Related papers: A core-selecting auction for portfolio's packages
Motivated by pricing in ad exchange markets, we consider the problem of robust learning of reserve prices against strategic buyers in repeated contextual second-price auctions. Buyers' valuations for an item depend on the context that…
To support a freight carrier in a combinatorial transport auction, we proposes an exact and two heuristic strategies for bidding on subsets of requests. The exact bidding strategy is based on the concept of elementary request combinations.…
We study the problem of designing optimal auctions under restrictions on the set of permissible allocations. In addition to allowing us to restrict to deterministic mechanisms, we can also indirectly model non-additive valuations. We prove…
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining,…
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…
With spectrum auctions as our prime motivation, in this paper we analyze combinatorial auctions where agents' valuations exhibit complementarities. Assuming that the agents only value bundles of size at most $k$ and also assuming that we…
We study a class of manipulations in combinatorial auctions where bidders fundamentally misrepresent what goods they are interested in. Prior work has largely assumed that bidders only submit bids on their bundles of interest, which we call…
The need of totally secure online auction has led to the invention of many auction protocols. But as new attacks are developed, auction protocols also require corresponding strengthening. We analyze the auction protocol based on the…
The goal of an auction is to determine commodity prices such that all participants are perfectly happy. Such a solution is called a competitive equilibrium and does not exist in general. For this reason we are interested in solutions which…
This paper studies an auction design problem for a seller to sell a commodity in a social network, where each individual (the seller or a buyer) can only communicate with her neighbors. The challenge to the seller is to design a mechanism…
We study sequential procurement auctions where the sellers are provided with a ``best and final offer'' (BAFO) strategy. This strategy allows each seller $i$ to effectively ``freeze'' their price while remaining active in the auction, and…
Currently, many e-commerce websites issue online/electronic coupons as an effective tool for promoting sales of various products and services. We focus on the problem of optimally allocating coupons to customers subject to a budget…
Internet ad auctions have evolved from a few lines of text to richer informational layouts that include images, sitelinks, videos, etc. Ads in these new formats occupy varying amounts of space, and an advertiser can provide multiple…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
We propose a general variational framework of fair clustering, which integrates an original Kullback-Leibler (KL) fairness term with a large class of clustering objectives, including prototype or graph based. Fundamentally different from…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
We consider the design of computationally efficient online learning algorithms in an adversarial setting in which the learner has access to an offline optimization oracle. We present an algorithm called Generalized…
We show that a competitive equilibrium always exists in combinatorial auctions with anonymous graphical valuations and pricing, using discrete geometry. This is an intuitive and easy-to-construct class of valuations that can model both…
In a sequential auction with multiple bidding agents, it is highly challenging to determine the ordering of the items to sell in order to maximize the revenue due to the fact that the autonomy and private information of the agents heavily…
In this paper, we present a two-stage stochastic international portfolio optimisation model to find an optimal allocation for the combination of both assets and currency hedging positions. Our optimisation model allows a "currency overlay",…