Related papers: On pricing rules and optimal strategies in general…
A monopolist wishes to maximize her profits by finding an optimal price policy. After she announces a menu of products and prices, each agent $x$ will choose to buy that product $y(x)$ which maximizes his own utility, if positive. The…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Bidding in simultaneous auctions is challenging because an agent's value for a good in one auction may depend on the uncertain outcome of other auctions: the so-called exposure problem. Given the gap in understanding of general simultaneous…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
We call an investment strategy survival, if an agent who uses it maintains a non-vanishing share of market wealth over the infinite time horizon. In a discrete-time multi-agent model with endogenous asset prices determined through a…
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 study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
We study competitive dynamic pricing among multiple sellers, motivated by the rise of large-scale experimentation and algorithmic pricing in retail and online marketplaces. Sellers repeatedly set prices using simple learning rules and…
We consider the problem of optimal inside portfolio $\pi(t)$ in a financial market with a corresponding wealth process $X(t)=X^{\pi}(t)$ modelled by \begin{align}\label{eq0.1} \begin{cases} dX(t)&=\pi(t)X(t)[\alpha(t)dt+\beta(t)dB(t)];…
We consider a control problem for a heterogeneous population composed of agents able to switch at any time between different options. The controller aims to maximize an average gain per time unit, supposing that the population is of…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current…
Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the…
We study the efficiency of sequential first-price item auctions at (subgame perfect) equilibrium. This auction format has recently attracted much attention, with previous work establishing positive results for unit-demand valuations and…
We consider a seller faced with buyers which have the ability to delay their decision, which we call patience. Each buyer's type is composed of value and patience, and it is sampled i.i.d. from a distribution. The seller, using posted…
We consider discrete-time Markov Decision Processes with Borel state and action spaces and universally measurable policies. For several long-run average cost criteria, we establish the following optimality results: the optimal average cost…
Econometric inference allows an analyst to back out the values of agents in a mechanism from the rules of the mechanism and bids of the agents. This paper gives an algorithm to solve the problem of inferring the values of agents in a…
Data as a commodity has always been purchased and sold. Recently, web services that are data marketplaces have emerged that match data buyers with data sellers. So far there are no guidelines how to price queries against a database. We…
We present a formalisation of finite Markov decision processes with rewards in the Isabelle theorem prover. We focus on the foundations required for dynamic programming and the use of reinforcement learning agents over such processes. In…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…