相关论文: On Bidding with Securities: Risk Aversion and Posi…

We introduce draft auctions, which is a sequential auction format where at each iteration players bid for the right to buy items at a fixed price. We show that draft auctions offer an exponential improvement in social welfare at equilibrium…

A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of…

To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…

An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio…

Many auction settings implicitly or explicitly require that bidders are treated equally ex-ante. This may be because discrimination is philosophically or legally impermissible, or because it is practically difficult to implement or…

A seller chooses a reserve price in a second-price auction to maximize worst-case expected revenue when she knows only the mean of value distribution and an upper bound on either values themselves or variance. Values are private and iid.…

We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…

Learning to bid in repeated first-price auctions is a fundamental problem at the interface of game theory and machine learning, which has seen a recent surge in interest due to the transition of display advertising to first-price auctions.…

People are often reluctant to sell a house, or shares of stock, below the price at which they originally bought it. While this is generally not consistent with rational utility maximization, it does reflect two strong empirical regularities…

Since economic mechanisms are often applied to very different instances of the same problem, it is desirable to identify mechanisms that work well in a wide range of circumstances. We pursue this goal for a position auction setting and…

Ranking alternatives is a natural way for humans to explain their preferences. It is being used in many settings, such as school choice, course allocations and residency matches. In some cases, several `items' are given to each participant.…

We study risk-free bidding strategies in combinatorial auctions with incomplete information. Specifically, what is the maximum profit that a complement-free (subadditive) bidder can guarantee in a multi-item combinatorial auction? Suppose…

We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…

I study multidimensional sequential screening. A monopolist contracts with a buyer who privately observes information about the distribution of their eventual valuations for multiple goods. After initial private information is reported and…

We are interested in the problem of optimal commitments in rank-and-bid based auctions, a general class of auctions that include first price and all-pay auctions as special cases. Our main contribution is a novel approach to solve for…

Robust mechanism design is a rising alternative to Bayesian mechanism design, which yields designs that do not rely on assumptions like full distributional knowledge. We apply this approach to mechanisms for selling a single item, assuming…

We revisit the well-studied problem of budget-feasible procurement, where a buyer with a strict budget constraint seeks to acquire services from a group of strategic providers (the sellers). During the last decade, several strategyproof…

This paper reexamines the classic problem of revenue maximization in single-item auctions with $n$ buyers under the lens of the robust optimization framework. The celebrated Myerson's mechanism is the format that maximizes the seller's…

Adversarial Risk Analysis (ARA) is an upcoming methodology that is considered to have advantages over the traditional decision theoretic and game theoretic approaches. ARA solutions for first-price sealed-bid (FPSB) auctions have been found…

The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…