相关论文: On Bidding with Securities: Risk Aversion and Posi…
Recent empirical work demonstrates that online advertisement can exhibit bias in the delivery of ads across users even when all advertisers bid in a non-discriminatory manner. We study the design of ad auctions that, given fair bids, are…
A single unit of a good is sold to one of two bidders. Each bidder has either a high prior valuation or a low prior valuation for the good. Their prior valuations are independently and identically distributed. Each bidder may observe an…
Roy's `Safety First' criterion for selecting one risky asset from many is adapted to the case of non-normal returns, via Cornish Fisher expansion. The resulting investment objective is consistent with first order stochastic dominance, and…
We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly…
Given a sample of bids from independent auctions, this paper examines the question of inference on auction fundamentals (e.g. valuation distributions, welfare measures) under weak assumptions on information structure. The question is…
This paper studies a simplicity notion in a mechanism design setting in which agents do not necessarily share a common prior. I develop a model in which agents participate in a prior-free game of (coarse) information acquisition followed by…
An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the…
A seller wants to sell an item to $n$ buyers. Buyer valuations are drawn i.i.d. from a distribution unknown to the seller; the seller only knows that the support is included in $[a, b]$. To be robust, the seller chooses a DSIC mechanism…
We propose and axiomatize preferences on a product state space in light of uncertainty regarding the dependency of different payoff-relevant factors. Dependence structures allow to decompose probabilities and allow to pin down behavior…
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating…
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…
This paper proves the tight sample complexity of {\sf Second-Price Auction with Anonymous Reserve}, up to a logarithmic factor, for each of all the value distribution families studied in the literature: $[0,\, 1]$-bounded, $[1,\,…
How can we monitor, in real time, whether one uncertain prospect has any upside over another? To answer this question, we develop a novel family of sequential, anytime-valid tests for stochastic dominance (SD; also known as stochastic…
We provide a novel characterization of the $n$-th degree bounded stochastic dominance (BSD) order, linking it to the risk tolerance of decision-makers and providing a decision-theoretic foundation for these stochastic orders. Our results…
Classical Bayesian mechanism design relies on the common prior assumption, but such prior is often not available in practice. We study the design of prior-independent mechanisms that relax this assumption: the seller is selling an…
A seller with one unit of a good faces N\geq3 buyers and a single competitor who sells one other identical unit in a second-price auction with a reserve price. Buyers who do not get the seller's good will compete in the competitor's…
We examine ``tournament'' second-price auctions in which $N$ bidders compete for the right to participate in a second stage and contend against bidder $N+1$. When the first $N$ bidders are committed so that their bids cannot be changed in…
Most work in mechanism design assumes that buyers are risk neutral; some considers risk aversion arising due to a non-linear utility for money. Yet behavioral studies have established that real agents exhibit risk attitudes which cannot be…
We consider the fundamental problem of designing a truthful single-item auction with the challenging objective of extracting a large fraction of the highest agent valuation as revenue. Following a recent trend in algorithm design, we assume…
We study the partial and full set-asides and their implication for changes in bidding behavior in first-price sealed-bid auctions in the context of United States Department of Agriculture (USDA) food procurement auctions. Using five years…