Related papers: Risk sharing under heterogeneous beliefs without c…
Many scenarios where agents with restrictions compete for resources can be cast as maximum matching problems on bipartite graphs. Our focus is on resource allocation problems where agents may have restrictions that make them incompatible…
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…
A framework for risk-averse optimization problems is introduced that is resilient to ambiguities in the true form of the underlying probability distribution. The focus is on problems with partial differential equations (PDEs) as…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
We propose a distributionally robust principal agent formulation, which generalizes some common variants of worst-case and Bayesian principal agent problems. We construct a theoretical framework to certify whether any surjective contract…
We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a…
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the implicit assumption that transfers between agents are…
It is often argued that an agent making decisions on behalf of two or more principals who have different utility functions should adopt a {\em Pareto-optimal} policy, i.e., a policy that cannot be improved upon for one agent without making…
Consider a convex function that is invariant under an group of transformations. If it has a minimizer, does it also have an invariant minimizer? Variants of this problem appear in nonparametric statistics and in a number of adjacent fields.…
Pareto-optimality plays a central role in evaluating the efficiency of solutions to allocation problems, such as house allocation, school choice, and kidney exchange. We introduce a general linear programming problem subject to…
In this paper, we analyze the convergence of a distributed Robbins-Monro algorithm for both constrained and unconstrained optimization in multi-agent systems. The algorithm searches for local minima of a (nonconvex) objective function which…
In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization…
During the past two decades, multi-agent optimization problems have drawn increased attention from the research community. When multiple objective functions are present among agents, many works optimize the sum of these objective functions.…
Many safety-critical real-world problems, such as autonomous driving and collaborative robots, are of a distributed multi-agent nature. To optimize the performance of these systems while ensuring safety, we can cast them as distributed…
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…
We characterize optimal monetary policy when policy endogenously moves risk premia through redistribution across agents who differ in their willingness to bear risk. The analytical core is Marginal Risk Capacity, the covariance of monetary…
We consider the division of a finite number of homogeneous divisible items among three players. Under the assumption that each player assigns a positive value to every item, we characterize the optimal allocations and we develop two exact…
We study the classic problem of dividing a collection of indivisible resources in a fair and efficient manner among a set of agents having varied preferences. Pareto optimality is a standard notion of economic efficiency, which states that…
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-free asset, a risky asset, and a durable good whose price…
Linear contracts are ubiquitous in practice, yet optimal contract theory often prescribes complex, nonlinear structures. We provide a distributional robustness justification for linear contracts. We study a principal-agent problem where the…