Related papers: The Screening Cost of Liquidity
We consider a multivariate financial market with transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in…
A seller of a dynamic information service under an information-throughput constraint screens buyers who privately differ in urgency. We characterize the revenue-optimal mechanism: deploy a single preference-aligned belief process; screen…
We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…
In this note we sketch an initial tentative approach to funding costs analysis and management for contracts with bilateral counterparty risk in a simplified setting. We depart from the existing literature by analyzing the issue of funding…
We study procurement design when the buyer is uncertain about both the value of the good and the seller's cost. The buyer has a conjectured model but does not fully trust it. She first identifies mechanisms that maximize her worst-case…
I develop a tractable adverse-selection model comparing secured bank loans and bonds when both pledge collateral but differ in effective liquidation efficiency. A small wedge in recovery rates generates coexistence, a sharp bank-bond…
A principal selects a team of agents for collaborating on a joint project. The principal aims to design a revenue-optimal contract that incentivize the team of agents to exert costly effort while satisfying fairness constraints. We show…
A welfare-maximizing designer allocates two kinds of goods using two wasteful screening instruments: ordeals, which enter agents' utilities additively, and damages, which harm agents in proportion to their values for the goods. If agents…
If individuals at the highest mortality risk are also least likely to lapse a life insurance policy, then lapse-supported premiums magnify adverse selection costs. As an example, we model 'Term to 100' contracts, and risk as revealed by…
We study a class of iterative combinatorial auctions which can be viewed as subgradient descent methods for the problem of pricing bundles to balance supply and demand. We provide concrete convergence rates for auctions in this class,…
We derive a revenue-maximizing scheme that charges customers who are homogeneous with respect to their waiting cost parameter for a random fee in order to become premium customers. This scheme incentivizes all customers to purchase…
I study the optimal design of ratings to motivate agent investment in quality when transfers are unavailable. The principal designs a rating scheme that maps the agent's quality to a (possibly stochastic) score. The agent has private…
We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…
How best to incentivise prompt disclosure? We study this question in a general model in which a technological breakthrough occurs at an uncertain time and is privately observed by an agent, and a principal must incentivise disclosure via…
A popular approach of achieving fairness in optimization problems is by constraining the solution space to "fair" solutions, which unfortunately typically reduces solution quality. In practice, the ultimate goal is often an aggregate of…
Modern blockchains increasingly rely on parallel execution to improve throughput. We show several industry and academic transaction fee mechanisms (TFMs) struggle to simultaneously account for execution parallelism while remaining…
We analyze a model of selling a single object to a principal-agent pair who want to acquire the object for a firm. The principal and the agent have different assessments of the object's value to the firm. The agent is budget-constrained…
We study a participatory budgeting problem of aggregating the preferences of agents and dividing a budget over the projects. A budget division solution is a probability distribution over the projects. The main purpose of our study concerns…
General partners (GP) are sometimes paid on a deal-by-deal basis and other times on a whole-portfolio basis. When is one method of payment better than the other? I show that when assets (projects or firms) are highly correlated or when GPs…
A principal hires an agent to work on a long-term project that culminates in a breakthrough or a breakdown. At each time, the agent privately chooses to work or shirk. Working increases the arrival rate of breakthroughs and decreases the…