Related papers: An Inverse-Ramsey Tax Rule
The relationship between demand and prices of a set of products can be modeled as a linear mapping from logarithmic price changes to logarithmic changes in demand. We consider the problem of estimating the coefficient matrix of this…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
We present a recommender system based on the Random Utility Model. Online shoppers are modeled as rational decision makers with limited information, and the recommendation task is formulated as the problem of optimally enriching the…
Small changes to the parameters of a system can lead to abrupt qualitative changes of its behavior, a phenomenon known as bifurcation. Such instabilities are typically considered problematic, however, we show that their power can be…
We propose a simple randomized rule for the optimization of prices in revenue management with contextual information. It is known that the certainty equivalent pricing rule, albeit popular, is sub-optimal. We show that, by allowing a small…
The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…
This study examines the lack of redistributive effectiveness of consumption-based tax systems with respect to social fairness. Through numerical simulations, we explore the wealth exchanges among economic agents subject to flat consumption…
We consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future income, so the total wealth is required to be positive at (all or…
Assortment optimization concerns the problem of selling items with fixed prices to a buyer who will purchase at most one. Typically, retailers select a subset of items, corresponding to an "assortment" of brands to carry, and make each…
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market. The investor knows nothing about the…
We study inverse reinforcement learning (IRL) and imitation learning (IM), the problems of recovering a reward or policy function from expert's demonstrated trajectories. We propose a new way to improve the learning process by adding a…
We design novel mechanisms for welfare-maximization in two-sided markets. That is, there are buyers willing to purchase items and sellers holding items initially, both acting rationally and strategically in order to maximize utility. Our…
We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the…
We revisit the problem of selecting an item from $n$ choices that appear before us in random sequential order so as to minimize the expected rank of the item selected. In particular, we examine the stopping rule where we reject the first…
We consider the bilateral trade problem, in which two agents trade a single indivisible item. It is known that the only dominant-strategy truthful mechanism is the fixed-price mechanism: given commonly known distributions of the buyer's…
Incentives in experimental design are often misaligned: experimenters design and finance experiments to seek regulatory approval, while regulators seek to maximize social-welfare. We propose a framework to resolve this conflict, wherein…
The assortment problem in revenue management is the problem of deciding which subset of products to offer to consumers in order to maximise revenue. A simple and natural strategy is to select the best assortment out of all those that are…
This paper re-examines the use of response time to infer problem complexity. It revisits a canonical Wald model of optimal stopping, taking signal-to-noise ratio as a measure of problem complexity. While choice quality is monotone in…
This paper studies a {\it reversible} investment problem where a social planner aims to control its capacity production in order to fit optimally the random demand of a good. Our model allows for general diffusion dynamics on the demand as…