Related papers: The Optimality of Constant Mark-Up Pricing
We study envy-free pricing mechanisms in matching markets with $m$ items and $n$ budget constrained buyers. Each buyer is interested in a subset of the items on sale, and she appraises at some single-value every item in her preference-set.…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
A truthful mechanism for a Bayesian single-item auction results with some ex-ante revenue for the seller, and some ex-ante total surplus for the buyers. We study the Pareto frontier of the set of seller-buyers ex-ante utilities, generated…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
We revisit optimal execution of an active portfolio in the presence of slippage (aka linear, proportional, or absolute-value) costs. Market efficiency implies a close balance between active alphas and trading costs, so even small changes to…
This paper proposes a theory of pricing premised upon the assumptions that customers dislike unfair prices---those marked up steeply over cost---and that firms take these concerns into account when setting prices. Since they do not observe…
Firms increasingly rely on dynamic pricing to respond to evolving customer demand, yet in many applications they observe only the revenue generated by a single posted price in each period. At the same time, market conditions may shift…
This work is motivated by our collaboration with a large consumer packaged goods (CPG) company. We have found that while the company appreciates the advantages of dynamic pricing, they deem it operationally much easier to plan out a static…
The window mean-payoff objective strengthens the classical mean-payoff objective by computing the mean-payoff over a finite window that slides along an infinite path. Two variants have been considered: in one variant, the maximum window…
A simple heuristic model, including the multiple exchanges between economic agents, is used to explain the mechanism of emerging and maintenance of social inequality in the market economy. The model allows calculating a density function of…
This paper studies the problem of procuring diverse resources in a forward market to cover a set $\bf{E}$ of uncertain demand signals $\bf{e}$. We consider two scenarios: (a) $\bf{e}$ is revealed all at once by an oracle (b) $\bf{e}$…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
Recently, there is growing interest and need for dynamic pricing algorithms, especially, in the field of online marketplaces by offering smart pricing options for big online stores. We present an approach to adjust prices based on the…
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
This paper studies optimal bundling of products with non-additive values. Under monotonic preferences and single-peaked profits, I show a monopolist finds pure bundling optimal if and only if the optimal sales volume for the grand bundle is…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
We consider the problem of designing auctions which maximize consumer surplus (i.e., the social welfare minus the payments charged to the buyers). In the consumer surplus maximization problem, a seller with a set of goods faces a set of…
In multi-item screening, optimal selling mechanisms are challenging to characterize and implement, even with full knowledge of valuation distributions. In this paper, we aim to develop tractable, interpretable, and implementable mechanisms…
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…