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Bilateral trade with risk-averse intermediary using linear network optimization

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Bilateral trade with risk-averse intermediary using linear network optimization. / Bayrak, Halil; Kargar, Kamyar; Pınar, Mustafa.
In: Networks, Vol. 74, No. 4, 31.12.2019, p. 325-332.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Bayrak, H, Kargar, K & Pınar, M 2019, 'Bilateral trade with risk-averse intermediary using linear network optimization', Networks, vol. 74, no. 4, pp. 325-332. https://doi.org/10.1002/net.21910

APA

Bayrak, H., Kargar, K., & Pınar, M. (2019). Bilateral trade with risk-averse intermediary using linear network optimization. Networks, 74(4), 325-332. https://doi.org/10.1002/net.21910

Vancouver

Bayrak H, Kargar K, Pınar M. Bilateral trade with risk-averse intermediary using linear network optimization. Networks. 2019 Dec 31;74(4):325-332. Epub 2019 Sept 29. doi: 10.1002/net.21910

Author

Bayrak, Halil ; Kargar, Kamyar ; Pınar, Mustafa. / Bilateral trade with risk-averse intermediary using linear network optimization. In: Networks. 2019 ; Vol. 74, No. 4. pp. 325-332.

Bibtex

@article{896c05282f524b098aee6852b495c6b2,
title = "Bilateral trade with risk-averse intermediary using linear network optimization",
abstract = "We consider bilateral trade of an object between a seller and a buyer through an intermediary who aims to maximize his/her expected gains as in the previous study, in a Bayes-Nash equilibrium framework where the seller and buyer have private, discrete valuations for the object. Using duality of linear network optimization, the intermediary's initial problem is transformed into an equivalent linear programming problem with explicit formulae of expected revenues of the seller and the expected payments of the buyer, from which the optimal mechanism is immediately obtained. Then, an extension of the same problem is considered for a risk-averse intermediary. Through a computational analysis, we observe that the structure of the optimal mechanism is fundamentally changed by switching from risk-neutral to risk-averse environment.",
keywords = "bilateral intermediated trade, linear network optimization, risk-aversion, shortest path duality",
author = "Halil Bayrak and Kamyar Kargar and Mustafa Pınar",
note = "Publisher Copyright: {\textcopyright} 2019 Wiley Periodicals, Inc.",
year = "2019",
month = dec,
day = "31",
doi = "10.1002/net.21910",
language = "English",
volume = "74",
pages = "325--332",
journal = "Networks",
issn = "0028-3045",
publisher = "Blackwell-Wiley",
number = "4",

}

RIS

TY - JOUR

T1 - Bilateral trade with risk-averse intermediary using linear network optimization

AU - Bayrak, Halil

AU - Kargar, Kamyar

AU - Pınar, Mustafa

N1 - Publisher Copyright: © 2019 Wiley Periodicals, Inc.

PY - 2019/12/31

Y1 - 2019/12/31

N2 - We consider bilateral trade of an object between a seller and a buyer through an intermediary who aims to maximize his/her expected gains as in the previous study, in a Bayes-Nash equilibrium framework where the seller and buyer have private, discrete valuations for the object. Using duality of linear network optimization, the intermediary's initial problem is transformed into an equivalent linear programming problem with explicit formulae of expected revenues of the seller and the expected payments of the buyer, from which the optimal mechanism is immediately obtained. Then, an extension of the same problem is considered for a risk-averse intermediary. Through a computational analysis, we observe that the structure of the optimal mechanism is fundamentally changed by switching from risk-neutral to risk-averse environment.

AB - We consider bilateral trade of an object between a seller and a buyer through an intermediary who aims to maximize his/her expected gains as in the previous study, in a Bayes-Nash equilibrium framework where the seller and buyer have private, discrete valuations for the object. Using duality of linear network optimization, the intermediary's initial problem is transformed into an equivalent linear programming problem with explicit formulae of expected revenues of the seller and the expected payments of the buyer, from which the optimal mechanism is immediately obtained. Then, an extension of the same problem is considered for a risk-averse intermediary. Through a computational analysis, we observe that the structure of the optimal mechanism is fundamentally changed by switching from risk-neutral to risk-averse environment.

KW - bilateral intermediated trade

KW - linear network optimization

KW - risk-aversion

KW - shortest path duality

U2 - 10.1002/net.21910

DO - 10.1002/net.21910

M3 - Journal article

AN - SCOPUS:85073964428

VL - 74

SP - 325

EP - 332

JO - Networks

JF - Networks

SN - 0028-3045

IS - 4

ER -