Related papers: The Texas Shootout under Uncertainty
The existing literature on optimal auctions focuses on optimizing the expected revenue of the seller, and is appropriate for risk-neutral sellers. In this paper, we identify good mechanisms for risk-averse sellers. As is standard in the…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
In this paper we design information elicitation mechanisms for Bayesian auctions. While in Bayesian mechanism design the distributions of the players' private types are often assumed to be common knowledge, information elicitation considers…
This paper is concerned with a long standing optimal dividend payout problem subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasing over time and is thus self-path-dependent. The surplus…
We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain times are given. This is tantamount to calibrating the model…
We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante…
Free-space Quantum key distribution (QKD) allows two parties to share a random key with unconditional security, between ground stations, between mobile platforms, and even in satellite-ground quantum communications. Atmospheric turbulence…
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by…
The quantification of uncertainty is important for the adoption of machine learning, especially to reject out-of-distribution (OOD) data back to human experts for review. Yet progress has been slow, as a balance must be struck between…
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a…
Classical Bayesian mechanism design relies on the common prior assumption, but such prior is often not available in practice. We study the design of prior-independent mechanisms that relax this assumption: the seller is selling an…
In this paper we consider the contextual multi-armed bandit problem for linear payoffs under a risk-averse criterion. At each round, contexts are revealed for each arm, and the decision maker chooses one arm to pull and receives the…
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in…
We consider singular control in inventory management under Knightian uncertainty, where decision makers have a smooth ambiguity preference over Gaussian-generated priors. We demonstrate that continuous-time smooth ambiguity is the…
We consider a practically motivated variant of the canonical online fair allocation problem: a decision-maker has a budget of perishable resources to allocate over a fixed number of rounds. Each round sees a random number of arrivals, and…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…
We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE…
We study the dynamic investment decisions of investors who prioritise specific quantiles of outcomes over their expected values. Downside-focused agents targeting low quantiles reduce risk in states with high variance, while those with a…
This paper studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…
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…