Related papers: A core-selecting auction for portfolio's packages
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We study revenue optimization pricing algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation. We show that, in the case when both the seller and the buyer…
We develop a unified ascending-auction framework for computing Walrasian equilibria in combinatorial markets with strong substitutes valuations and piecewise-linear payment functions. Our auction extends the celebrated ascending auctions of…
Auction is the common paradigm for resource allocation which is a fundamental problem in human society. Existing research indicates that the two primary objectives, the seller's revenue and the allocation efficiency, are generally…
In this work, we study spectrum auction problem where each request from secondary users has spatial, temporal, and spectral features. With the requests of secondary users and the reserve price of the primary user, our goal is to design…
We consider option pricing using replicating binomial trees, with a two fold purpose. The first is to introduce ESG valuation into option pricing. We explore this in a number of scenarios, including enhancement of yield due to trader…
We provide a Polynomial Time Approximation Scheme (PTAS) for the Bayesian optimal multi-item multi-bidder auction problem under two conditions. First, bidders are independent, have additive valuations and are from the same population.…
We study a general online combinatorial auction problem in algorithmic mechanism design. A provider allocates multiple types of capacity-limited resources to customers that arrive in a sequential and arbitrary manner. Each customer has a…
Optimal portfolio allocation is often formulated as a constrained risk problem, where one aims to minimize a risk measure subject to some performance constraints. This paper presents new Bayesian Optimization algorithms for such constrained…
The design of revenue-maximizing combinatorial auctions, i.e. multi-item auctions over bundles of goods, is one of the most fundamental problems in computational economics, unsolved even for two bidders and two items for sale. In the…
In cloud investment markets, consumers are looking for the lowest cost and a desirable fairness while providers are looking for strategies to achieve the highest possible profit and return. Most existing models for auction-based resource…
This paper studies optimal auction design when valuations depend endogenously on post-auction collaboration between the seller and the winning bidder. Both parties exert non-contractible efforts after the auction, generating a double moral…
We study auctions that are robust at any scale, i.e., they can be applied to sell both expensive and cheap items and achieve the best multiplicative approximations of the optimal revenue in the worst case. We show that the optimal mechanism…
In a multiple-object auction, every bidder tries to win as many objects as possible with a bidding algorithm. This paper studies position-randomized auctions, which form a special class of multiple-object auctions where a bidding algorithm…
An indivisible object may be sold to one of $n$ agents who know their valuations of the object. The seller would like to use a revenue-maximizing mechanism but her knowledge of the valuations' distribution is scarce: she knows only the…
We introduce draft auctions, which is a sequential auction format where at each iteration players bid for the right to buy items at a fixed price. We show that draft auctions offer an exponential improvement in social welfare at equilibrium…
We study the design of prior-independent auctions in a setting with heterogeneous bidders. In particular, we consider the setting of selling to $n$ bidders whose values are drawn from $n$ independent but not necessarily identical…
In multi-hop secondary networks, bidding strategies for spectrum auction, route selection and relaying incentives should be jointly considered to establish multi-hop communication. In this paper, a framework for joint resource bidding and…
A privacy-preserving English auction protocol with round efficiency based on a modified ring signature has been proposed in this paper. The proposed protocol has three appealing characteristic: First, it offers conditional…
We construct prior-free auctions with constant-factor approximation guarantees with ordered bidders, in both unlimited and limited supply settings. We compare the expected revenue of our auctions on a bid vector to the monotone price…