Related papers: Auctioning Annuities
We study the design of an auction for an income-generating asset such as an intellectual property license. Each bidder has a signal about his future income from acquiring the asset. After the asset is allocated, the winner's income from the…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…
From social networks to supply chains, more and more aspects of how humans, firms and organizations interact is mediated by artificial learning agents. As the influence of machine learning systems grows, it is paramount that we study how to…
Traditional electric energy markets do not explicitly model generator contingencies. To improve the representation of resources and to enhance the modeling of uncertainty, existing markets are moving in the direction of including generator…
We develop multiattribute auctions that accommodate generalized additive independent (GAI) preferences. We propose an iterative auction mechanism that maintains prices on potentially overlapping GAI clusters of attributes, thus decreases…
We develop extensions to auction theory results that are useful in real life scenarios. 1. Since valuations are generally positive we first develop approximations using the log-normal distribution. This would be useful for many finance…
A large fraction of online advertisement is sold via repeated second price auctions. In these auctions, the reserve price is the main tool for the auctioneer to boost revenues. In this work, we investigate the following question: Can…
Consider a closed pooled annuity fund investing in n assets with discrete-time rebalancing. At time 0, each annuitant makes an initial contribution to the fund, committing to a predetermined schedule of withdrawals. Require annuitants to be…
Second-price auctions with deposits are frequently used in blockchain environments. An auction takes place on-chain: bidders deposit an amount that fully covers their bid (but possibly exceeds it) in a smart contract. The deposit is used as…
Models of auctions or tendering processes are introduced. In every round of bidding the players select their bid from a probability distribution and whenever a bid is unsuccessful, it is discarded and replaced. For simple models, the…
When making a decision as a group, there are two primary paradigms: aggregating preferences (e.g. voting, mechanism design) and aggregating information (e.g. discussion, consulting, forecasting). Almost all formally-studied group…
Signaling is an important topic in the study of asymmetric information in economic settings. In particular, the transparency of information available to a seller in an auction setting is a question of major interest. We introduce the study…
In many first-price auctions, bidders face considerable strategic uncertainty: They cannot perfectly anticipate the other bidders' bidding behavior. We propose a model in which bidders do not know the entire distribution of opponent bids…
We study large markets with a single seller which can produce many types of goods, and many multi-minded buyers. The seller chooses posted prices for its many items, and the buyers purchase bundles to maximize their utility. For this…
When agents with independent priors bid for a single item, Myerson's optimal auction maximizes expected revenue, whereas Vickrey's second-price auction optimizes social welfare. We address the natural question of trade-offs between the two…
We study reserve prices in auctions with independent private values when bidders are expectations-based loss averse. We find that the optimal public reserve price excludes fewer bidder types than under risk neutrality. Moreover, we show…
We mathematically demonstrate how and what it means for two collective pension funds to mutually insure one another against systematic longevity risk. The key equation that facilitates the exchange of insurance is a market clearing…
We study the optimal placement of advertisements for interactive platforms like conversational AI assistants. Importantly, conversations add a feature absent in canonical search markets -- time. The evolution of a conversation is…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
Motivated by the prevalence of prediction problems in the economy, we study markets in which firms sell models to a consumer to help improve their prediction. Firms decide whether to enter, choose models to train on their data, and set…