This paper explores the manner in which the structure of a social network constrains the level of inequality that can be sustained among its members. We assume that any distribution of value across the network must be stable with respect to coalitional deviations, and that players can form a...

One of the important limitations of the SRISK measure of systemic risk, proposed by Brownlees and Engle and Acharya, Engle and Richardson, is its reliance on stock market data without much validation against the institutions' fundamentals based on its financial statements. We propose a financial...

Financial instability often results from positive feedback loops intrinsic to the operation of the financial system. The challenging task of identifying, modeling, and analyzing the causes and effects of such feedback loops requires a proper systems engineering perspective lacking in the...

One of the central challenges in online advertising is attribution, namely, assessing the contribution of individual advertiser actions including e-mails, display ads and search ads to eventual conversion. Several heuristics are used for attribution in practice; however, there is no formal...

Risk-based asset allocation models have received considerable attention in recent years. This increased popularity is due in part to the difficulty in estimating expected returns as well as the financial crisis of 2008 which has helped reinforce the key role of risk in asset allocation. In this...

We consider dynamic asset allocation problems where the agent is required to pay capital gains taxes on her investment gains. This is a very challenging problem because the tax owed whenever a security is sold depends on the cost-basis, i.e. the price(s) at which the shares of the security was...

We study a mechanism design problem where an indivisible good is auctioned to multiple bidders, for each of whom it has a private value that is unknown to the seller and the other bidders. The agents perceive the ensemble of all bidder values as a random vector governed by an ambiguous...

We construct an economic framework for understanding the incentives of the participants of a permissioned blockchain for supply chains and other related industries. Our study aims to determine whether adoption of blockchain is socially beneficial and whether such adoption arises in equilibrium....