Related papers: Certainty Equivalent and Utility Indifference Pric…
We consider markets consisting of a set of indivisible items, and buyers that have {\em sharp} multi-unit demand. This means that each buyer $i$ wants a specific number $d_i$ of items; a bundle of size less than $d_i$ has no value, while a…
In a market with stochastic interest rates, we consider an investor who can either (i) invest all if his money in a savings account or (ii) purchase zero-coupon bonds and invest the remainder of his wealth in a savings account. The…
We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a random and concave utility function defined on the whole real-line. She also…
We study competitive equilibria in the classic Shapley-Shubik assignment model with indivisible goods and unit-demand buyers, with budget constraints: buyers can specify a maximum price they are willing to pay for each item, beyond which…
We consider a revenue-maximizing seller with $m$ heterogeneous items and a single buyer whose valuation $v$ for the items may exhibit both substitutes (i.e., for some $S, T$, $v(S \cup T) < v(S) + v(T)$) and complements (i.e., for some $S,…
We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is required to liquidate her position. Our main result is establishing…
We study a revenue maximization problem in the context of social networks. Namely, we consider a model introduced by Alon, Mansour, and Tennenholtz (EC 2013) that captures inequity aversion, i.e., prices offered to neighboring vertices…
We provide a new, much simplified and straightforward proof to a result of Pavlov [2011] regarding the revenue maximizing mechanism for selling two goods with uniformly i.i.d. valuations over intervals $[c,c+1]$, to an additive buyer. This…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
Counterfactual utilities evaluate decisions not only by the realized outcome under a given decision, but also by the counterfactual outcomes that would arise under alternative decisions. By generalizing standard utility frameworks, they…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
We study the analyticity of the value function in optimal investment with expected utility from terminal wealth and the relation to stochastically dominant financial models. We identify both a class of utilities and a class of…
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 consider the revenue maximization problem with sharp multi-demand, in which $m$ indivisible items have to be sold to $n$ potential buyers. Each buyer $i$ is interested in getting exactly $d_i$ items, and each item $j$ gives a benefit…
We consider assortment optimization over a continuous spectrum of products represented by the unit interval, where the seller's problem consists of determining the optimal subset of products to offer to potential customers. To describe the…
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approximation for the utility indifference price. The key tool is…
We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations. We illustrate the application thereof in utility optimization with…
A recent line of work, starting with Beigman and Vohra (2006) and Zadimoghaddam and Roth (2012), has addressed the problem of {\em learning} a utility function from revealed preference data. The goal here is to make use of past data…
We consider a collection of derivatives that depend on the price of an underlying asset at expiration or maturity. The absence of arbitrage is equivalent to the existence of a risk-neutral probability distribution on the price; in…