Related papers: A core-selecting auction for portfolio's packages
We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations, as new data arrives. In particular, we look at two online…
Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in discrete units, this is a combinatorial…
We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the approximate technology to generate lower and upper bounds…
Transportation Network Companies employ dynamic pricing methods at periods of peak travel to incentivise driver participation and balance supply and demand for rides. Surge pricing multipliers are commonly used and are applied following…
Device-to-Device communication allows a cellular user (relay node) to relay data between the base station (BS) and another cellular user (destination node). We address the problem of designing reverse auctions to assign a relay node to each…
We consider a revenue-maximizing seller with a single item for sale to multiple buyers with i.i.d. valuations. Akbarpour and Li (2020) show that the only optimal, credible, strategyproof auction is the ascending price auction with reserves…
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation…
Combinatorial auctions are used to allocate resources in domains where bidders have complex preferences over bundles of goods. However, the behavior of bidders under different payment rules is not well understood, and there has been limited…
We improve the best known competitive ratio (from 1/4 to 1/2), for the online multi-unit allocation problem, where the objective is to maximize the single-price revenue. Moreover, the competitive ratio of our algorithm tends to 1, as the…
Cloud computing has been an emerging model which aims at allowing customers to utilize computing resources hosted by Cloud Service Providers (CSPs). More and more consumers rely on CSPs to supply computing and storage service on the one…
We study resource allocation in two-sided markets from a fundamental perspective and introduce a general modeling and algorithmic framework to effectively incorporate the complex and multidimensional aspects of fairness. Our main technical…
Designing an incentive compatible auction that maximizes expected revenue is a central problem in Auction Design. While theoretical approaches to the problem have hit some limits, a recent research direction initiated by Duetting et al.…
Market conditions change continuously. However, in portfolio's investment strategies, it is hard to account for this intrinsic non-stationarity. In this paper, we propose to address this issue by using the Inverse Covariance Clustering…
A major achievement of mechanism design theory is a general method for the construction of truthful mechanisms called VCG (Vickrey, Clarke, Groves). When applying this method to complex problems such as combinatorial auctions, a difficulty…
In mechanism design, it is challenging to design the optimal auction with correlated values in general settings. Although value distribution can be further exploited to improve revenue, the complex correlation structure makes it hard to…
Revenue-optimal auction design is a challenging problem with significant theoretical and practical implications. Sequential auction mechanisms, known for their simplicity and strong strategyproofness guarantees, are often limited by…
In the standard single-dimensional model of position auctions, bidders agree on the relative values of the positions and each of them submits a single bid that is interpreted in terms of these values. Motivated by current practice in…
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the…
The classic result of Bulow and Klemperer (1996) shows that in multi-unit auctions with $m$ units and $n\geq m$ buyers whose values are sampled i.i.d. from a regular distribution, the revenue of the VCG auction with $m$ additional buyers is…
We introduce several new estimation methods that leverage shape constraints in auction models to estimate various objects of interest, including the distribution of a bidder's valuations, the bidder's ex ante expected surplus, and the…