Business Commons^™

Essays On Market Design And Auctions, Mingshi Kang

Electronic Thesis and Dissertation Repository

My thesis consists of three chapters that contribute to redistribution-driven market design and sponsored link auctions.

Chapter 2 and 3 (co-authored with Charles Zheng) study redistribution-driven market design with endogenous buyers and sellers. In Chapter 2, we consider a large market environment with each individual endowed with equal shares of a limited resources and allowed to buy or sell the shares. We characterize the interim (incentive-constrained) Pareto frontier subject to market clearance and budget balance, and find that at most two prices are needed to attain any (interim) Pareto optimum. Under robust conditions of the primitives, the Pareto optimal allocation …

Application Of A Polynomial Affine Method In Dynamic Portfolio Choice, Yichen Zhu

Electronic Thesis and Dissertation Repository

This thesis develops numerical approaches to attain optimal multi-period portfolio strategies in the context of advanced stochastic models within expected utility and mean-variance theories. Unlike common buy-and-hold portfolio strategies, dynamic asset allocation reflects the investment philosophy of a portfolio manager that benefits from the most recent market conditions to rebalance the portfolio accordingly. This enables managers to capture fleeting opportunities in the markets thereby enhancing the portfolio performance. However, the solvability of the dynamic asset allocation problem is often non-analytical, especially when considering a high-dimensional portfolio with advanced models mimicking practical asset's return. To overcome this issue, this thesis presents …