相关论文: When to sell an indivisible object: Optimal timing…

A monopolistic seller aims to sell an indivisible item to multiple potential buyers. Each buyer's valuation depends on their private type and the item's quality. The seller can observe the quality but it is unknown to buyers. This quality…

This paper is concerned with an optimal stock selling rule under a Markov chain model. The objective is to find an optimal stopping time to sell the stock so as to maximize an expected return. Solutions to the associated variational…

It is well-known that optimal (i.e., revenue-maximizing) selling mechanisms in multidimensional type spaces may involve randomization. We obtain conditions under which deterministic mechanisms are optimal for selling two identical,…

In this paper we consider a modification of the classical Merton portfolio optimization problem. Namely, an investor can trade in financial asset and consume his capital. He is additionally endowed with a one unit of an indivisible asset…

An indivisible object may be sold to one of $n$ agents who know their valuations of the object. The seller would like to use a revenue-maximizing mechanism but her knowledge of the valuations' distribution is scarce: she knows only the…

A firm that sells a non perishable product considers intertemporal price discrimination in the objective of maximizing its long-run average revenue. We consider a general model of patient customers with changing valuations. Arriving…

We consider the problem of finding the optimal time to sell a stock, subject to a fixed sales cost and an exponential discounting rate \rho. We assume that the price of the stock fluctuates according to the equation dY_t=Y_t(\mu…

We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…

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…

We study a version of the classical Cayley-Moser optimal stopping problem, in which a seller must sell an asset by a given deadline, with the offers, which are independent random variables with a known distribution, arriving at random…

The optimal pricing problem is a fundamental problem that arises in combinatorial auctions. Suppose that there is one seller who has indivisible items and multiple buyers who want to purchase a combination of the items. The seller wants to…

Classical optimal auction theory assumes that bids reach the seller directly. We study how this picture changes when a revenue-maximizing intermediary controls access to the seller's auction. Motivated by blockchain auctions, online…

In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…

In this paper we consider multidimensional mechanism design problem for selling discrete substitutable items to a group of buyers. Previous work on this problem mostly focus on stochastic description of valuations used by the seller.…

Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…

We study the problem of selling an asset near its ultimate maximum in the minimax setting. The regret-based notion of a perfect stopping time is introduced. A perfect stopping time is uniquely characterized by its optimality properties and…

Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…

We study the problem of repeatedly auctioning off an item to one of $k$ bidders where: a) bidders have a per-round individual rationality constraint, b) bidders may leave the mechanism at any point, and c) the bidders' valuations are…

In many realistic problems of allocating resources, economy efficiency must be taken into consideration together with social equality, and price rigidities are often made according to some economic and social needs. We study the…

We provide a characterization of revenue-optimal dynamic mechanisms in settings where a monopolist sells k items over k periods to a buyer who realizes his value for item i in the beginning of period i. We require that the mechanism…