409,748 research outputs found
Strict Liability versus Negligence in a Market Setting
This paper formally analyzes strict liability and negligence in a market setting. The discussion emphasizes the impact of the rules on the market price and on the number of firms in the industry. For simplicity, the damage caused by each firm is assumed to be determined only by that firm's "care" (and not also by the firm's output or the victim's behavior).
A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
We present a version of the fundamental theorem of asset pricing (FTAP) for
continuous time large financial markets with two filtrations in an
-setting for . This extends the results of Yuri
Kabanov and Christophe Stricker \cite{KS:06} to continuous time and to a large
financial market setting, however, still preserving the simplicity of the
discrete time setting. On the other hand it generalizes Stricker's
-version of FTAP \cite{S:90} towards a setting with two filtrations. We do
neither assume that price processes are semi-martigales, (and it does not
follow due to trading with respect to the \emph{smaller} filtration) nor that
price processes have any path properties, neither any other particular property
of the two filtrations in question, nor admissibility of portfolio wealth
processes, but we rather go for a completely general (and realistic) result,
where trading strategies are just predictable with respect to a smaller
filtration than the one generated by the price processes. Applications range
from modeling trading with delayed information, trading on different time
grids, dealing with inaccurate price information, and randomization approaches
to uncertainty
Expressiveness and Robustness of First-Price Position Auctions
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 specifically seek mechanisms that guarantee good outcomes under both
complete and incomplete information. A variant of the generalized first-price
mechanism with multi-dimensional bids turns out to be the only standard
mechanism able to achieve this goal, even when types are one-dimensional. The
fact that expressiveness beyond the type space is both necessary and sufficient
for this kind of robustness provides an interesting counterpoint to previous
work on position auctions that has highlighted the benefits of simplicity. From
a technical perspective our results are interesting because they establish
equilibrium existence for a multi-dimensional bid space, where standard
techniques break down. The structure of the equilibrium bids moreover provides
an intuitive explanation for why first-price payments may be able to support
equilibria in a wider range of circumstances than second-price payments
A Simple and Approximately Optimal Mechanism for an Additive Buyer
We consider a monopolist seller with heterogeneous items, facing a single
buyer. The buyer has a value for each item drawn independently according to
(non-identical) distributions, and her value for a set of items is additive.
The seller aims to maximize his revenue.
We suggest using the a-priori better of two simple pricing methods: selling
the items separately, each at its optimal price, and bundling together, in
which the entire set of items is sold as one bundle at its optimal price. We
show that for any distribution, this mechanism achieves a constant-factor
approximation to the optimal revenue.
Beyond its simplicity, this is the first computationally tractable mechanism
to obtain a constant-factor approximation for this multi-parameter problem. We
additionally discuss extensions to multiple buyers and to valuations that are
correlated across items
- …