Related papers: The Economy's Potential: Duality and Equilibrium
We study the efficiency of mechanisms for allocating a divisible resource. Given scalar signals submitted by all users, such a mechanism decides the fraction of the resource that each user will receive and a payment that will be collected…
This paper considers quantile-welfare evaluation of social welfare as an alternative to utilitarian evaluation. Manski (1988) originally proposed and studied maximization of quantile utility as a model of individual decision making under…
Medical "Crisis Standards of Care" call for a utilitarian allocation of scarce resources in emergencies, while favoring the worst-off under normal conditions. Inspired by such triage rules, we introduce social welfare functions whose…
We consider social welfare functions when the preferences of individual agents and society maximize subjective expected utility in the tradition of Savage. A system of axioms is introduced whose unique solution is the social welfare…
In this paper, we obtain a duality result for the exponential utility maximization problem where trading is subject to quadratic transaction costs and the investor is required to liquidate her position at the maturity date. As an…
We interpret multi-product supply chains (SCs) as coordinated markets; under this interpretation, a SC optimization problem is a market clearing problem that allocates resources and associated economic values (prices) to different…
This paper solves a utility maximization problem under utility-based shortfall risk constraint, by proposing an approach using Lagrange multiplier and convex duality. Under mild conditions on the asymptotic elasticity of the utility…
In the theory of social choice the research is focused around the projection of individual preference orders to the social preference order. Also, the justification of the preference order formalism begins with the concept of utility i.e.…
We study equilibria of markets with $m$ heterogeneous indivisible goods and $n$ consumers with combinatorial preferences. It is well known that a competitive equilibrium is not guaranteed to exist when valuations are not gross substitutes.…
We study combinatorial auctions with bidders that exhibit endowment effect. In most of the previous work on cognitive biases in algorithmic game theory (e.g., [Kleinberg and Oren, EC'14] and its follow-ups) the focus was on analyzing the…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
We define Walrasian economic equilibrium in convex regions. We introduce the definition of strict-proper quasimonotone functions, and derive some necessary and sufficient conditions for the existence and uniqueness of Walrasian equilibrium…
A number of goods are called identical if they provide the same level of utility to each agent. In various real-world instances of fair division scenarios, identical indivisible items are allocated to consumers and demandants with different…
Fair resource allocation is a fundamental optimization problem with applications in operations research, networking, and economic and game theory. Research in these areas has led to the general acceptance of a class of $\alpha$-fair utility…
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…
This paper develops a theory of competitive equilibrium with indivisible goods based entirely on economic conditions on demand. The key idea is to analyze complementarity and substitutability between bundles of goods, rather than merely…
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we…
Bilevel programs with spatial price equilibrium constraints are strategic models that consider a price competition at the lower level. These models find application in facility location-price models, optimal bidding in power networks, and…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
We consider a utility maximization problem in a broad class of markets. Apart from traditional semimartingale markets, our class of markets includes processes with long memory, fractional Brownian motion and related processes, and, in…