Related papers: Competitive and Revenue-Optimal Pricing with Budge…
We investigate expected utility maximization problems from the terminal liquidation value in continuous time in markets with transaction costs and one fixed consistent price system, where a non-concave utility function is defined on the…
Auction is applied for trade with various mechanisms. A simple but practical question is which mechanism, typically first-price or second-price auctions, is preferred from the perspective of bidders or sellers. A celebrated answer is…
We study revenue maximization in a buyer-seller setting where the seller has a single object and the buyer has both a private valuation and a private budget. Private budgets complicate the classic single-product monopoly problem, making…
We introduce the concept of budget games. Players choose a set of tasks and each task has a certain demand on every resource in the game. Each resource has a budget. If the budget is not enough to satisfy the sum of all demands, it has to…
We study large markets with a single seller which can produce many types of goods, and many multi-minded buyers. The seller chooses posted prices for its many items, and the buyers purchase bundles to maximize their utility. For this…
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general…
We explore a model of duopolistic competition in which consumers learn about the fit of each competitor's product. In equilibrium, consumers comparison shop: they learn only about the relative values of the products. When information is…
We study optimal bundling when consumers differ in one dimension. We introduce a partial order on the set of bundles defined by (i) set inclusion and (ii) sales volumes (if sold alone and priced optimally). We show that if the undominated…
We model a delivery platform facilitating transactions among three sides: buyers, stores, and couriers. In addition to buyers paying store-specific purchase prices and couriers receiving store--buyer-specific delivery compensation from the…
The study of repeated interactions between a learner and a utility-maximizing optimizer has yielded deep insights into the manipulability of learning algorithms. However, existing literature primarily focuses on independent, unlinked…
We provide an elementary proof that revenue-maximizing mechanisms exist in multi-parameter settings whenever the distribution of valuations has finite expectation.
Most products are produced and sold by supply chain networks, where an interconnected network of producers and intermediaries set prices to maximize their profits. I show that there exists a unique equilibrium in a price-setting game on a…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
The Walras approach to equilibrium focuses on the existence of market prices at which the total demands for goods are matched by the total supplies. Trading activities that might identify such prices by bringing agents together as potential…
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information…
A competitive market is modeled as a game of incomplete information. One player observes some payoff-relevant state and can sell (possibly noisy) messages thereof to the other, whose willingness to pay is contingent on their own beliefs. We…
In this paper we formulate the fixed budget resource allocation game to understand the performance of a distributed market-based resource allocation system. Multiple users decide how to distribute their budget (bids) among multiple machines…
We study the economic interactions among sellers and buyers in online markets. In such markets, buyers have limited information about the product quality, but can observe the sellers' reputations which depend on their past transaction…
Constraints on agent's ability to pay play a major role in auction design for any setting where the magnitude of financial transactions is sufficiently large. Those constraints have been traditionally modeled in mechanism design as…
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price…