Related papers: Optimal, Truthful, and Private Securities Lending
Algorithmic pricing is the computational problem that sellers (e.g., in supermarkets) face when trying to set prices for their items to maximize their profit in the presence of a known demand. Guruswami et al. (2005) propose this problem…
We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…
An indivisible object may be sold to one of $n$ agents who know their valuations of the object. The seller would like to use a revenue-maximizing mechanism but her knowledge of the valuations' distribution is scarce: she knows only the…
We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timing lags between capital commitments, capital calls, and…
One-max search is a classic problem in online decision-making, in which a trader acts on a sequence of revealed prices and accepts one of them irrevocably to maximise its profit. The problem has been studied both in probabilistic and in…
As financial institutions increasingly rely on machine learning models to automate lending decisions, concerns about algorithmic fairness have risen. This paper explores the tradeoff between enforcing fairness constraints (such as…
Distributed aggregative optimization methods are gaining increased traction due to their ability to address cooperative control and optimization problems, where the objective function of each agent depends not only on its own decision…
Differential privacy is a notion of privacy that has become very popular in the database community. Roughly, the idea is that a randomized query mechanism provides sufficient privacy protection if the ratio between the probabilities that…
The buying and selling of information is taking place at a scale unprecedented in the history of commerce, thanks to the formation of online marketplaces for user data. Data providing agencies sell user information to advertisers to allow…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidate a large position of shares. We assume that the agent has…
We study a multi-objective model on the allocation of reusable resources under model uncertainty. Heterogeneous customers arrive sequentially according to a latent stochastic process, request for certain amounts of resources, and occupy…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
We consider the classical mathematical economics problem of {\em Bayesian optimal mechanism design} where a principal aims to optimize expected revenue when allocating resources to self-interested agents with preferences drawn from a known…
We consider a practically motivated variant of the canonical online fair allocation problem: a decision-maker has a budget of perishable resources to allocate over a fixed number of rounds. Each round sees a random number of arrivals, and…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…
Secondary spectrum auction is widely applied in wireless networks for mitigating the spectrum scarcity. In a realistic spectrum trading market, the requests from secondary users often specify the usage of a fixed spectrum frequency band in…
In this paper, we analyze the problem of optimally allocating resources in a distributed and privacy-preserving manner. We propose a novel distributed optimal resource allocation algorithm with privacy-preserving guarantees, which operates…
In this paper, we introduce a Bayesian revenue-maximizing mechanism design model where the items have fixed, exogenously-given prices. Buyers are unit-demand and have an ordinal ranking over purchasing either one of these items at its given…
We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value…