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In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
We study the optimal control of storage which is used for arbitrage, i.e. for buying a commodity when it is cheap and selling it when it is expensive. Our particular concern is with the management of energy systems, although the results are…
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…
We consider the Item Pricing problem for revenue maximization in the limited supply setting, where a single seller with $n$ items caters to $m$ buyers with unknown subadditive valuation functions who arrive in a sequence. The seller sets…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
High-tech systems are typically produced in two stages: 1) Production of components using specialized equipment and staff; 2) System assembly/integration. Component production capacity is subject to fluctuations, causing a high risk of…
In recent years much effort has been concentrated towards achieving polynomial time lower bounds on algorithms for solving various well-known problems. A useful technique for showing such lower bounds is to prove them conditionally based on…
We propose a novel distribution-free scheme to solve optimization problems where the goal is to minimize the expected value of a cost function subject to probabilistic constraints. Unlike standard sampling-based methods, our idea consists…
The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…
In the envy-free perfect matching problem, $n$ items with unit supply are available to be sold to $n$ buyers with unit demand. The objective is to find allocation and prices such that both seller's revenue and buyers' surpluses are…
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 address the challenging problem of dynamically pricing complementary items that are sequentially displayed to customers. An illustrative example is the online sale of flight tickets, where customers navigate through multiple web pages.…
We study decentralized markets for goods whose utility perishes in time, with compute as a primary motivation. Recent advances in reproducible and verifiable execution allow jobs to pause, verify, and resume across heterogeneous hardware,…
We study the problem of determining how much finished goods inventory to source from different capacitated facilities in order to maximize profits resulting from sales of such inventory. We consider a problem wherein there is uncertainty in…
We study an abstract optimal auction problem for a single good or service. This problem includes environments where agents have budgets, risk preferences, or multi-dimensional preferences over several possible configurations of the good…
In this paper, we consider a Markov chain choice model with single transition. In this model, customers arrive at each product with a certain probability. If the arrived product is unavailable, then the seller can recommend a subset of…
We consider the problem of assigning or allocating resources to a set of jobs. We consider the case when the resources are fungible, that is, the job can be done with any mix of the resources, but with different efficiencies. In our…
We characterize profit-maximizing operating strategies, over some time horizon [0,T], for an energy store which is trading in an arbitrage market. Our theory allows for leakage, operating inefficiencies, operating constraints and general…