Related papers: Optimal Mix Among PAYGO, EET and Individual Saving…
We study the problem of allocating a set of indivisible goods among a set of agents in a fair and efficient manner. An allocation is said to be fair if it is envy-free up to one good (EF1), which means that each agent prefers its own bundle…
In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that…
Participatory budgeting (PB) has been widely adopted and has attracted significant research efforts; however, there is a lack of mechanisms for PB which elicit project interactions, such as substitution and complementarity, from voters.…
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of…
We study the effects of data sharing between firms on prices, profits, and consumer welfare. Although indiscriminate sharing of consumer data decreases firm profits due to the subsequent increase in competition, selective sharing can be…
Participatory sensing has emerged recently as a promising approach to large-scale data collection. However, without incentives for users to regularly contribute good quality data, this method is unlikely to be viable in the long run. In…
We consider a physical asset consisting of complex systems, where the systems may require upgrades during the lifetime of the asset. In practice, the asset owner and system supplier can make the upgrade decisions together, requiring a…
We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asset allocation problem in which each asset…
Opportunities such as higher education can promote intergenerational mobility, leading individuals to achieve levels of socioeconomic status above that of their parents. We develop a dynamic model for allocating such opportunities in a…
To address efficiency and design challenges in choice-based matching platforms, we introduce a two-sided assortment optimization framework under general choice preferences. The goal in this problem is to maximize the expected number of…
How does the monetary and fiscal policy mix alter households' saving incentives? To answer these questions, we build a heterogenous agents New Keynesian model where three different types of agents can save in assets with different liquidity…
We study the problem of fairly and efficiently allocating indivisible goods among agents with additive valuation functions. Envy-freeness up to one good (EF1) is a well-studied fairness notion for indivisible goods, while Pareto optimality…
Partially-observable Markov decision processes (POMDPs) with discounted-sum payoff are a standard framework to model a wide range of problems related to decision making under uncertainty. Traditionally, the goal has been to obtain policies…
In this paper, we rigorously study the problem of cost optimisation of hybrid (mixed) institutional incentives, which are a plan of actions involving the use of reward and punishment by an external decision-maker, for maximising the level…
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess…
This paper examines how to plan multi-period assortments when customer utility depends on historical assortments. We formulate this problem as a nonlinear integer programming model and show it is NP-hard in the presence of a negative…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
This paper studies a life-cycle optimal portfolio-consumption problem when the consumption performance is measured by a shortfall aversion preference with an additional drawdown constraint on consumption rate. Meanwhile, the agent also…
In statistical decision theory, a model is said to be Pareto optimal (or admissible) if no other model carries less risk for at least one state of nature while presenting no more risk for others. How can you rationally aggregate/combine a…
A well-known feature of overlapping generations economies is that the First Welfare Theorem fails and equilibrium may be inefficient. The Cass (1972) criterion furnishes a necessary and sufficient condition for efficiency, but it does not…