Related papers: Certainty Equivalent and Utility Indifference Pric…
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…
Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions…
This paper introduces conceptual relations that synthesize utilitarian and logical concepts, extending the logics of preference of Rescher. We define first, in the context of a possible worlds model, constraint-dependent measures that…
Variational inequality problems allow for capturing an expansive class of problems, including convex optimization problems, convex Nash games and economic equilibrium problems, amongst others. Yet in most practical settings, such problems…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between…
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 fair allocation of mixed goods, consisting of both divisible and indivisible goods, has been a prominent topic of study in economics and computer science. We define an allocation as fair if its utility vector minimizes a symmetric…
We revisit the setting of fair allocation of indivisible items among agents with heterogeneous, non-monotone valuations. We explore the existence and efficient computation of allocations that approximately satisfy either envy-freeness or…
The problem of demand inversion - a crucial step in the estimation of random utility discrete-choice models - is equivalent to the determination of stable outcomes in two-sided matching models. This equivalence applies to random utility…
In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some…
In this paper, we introduce new properties of the relative interior calculus for nearly convex sets, functions, and set-valued mappings. These properties are important for the development of duality theory in optimization. Then we…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options with convex payoffs in terms of prices of call options with…
We price a contingent claim liability using the utility indifference argument. We consider an agent with exponential utility, who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the…
We consider a stochastic financial incomplete market where the price processes are described by a vector-valued semimartingale that is possibly nonlocally bounded. We face the classical problem of utility maximization from terminal wealth,…
We construct prior-free auctions with constant-factor approximation guarantees with ordered bidders, in both unlimited and limited supply settings. We compare the expected revenue of our auctions on a bid vector to the monotone price…
Several different fairness notions have been introduced in the context of fair allocation of goods. In this manuscript, we compare between some fairness notions that are used in settings in which agents have arbitrary (perhaps unequal)…
This paper studies preference aggregation under uncertainty in the multi-profile framework and characterizes a new class of aggregation rules that address classical concerns about Harsanyi's (1955) utilitarian rules. Our aggregation rules,…
An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.