Related papers: Certainty Equivalent and Utility Indifference Pric…
We study the efficiency of fair allocations using the well-studied price of fairness concept, which quantitatively measures the worst-case efficiency loss when imposing fairness constraints. Previous works provided partial results on the…
We compare the profit of the optimal third-degree price discrimination policy against a uniform pricing policy. A uniform pricing policy offers the same price to all segments of the market. Our main result establishes that for a broad class…
Ben-Tal and Teboulle \cite{BTT86} introduce the concept of optimized certainty equivalent (OCE) of an uncertain outcome as the maximum present value of a combination of the cash to be taken out from the uncertain income at present and the…
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that optimal strategies must lie on a discrete grid in the plane, and…
Income- and price-elasticity of demand quantify the responsiveness of markets to changes in income, and in prices, respectively. Under the assumptions of utility maximization and preference-independence (additive preferences), mathematical…
We formulate the problem of fair and efficient completion of indivisible goods, defined as follows: Given a partial allocation of indivisible goods among agents, does there exist an allocation of the remaining goods (i.e., a completion)…
We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers…
In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming that the agents' risk preferences are modelled by convex…
We consider methods for aggregating preferences that are based on the resolution of discrete optimization problems. The preferences are represented by arbitrary binary relations (possibly weighted) or incomplete paired comparison matrices.…
We study market mechanisms for allocating divisible goods to competing agents with quasilinear utilities. For \emph{linear} pricing (i.e., the cost of a good is proportional to the quantity purchased), the First Welfare Theorem states that…
We study the dynamic indifference pricing with ambiguity preferences. For this, we introduce the dynamic expected utility with ambiguity via the nonlinear expectation--G-expectation, introduced by Peng (2007). We also study the risk…
The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…
In this paper, I propose a new framework for representing multidimensional incomplete preferences through zonotope-valued utilities, addressing the shortcomings of traditional scalar and vector-based models in decision theory. Traditional…
Incorporating fairness criteria in optimization problems comes at a certain cost, which is measured by the so-called price of fairness. Here we consider the allocation of indivisible goods. For envy-freeness as fairness criterion it is…
There exists a preference relation on infinite utility streams that does not discriminate between different periods, satisfies the Pareto criterion, and so that almost all pairs of utility streams are strictly comparable. Such a preference…
In the allocation of resources to a set of agents, how do fairness guarantees impact the social welfare? A quantitative measure of this impact is the price of fairness, which measures the worst-case loss of social welfare due to fairness…
Incomplete preferences provide the epistemic foundation for models of imprecise subjective probabilities and utilities that are used in robust Bayesian analysis and in theories of bounded rationality. This paper presents a simple…
We consider a multiproduct monopoly pricing model. We provide sufficient conditions under which the optimal mechanism can be implemented via upgrade pricing -- a menu of product bundles that are nested in the strong set order. Our approach…
We propose a simple randomized rule for the optimization of prices in revenue management with contextual information. It is known that the certainty equivalent pricing rule, albeit popular, is sub-optimal. We show that, by allowing a small…
In this short paper we introduce a new class of performance measures based on certainty equivalents defined via scaled utility functions. We analyse their properties, show that the corresponding portfolio optimization problem is well-posed…