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作者：Gallego, Guillermo; Li, Anran
作者单位：The Chinese University of Hong Kong, Shenzhen; Chinese University of Hong Kong
摘要：In this paper, we operationalize the random consideration set (RCS) choice model proposed by Manzini and Mariotti which assumes that consumers make purchase decisions based on a fixed preference ordering and random consideration sets drawn from independent attention probabilities. We provide a necessary condition, a sufficient condition, and a fast algorithm to estimate preference ordering and attention probabilities from sales transaction data, thereby uniquely identifying the model parameter...
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作者：Long, Zhenghua; Zhang, Hailun; Zhang, Jiheng; Zhang, Zhe George
作者单位：Nanjing University; Shenzhen Research Institute of Big Data; The Chinese University of Hong Kong, Shenzhen; Hong Kong University of Science & Technology; Western Washington University; Simon Fraser University
摘要：We study the optimal control of a queueing model with a single customer class and heterogeneous server pools. The main objective is to strike a balance between the holding cost of the queue and the operating costs of the server pools. We introduce a target-allocation policy, which assigns higher priority to the queue or pools without enough customers for general cost functions. Although we can prove its asymptotic optimality, implementation requires solving a nonlinear optimization problem. Wh...
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作者：Bensoussan, Alain; Liu, John J.; Yuan, Jiguang
作者单位：University of Texas System; University of Texas Dallas; Hong Kong Polytechnic University
摘要：In this paper, we develop a splitting solution method for two-sided impulse control of Brownian motion, which leads to an expanding range of band control applications and studies, such as monetary reserves (including the previously studied cash management problem, exchange rate control in central banks, and marine mutual insurance reserves), inventory systems, and lately natural resources and energy reservation. It has been shown since earlier studies in 1970s that the optimal two-sided impuls...
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作者：Chen, Xinyun; Liu, Yunan; Hong, Guiyu
作者单位：The Chinese University of Hong Kong, Shenzhen; North Carolina State University
摘要：We study a dynamic pricing and capacity sizing problem in a GI/GI/1 queue, in which the service provider's objective is to obtain the optimal service fee p and service capacity mu so as to maximize the cumulative expected profit (the service revenue minus the staffing cost and delay penalty). Because of the complex nature of the queueing dynamics, such a problem has no analytic solution so that previous research often resorts to heavy-traffic analysis in which both the arrival and service rate...
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作者：Huang, Weihuan; Lin, Nifei; Hong, L. Jeff
作者单位：Nanjing University; Fudan University; Fudan University; Fudan University
摘要：CoVaR is one of the most important measures of financial systemic risks. It is defined as the risk of a financial portfolio conditional on another financial portfolio being at risk. In this paper we first develop a Monte Carlo simulation-based batching estimator of CoVaR and study its consistency and asymptotic normality. We show that the best rate of convergence that the batching estimator can achieve is n(-1/3), where n is the sample size. We then develop an importance sampling-inspired esti...
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作者：Jalan, Akhil; Chakrabarti, Deepayan; Sarkar, Purnamrita
作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
摘要：Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple structure (e.g., a ring) or a model that assumes conditional independence between edges. We propose a new model where the network emerges from interactions between heterogeneous utility-maximizing firms. Edges correspond to contract agreements between pairs of fir...
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作者：Chen, Nan; Ma, Xiang; Liu, Yanchu; Yu, Wei
作者单位：Chinese University of Hong Kong; Sun Yat Sen University
摘要：We use the technique of information relaxation to develop a duality-driven iterative approach (DDP) to obtain and improve confidence interval estimates for the true value of finite-horizon stochastic dynamic programming problems. Each iteration of the algorithm solves an optimization-expectation procedure. We show that the sequence of dual value estimates yielded from the proposed approach monotonically converges to the true value function in a finite number of dual iterations. Aiming to overc...
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作者：Graf, Lukas; Harks, Tobias
作者单位：University of Passau
摘要：We study dynamic traffic assignment with side constraints. We first give a counter-example to a previous result from the literature regarding the existence of dynamic equilibria for volume-constrained traffic models in the classical linear edge-delay model. Our counter-example shows that the feasible flow space need not be convex, and it further reveals that classical infinite dimensional variational inequalities are not suited for the definition of general side-constrained dynamic equilibria....
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作者：Blaettchen, Philippe; Taneri, Niyazi; Hasija, Sameer
作者单位：City St Georges, University of London; University of Cambridge; INSEAD Business School
摘要：Technological advances enable new business models for heavy equipment manufacturers wherein customers access equipment without ownership. We seek to understand the profitability and environmental performance of different emerging business models in light of salient economic and operational factors. We develop a game-theoretic model to identify the optimal choice between a traditional ownership-based business model and two access-based models: servicization and peer-to-peer sharing. After-sales...
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作者：Feng, Yinbo; Hu, Ming
作者单位：Shanghai University of Finance & Economics; University of Toronto
摘要：We consider a three-stage game in which, first, a large number of potential firms make entry decisions, then those who choose to stay in the market decide on the investment (quality) level in each product, and last, customers with heterogeneous preferences arrive sequentially to make (random) purchase decisions based on product quality and historical sales under the network effect according to a discrete choice model. We characterize such a random purchase process and show that a growing netwo...
