管理科学系学术讲座

 

   间:2023年11月24日(周五) 13:30-15:00

地   点:管理学院思源楼524室

主   题:Screening with Limited Information: A Dual Perspective

主讲人:Dr. Zhi Chen 香港中文大学商学院

主持人:周明龙 复旦大学管理学院青年副研究员

摘   要:

Consider a seller seeking a selling mechanism to maximize the worst-case revenue obtained from a buyer whose valuation distribution lies in a certain ambiguity set. For a generic convex ambiguity set, we show via the minimax theorem that strong duality holds between the problem of finding the optimal robust mechanism and a minimax pricing problem where the adversary first chooses a worst-case distribution and then the seller decides the best posted price mechanism. This implies that the extra value of optimizing over more sophisticated mechanisms exactly amounts to the value of eliminating distributional ambiguity under a posted price mechanism. We further provide a geometric approach to analytically solving the minimax pricing problem. The solutions are then used to construct the optimal robust mechanism.

简   介:

Zhi Chen is an Assistant Professor in the CUHK Business School, the Chinese University of Hong Kong. His research interests include (1) developing models and designing algorithms for decision-making under uncertainty with different levels of data availability as well as applications in business, economics, finance, and operations; (2) how to compete or cooperate in joint activities such as resource allocation and risk management. He worked in the City University of Hong Kong and received a Research Excellence Award from the College of Business.

管理科学系

2023-11-13