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

We study equilibria in two-buyer sequential second-price (or first-price) auctions for identical goods. Buyers have weakly decreasing incremental values, and we make a behavioural no-overbidding assumption: the buyers do not bid above their…

In programmatic advertising, ad slots are usually sold using second-price (SP) auctions in real-time. The highest bidding advertiser wins but pays only the second-highest bid (known as the winning price). In SP, for a single item, the…

A central problem in online learning and decision making -- from bandits to reinforcement learning -- is to understand what modeling assumptions lead to sample-efficient learning guarantees. We consider a general adversarial decision making…

We study the robust double auction mechanisms, that is, the double auction mechanisms that satisfy dominant strategy incentive compatibility, ex-post individual rationality and ex-post budget balance. We first establish that the price in…

We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…

Stochastic dominance of a random variable by a convex combination of its independent copies has recently been shown to hold within the relatively narrow class of distributions with concave odds function, and later extended to broader…

Motivated by pricing in ad exchange markets, we consider the problem of robust learning of reserve prices against strategic buyers in repeated contextual second-price auctions. Buyers' valuations for an item depend on the context that…

We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…

Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a…

In this paper, we study sequential auctions with two budget constrained bidders and any number of identical items. All prior results on such auctions consider only two items. We construct a canonical outcome of the auction that is the only…

This paper studies the robust portfolio selection problem under a state-dependent confidence set. The investor invests in a financial market with a risk-free asset and a risky asset. The ambiguity-averse investor faces uncertainty over the…

We define a stochastic model of a two-sided limit order book in terms of its key quantities \textit{best bid [ask] price} and the \textit{standing buy [sell] volume density}. For a simple scaling of the discreteness parameters, that keeps…

We address the problem of improving bidders' strategies in prior-dependent revenue-maximizing auctions and introduce a simple and generic method to design novel bidding strategies if the seller uses past bids to optimize her mechanism. We…

Providing a measure of market risk is an important issue for investors and financial institutions. However, the existing models for this purpose are per definition symmetric. The current paper introduces an asymmetric capital asset pricing…

A principal hires an agent to acquire soft information about an unknown state. Even though neither how the agent learns nor what the agent discovers are contractible, we show the principal is unconstrained as to what information the agent…

We study the problem of selling a resource through an auction mechanism. The winning buyer in turn develops this resource to generate profit. Two forms of payment are considered: charging the winning buyer a one-time payment, or an initial…

This paper extends the incomplete model of Haile and Tamer (2003) from static English auctions to sequential English auctions. Because bidders may wait for future opportunities, the static condition that bidders do not let rivals win at…

We study the problem of multi-dimensional revenue maximization when selling $m$ items to a buyer that has additive valuations for them, drawn from a (possibly correlated) prior distribution. Unlike traditional Bayesian auction design, we…

We present a simple proof of a well-known axiomatic characterization of state-salient decision rules, using Weak Dominance Criterion and Global Independence of Irrelevant Alternatives. Subsequently we provide a simple axiomatic…

We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of…