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作者：He, Xue Dong; Strub, Moris S.
作者单位：Chinese University of Hong Kong; Southern University of Science & Technology; Southern University of Science & Technology
摘要：We study the implications of various models of partially endogenous reference point formation on optimal decision making in the context of portfolio optimization under loss aversion. Specifically, we first consider the partially endogenous model of De Giorgi and Post [Management Science (2011) 57(6):1094-1110], where the reference point is determined in equilibrium but contains an exogenous component. We find that optimal trading behavior is as if the reference point were completely exogenous ...
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作者：Marks, Christopher Edward; Zaman, Tauhid
作者单位：Massachusetts Institute of Technology (MIT); The Charles Stark Draper Laboratory, Inc.; Yale University
摘要：In many instances, one may want to gain situational awareness in an environment by monitoring the content of local social media users. Often the challenge is how to build a set of users from a target location. Here, we introduce a method for building such a set of users by using an expand-classify approach, which begins with a small set of seed users from the target location and then iteratively collects their neighbors and classifies their locations. We perform this classification using maxim...
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作者：Bruce, Norris I.; Krishnamoorthy, Anand; Prasad, Ashutosh
作者单位：University of North Carolina; University of North Carolina Chapel Hill; State University System of Florida; University of Central Florida; University of California System; University of California Riverside
摘要：This paper uses dynamic optimization to study the optimal advertising of fash-ion products over time. For fashion products, brand advertising and exclusivity are impor-tant sales drivers. Therefore, we propose a dynamic model of the sales of multiple styles of a fashion brand based on these variables. The model is estimated using a particle filter method on data from two fashion categories (handbags and sunglasses) and has good fit and prediction. We also derive explicit analytical solutions o...
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作者：Chen, Qi (George); Beil, Damian R.; Duenyas, Izak
作者单位：University of London; London Business School; University of Michigan System; University of Michigan
摘要：A buyer seeking to outsource production may be able to find ways to reduce a potential supplier's cost, for example, by suggesting improvements to the supplier's proposed production methods. We study how a buyer could use such cost-reduction investigations by proposing a three-step supplier selection mechanism: First, each of several potential suppliers submits a price bid for a contract. Second, for each potential supplier, the buyer can exert an effort to see if the buyer can identify how th...
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作者：Bakshi, Gurdip; Crosby, John; Gao, Xiaohui
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Old Dominion University
摘要：Emphasizing the statistics of jumps crossing the strike and local time, we develop a decomposition of equity option risk premiums. Operationalizing this theoretical treatment, we equip the pricing kernel process with unspanned risks, embed (unspanned) jump risks, and allow equity return volatility to contain unspanned risks. Unspanned risks are consistent with negative risk premiums for jumps crossing the strike and local time and imply negative risk premiums for out-of-the-money call options ...
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作者：Alpern, Steve; Bui, Thuy; Lidbetter, Thomas; Papadaki, Katerina
作者单位：University of Warwick; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Virginia; University of London; London School Economics & Political Science
摘要：We study a patrolling game played on a network Q, considered as a metric space. The Attacker chooses a point of Q (not necessarily a node) to attack during a chosen time interval of fixed duration. The Patroller chooses a unit speed path on Q and intercepts the attack (and wins) if she visits the attacked point during the attack-time interval. This zero-sum game models the problem of protecting roads or pipelines from an adversarial attack. The payoff to the maximizing Patroller is the probabi...
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作者：Segev, Danny
作者单位：Tel Aviv University
摘要：The main contribution of this paper resides in proposing a carefully crafted dynamic programming approach for capacitated assortment optimization under the nested logit model in its utmost generality. Specifically, we show that the optimal revenue can be efficiently approached within any degree of accuracy by synthesizing ideas related to continuous-state dynamic programming, state space discretization, and sensitivity analysis of modified revenue functions. These developments allow us to devi...
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作者：Zhang, Rui; Samiedaluie, Saied; Zhang, Dan
作者单位：University of Colorado System; University of Colorado Boulder; University of Alberta
摘要：The approximate linear programming approach has received significant attention in the network revenue management literature. A popular approximation in the existing literature is separable piecewise linear (SPL) approximation, which estimates the value of each unit of each resource over time. SPL approximation can be used to construct resource-based bid-price policies. In this paper, we propose a product-based SPL approximation. The coefficients of the product-based SPL approximation can be in...
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作者：Ashlagi, Itai; Krishnaswamy, Anilesh K.; Makhijani, Rahul; Saban, Daniela; Shiragur, Kirankumar
作者单位：Stanford University; Duke University; Facebook Inc; Stanford University
摘要：Two-sided matching platforms provide users with menus of match recommendations. To maximize the number of realized matches between the two sides (referred to herein as customers and suppliers), the platform must balance the inherent tension between recommending more suppliers to customers to increase the chances that they like one of them and avoiding the conflicts that arise when customers, who are given more options, end up choosing the same suppliers. We introduce a stylized model to study ...
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作者：Nedelec, Thomas; Calauzenes, Clement; Perchet, Vianney; El Karoui, Noureddine
作者单位：Universite Paris Cite; Universite Paris Saclay; Ecole Normale Superieure de Lyon (ENS de LYON); Institut Polytechnique de Paris; ENSAE Paris; University of California System; University of California Berkeley
摘要：We address the problem of improving bidders' strategies in prior-dependent revenue-maximizing auctions and introduce a simple and generic method to design novel bidding strategies whenever the seller uses past bids to optimize her mechanism. We propose a simple and agnostic strategy, independent of the distribution of the competition, that is robust to mechanism changes and local optimization of reserve prices by the seller. In many settings, it consists in overbidding for low values, then und...
