valuations over n heterogeneous, independent items. It is known that in this important setting optimal mechanisms may require randomization [HR12], use menus of infinite…
We study the classic bilateral trade setting. Myerson and Satterthwaite show that there is no Bayesian incentive compatible and budget-balanced mechanism that obtains the gains from trade of the first-best mechanism. Consider the…
Classical optimal auction theory assumes that bids reach the seller directly. We study how this picture changes when a revenue-maximizing intermediary controls access to the seller's auction. Motivated by blockchain auctions, online…
In quasi-proportional auctions, each bidder receives a fraction of the allocation equal to the weight of their bid divided by the sum of weights of all bids, where each bid's weight is determined by a weight function. We study the…