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An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…
We study a decision-maker's problem of finding optimal monetary incentive schemes for retention when faced with agents whose participation decisions (stochastically) depend on the incentive they receive. Our focus is on policies constrained…
Problem definition: In many matching markets, some agents are fully flexible, while others only accept a subset of jobs. For example, ridesharing drivers can specify on the platform the destinations they are willing to accept. Conventional…
I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…
We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to…
We investigate a group choice problem of agents pursuing social status. We assume heterogeneous agents want to signal their private information (ability, income, patience, altruism, etc.) to others, facing tradeoff between "outside status"…
Robust optimization is a popular paradigm for modeling and solving two- and multi-stage decision-making problems affected by uncertainty. In many real-world applications, the time of information discovery is decision-dependent and the…
Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…
We consider the mechanism design problem of a principal allocating a single good to one of several agents without monetary transfers. Each agent desires the good and uses it to create value for the principal. We designate this value as the…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
We study the problem of decision-making in the setting of a scarcity of shared resources when the preferences of agents are unknown a priori and must be learned from data. Taking the two-sided matching market as a running example, we focus…
We consider repeated allocation of a shared resource via a non-monetary mechanism, wherein a single item must be allocated to one of multiple agents in each round. We assume that each agent has i.i.d. values for the item across rounds, and…
The objectives of option hedging/trading extend beyond mere protection against downside risks, with a desire to seek gains also driving agent's strategies. In this study, we showcase the potential of robust risk-aware reinforcement learning…
A decision maker repeatedly chooses one of a finite set of actions. In each period, the decision maker's payoff depends on fixed basic payoff of the chosen action and the frequency with which the action has been chosen in the past. We…
We study a general model on reusable resource allocation under model uncertainty. A heterogeneous population of customers arrive at the decision maker's (DM's) platform sequentially. Upon observing a customer's type, the DM selects an…
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant…
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of…
We consider a general problem where an agent is in a multi-agent environment and must plan for herself without any prior information about her opponents. At each moment, this pivotal agent is faced with a trade-off between exploiting her…