相关论文: Parimutuel Betting on Permutations

We introduce a new model of combinatorial contracts in which a principal delegates the execution of a costly task to an agent. To complete the task, the agent can take any subset of a given set of unobservable actions, each of which has an…

In this work we are concerned with the design of efficient mechanisms while eliciting limited information from the agents. First, we study the performance of sampling approximations in facility location games. Our key result is to show that…

This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…

We develop a novel deep learning approach for pricing European basket options written on assets that follow jump-diffusion dynamics. The option pricing problem is formulated as a partial integro-differential equation, which is approximated…

In an all-pay auction, only one bidder wins but all bidders must pay the auctioneer. All-pay bidding games arise from attaching a similar bidding structure to traditional combinatorial games to determine which player moves next. In contrast…

We study the problem of learning a linear model to set the reserve price in an auction, given contextual information, in order to maximize expected revenue from the seller side. First, we show that it is not possible to solve this problem…

We introduce a dynamic mechanism design problem in which the designer wants to offer for sale an item to an agent, and another item to the same agent at some point in the future. The agent's joint distribution of valuations for the two…

On ad exchange platforms the place for advertisement is sold through different kinds of auctions. However, it is not uncommon the situation where the seller repeatedly encounters only one buyer, thus the posted price auction degenerates…

We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…

We study a classical Bayesian mechanism design problem where a seller is selling multiple items to multiple buyers. We consider the case where the seller has costs to produce the items, and these costs are private information to the seller.…

We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value…

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the…

We consider an incomplete multi-asset binomial market model. We prove that for a wide class of contingent claims the extremal multi-step martingale measure is a power of the corresponding single-step extremal martingale measure. This allows…

We present a number of models for the adword auctions used for pricing advertising slots on search engines such as Google, Yahoo! etc. We begin with a general problem formulation which allows the privately known valuation per click to be a…

A solution to a portfolio optimization problem is always conditioned by constraints on the initial capital and the price of the available market assets. If a risk neutral measure is known, then the price of each asset is the discounted…

The paper proposes a parsimonious and flexible semiparametric quantile regression specification for asymmetric bidders within the independent private value framework. Asymmetry is parameterized using powers of a parent private value…

Although the specific structures of electricity markets are diverse around the world, they were all conceived on the premise of predictable, controllable generation with nonnegligible marginal costs. Recent changes, specifically, the…

We study the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…

We introduce a `concrete complexity' model for studying algorithms for matching in bipartite graphs. The model is based on the "demand query" model used for combinatorial auctions. Most (but not all) known algorithms for bipartite matching…

Lotteries are a prevalent form of gambling between a seller and buyers. Designing a lottery requires a model of how buyers make decisions when confronted with uncertain outcomes. Cumulative prospect theory (CPT) is a descriptive model that…