Related papers: Risk sharing under heterogeneous beliefs without c…
Decision making under uncertain environments in the maximization of expected reward while minimizing its risk is one of the ubiquitous problems in many subjects. Here, we introduce a novel problem setting in stochastic bandit optimization…
In this paper, we formulate and solve a randomized optimal consensus problem for multi-agent systems with stochastically time-varying interconnection topology. The considered multi-agent system with a simple randomized iterating rule…
We study an optimal allocation problem for a system of independent Brownian agents whose states evolve under a limited shared control. At each time, a unit of resource can be divided and allocated across components to increase their drifts,…
We study the problem of allocating indivisible goods among agents with additive valuation functions to achieve both fairness and efficiency under the constraint that each agent receives exactly the same number of goods (the \emph{balanced…
Adding a capacity constraint to a hidden-action principal-agent problem results in the same set of Pareto optimal contracts as the unconstrained problem where output is scaled down by a constant factor. This scaling factor is increasing in…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
In the United States and elsewhere, risk assessment algorithms are being used to help inform criminal justice decision-makers. A common intent is to forecast an offender's ``future dangerousness.'' Such algorithms have been correctly…
We propose a distributionally robust formulation of the traditional risk parity portfolio optimization problem. Distributional robustness is introduced by targeting the discrete probabilities attached to each observation used during…
We study the problem of computing maximin share guarantees, a recently introduced fairness notion. Given a set of $n$ agents and a set of goods, the maximin share of a single agent is the best that she can guarantee to herself, if she would…
In this article, we discuss the optimal allocation problem in an experiment when a regression model is used for statistical analysis. Monotonic convergence for a general class of multiplicative algorithms for $D$-optimality has been…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
We examine the behavior of multi-agent networks where information-sharing is subject to a positive communications cost over the edges linking the agents. We consider a general mean-square-error formulation where all agents are interested in…
This paper extends the optimal covariance steering problem for linear stochastic systems subject to chance constraints to account for optimal risk allocation. Previous works have assumed a uniform risk allocation to cast the optimal control…
We study an abstract optimal auction problem for a single good or service. This problem includes environments where agents have budgets, risk preferences, or multi-dimensional preferences over several possible configurations of the good…
A distributed nonsmooth robust resource allocation problem with cardinality constrained uncertainty is investigated in this paper. The global objective is consisted of local objectives, which are convex but nonsmooth. Each agent is…
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution to the Risk-Sharing problem under very…
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…
We propose a peer-to-peer (P2P) insurance scheme comprising a risk-sharing pool and a reinsurer. A plan manager determines how risks are allocated among members and ceded to the reinsurer, while the reinsurer sets the reinsurance loading.…
This paper approaches the problem of understanding collective agency from a logical and game-theoretical perspective. Instead of collective intentionality, our analysis highlights the role of Pareto optimality. To facilitate the analysis,…
We study a sequence of independent one-shot non-cooperative games where agents play equilibria determined by a tunable mechanism. Observing only equilibrium decisions, without parametric or distributional knowledge of utilities, we aim to…