Related papers: Robust Market Equilibria with Uncertain Preference…

The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…

We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…

The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…

This paper tackles challenges in pricing and revenue projections due to consumer uncertainty. We propose a novel data-based approach for firms facing unknown consumer type distributions. Unlike existing methods, we assume firms only observe…

We consider reallocation problems in settings where the initial endowment of each agent consists of a subset of the resources. The private information of the players is their value for every possible subset of the resources. The goal is to…

Many allocation problems in multiagent systems rely on agents specifying cardinal preferences. However, allocation mechanisms can be sensitive to small perturbations in cardinal preferences, thus causing agents who make ``small" or…

Multi-unit auctions are a paradigmatic model, where a seller brings multiple units of a good, while several buyers bring monetary endowments. It is well known that Walrasian equilibria do not always exist in this model, however compelling…

Equilibria in auctions can be very difficult to analyze, beyond the symmetric environments where revenue equivalence renders the analysis straightforward. This paper takes a robust approach to evaluating the equilibria of auctions. Rather…

In electricity markets, customers are increasingly constrained by their budgets. A budget constraint for a user is an upper bound on the price multiplied by the quantity. However, since prices are determined by the market equilibrium, the…

In natural phenomena, data distributions often deviate from normality. One can think of cataclysms as a self-explanatory example: events that occur almost never, and at the same time are many standard deviations away from the common…

Fair predictive algorithms hinge on both equality and trust, yet inherent uncertainty in real-world data challenges our ability to make consistent, fair, and calibrated decisions. While fairly managing predictive error has been extensively…

We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy…

We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…

Robust optimization methods have shown practical advantages in a wide range of decision-making applications under uncertainty. Recently, their efficacy has been extended to multi-period settings. Current approaches model uncertainty either…

The field of portfolio selection is an active research topic, which combines elements and methodologies from various fields, such as optimization, decision analysis, risk management, data science, forecasting, etc. The modeling and…

We study the existence of equilibrium when agents' preferences may not beconvex. For some specific utility functions, we provide a necessary and sufficientcondition under which there exists an equilibrium. The standard approach cannot be…

We study the power of item-pricing as a tool for approximately optimizing social welfare in a combinatorial market. We consider markets with $m$ indivisible items and $n$ buyers. The goal is to set prices to the items so that, when agents…

We consider stability concepts for random matchings where agents have preferences over objects and objects have priorities for the agents. When matchings are deterministic, the standard stability concept also captures the fairness property…

Researchers have long proposed using economic approaches to resource allocation in computer systems. However, few of these proposals became operational, let alone commercial. Questions persist about the economic approach regarding its…

Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable. In this article we study when this hurdle can be overcome…