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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…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…
Public and private institutions must often allocate scare resources under uncertainty. Banks, for example, extend credit to loan applicants based in part on their estimated likelihood of repaying a loan. But when the quality of information…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…
This paper examines the characterizations of equilibrium in economies with public projects. Public goods, as discussed by Mas-Colell (1980), are modeled as elements of an abstract set lacking a unified ordering structure. We introduce the…
In various markets where sellers compete in price, price oscillations are observed rather than convergence to equilibrium. Such fluctuations have been empirically observed in the retail market for gasoline, in airline pricing and in the…
Income inequality and redistribution policies are modeled with a minimal, endogenous model of a simple foraging economy. Significant income inequalities emerge from the model for populations of equally capable individuals presented with…
We study how market segmentation affects consumers when a monopolist can adjust both prices and product qualities across segments, engaging in second- and third-degree price discrimination simultaneously. We characterize the…
Given an initial resource allocation, where some agents may envy others or where a different distribution of resources might lead to higher social welfare, our goal is to improve the allocation without reassigning resources. We consider a…
A monopolist offers personalized prices to consumers with unit demand, heterogeneous values, and idiosyncratic costs, who differ in a protected characteristic, such as race or gender. The seller is subject to a non-discrimination…
We study multi-product monopoly pricing where the seller jointly designs the selling mechanism and the information structure for the buyer to learn his values. Unlike the case with exogenous information, we show that when the seller…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
In the era of a growing population, systemic changes to the world, and the rising risk of crises, humanity has been facing an unprecedented challenge of resource scarcity. Confronting and addressing the issues concerning the scarce…
This paper explores the design of a balanced data-sharing marketplace for entities with heterogeneous datasets and machine learning models that they seek to refine using data from other agents. The goal of the marketplace is to encourage…
This paper extends the utility maximization literature by combining partial information and (robust) regulatory constraints. Partial information is characterized by the fact that the stock price itself is observable by the optimizing…
This paper considers structural optimization under a reliability constraint, where the input distribution is only partially known. Specifically, when we only know that the expected value vector and the variance-covariance matrix of the…
We consider a fundamental generalization of the classical newsvendor problem where the seller needs to decide on the inventory of a product jointly for multiple locations on a metric as well as a fulfillment policy to satisfy the uncertain…
This paper links matching markets with aligned preferences to optimal transport theory. We show that stability, efficiency, and fairness emerge as solutions to a parametric family of optimal transport problems. The parameter reflects…
The idiosyncratic (microscopic) and systemic (macroscopic) components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic `equally-weighted' portfolio. In this…
We study the following fundamental data-driven pricing problem. How can/should a decision-maker price its product based on data at a single historical price? How valuable is such data? We consider a decision-maker who optimizes over…