Related papers: Constrained Pseudo-market Equilibrium
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
In this paper we present the use of Constraint Programming for solving balanced academic curriculum problems. We discuss the important role that heuristics play when solving a problem using a constraint-based approach. We also show how…
We design approximate weakly group strategy-proof mechanisms for resource reallocation problems using Milgrom and Segal's deferred acceptance auction framework: the radio spectrum and network bandwidth reallocation problems in the…
A prevalent assumption in auction theory is that the auctioneer has full control over the market and that the allocation she dictates is final. In practice, however, agents might be able to resell acquired items in an aftermarket. A…
We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and…
School choice is the two-sided matching market where students (on one side) are to be matched with schools (on the other side) based on their mutual preferences. The classical algorithm to solve this problem is the celebrated deferred…
We suggest a new approach to creation of general market equilibrium models involving economic agents with local and partial knowledge about the system and under different restrictions. The market equilibrium problem is then formulated as a…
We consider a setting where goods are allocated to agents by way of an allocation platform (e.g., a matching platform). An ``allocation facilitator'' aims to increase the overall utility/social-good of the allocation by encouraging (some of…
We present a general two-side market model with divisible commodities and price functions of participants. A general existence result on unbounded sets is obtained from its variational inequality re-formulation. We describe an extension of…
Many countries around the world, including Korea, use the school choice lottery system. However, this method has a problem in that many students are assigned to less-preferred schools based on the lottery results. In addition, the task of…
We embed buying rights into a (repeated) Arrow-Debreu model to study the long-term effects of regulation through buying rights on arising inequality. Our motivation stems from situations that typically call for regulatory interventions,…
We provide simple models for the utility function (or psychology) of an actor trading a multitude of goods for money. In this framework, money has no intrinsic consumption value, but is required as a medium of exchange. A collection of such…
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…
As the number of prosumers with distributed energy resources (DERs) grows, the conventional centralized operation scheme may suffer from conflicting interests, privacy concerns, and incentive inadequacy. In this paper, we propose an energy…
The design of data markets has gained importance as firms increasingly use machine learning models fueled by externally acquired training data. A key consideration is the externalities firms face when data, though inherently freely…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
We study equilibrium in hedonic markets, when consumers and suppliers have reservation utilities, and the utility functions are separable with respect to price. There is one indivisible good, which comes in different qualities; each…
Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitment (UC) problem in electricity markets, where costly…