Related papers: An Inverse-Ramsey Tax Rule
When agents with independent priors bid for a single item, Myerson's optimal auction maximizes expected revenue, whereas Vickrey's second-price auction optimizes social welfare. We address the natural question of trade-offs between the two…
The classical approach to inverse problems is based on the optimization of a misfit function. Despite its computational appeal, such an approach suffers from many shortcomings, e.g., non-uniqueness of solutions, modeling prior knowledge,…
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…
Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expansion as an enlargement of the opportunity set for business…
Assortment optimization is a fundamental challenge in modern retail and recommendation systems, where the goal is to select a subset of products that maximizes expected revenue under complex customer choice behaviors. While recent advances…
We study the problem of allocating indivisible goods among agents with additive valuations. When randomization is allowed, it is possible to achieve compelling notions of fairness such as envy-freeness, which states that no agent should…
We analyze four structured products that have caused severe losses to investors in recent years. These products are: return optimization securities, yield magnet notes, reverse exchangeable securities, and principal-protected notes. We…
Strong empirical evidence from laboratory experiments, and more recently from population surveys, shows that individuals, when evaluating their situations, pay attention to whether they experience gains or losses, with losses weighing more…
An indivisible object may be sold to one of $n$ agents who know their valuations of the object. The seller would like to use a revenue-maximizing mechanism but her knowledge of the valuations' distribution is scarce: she knows only the…
In the last decade, a large body of literature has been developed to explain the universal features of inequality in terms of income and wealth. By now, it is established that the distributions of income and wealth in various economies show…
Finding the optimal policy for multi-period perishable inventory systems requires solving computationally-expensive stochastic dynamic programs (DP). To avoid the difficulty of solving DP models, we propose a framework that uses an…
Prentice & Pyke (1979) established that the maximum likelihood estimate of an odds-ratio in a case-control study is the same as would be found by running a logistic regression: in other words, for this specific target the incorrect…
This paper characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
A variety of approaches has been developed to deal with uncertain optimization problems. Often, they start with a given set of uncertainties and then try to minimize the influence of these uncertainties. Depending on the approach used, the…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
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 consider a regulator driving individual choices towards increasing social welfare by providing personal incentives. We formalise and solve this problem by maximising social welfare under a budget constraint. The personalised incentives…
We consider a robust version of the revenue maximization problem, where a single seller wishes to sell $n$ items to a single unit-demand buyer. In this robust version, the seller knows the buyer's marginal value distribution for each item…
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth…