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作者：Ke, Rongzhu; Ryan, Christopher Thomas
作者单位：Hong Kong Baptist University; University of Chicago
摘要：We develop a simple sufficient condition for an optimal contract of a moral hazard problem to be monotone in the output signal. Existing results on monotonicity require conditions on the output distribution (namely, the monotone likelihood ratio property (MLRP)) and additional conditions to guarantee that agent's decision is approachable via the first-order approach of replacing that problem with its first-order conditions. We know of no positive monotonicity results in the setting where the f...
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作者：Keskin, N. Bora; Zeevi, Assaf
作者单位：Duke University; Columbia University
摘要：We consider a dynamic learning problem where a decision maker sequentially selects a control and observes a response variable that depends on chosen control and an unknown sensitivity parameter. After every observation, the decision maker updates his or her estimate of the unknown parameter and uses a certainty-equivalence decision rule to determine subsequent controls based on this estimate. We show that under this certainty-equivalence learning policy the parameter estimates converge with po...
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作者：Huang, Junfei; Gurvich, Itai
作者单位：Chinese University of Hong Kong
摘要：Central-limit (Brownian) approximations are widely used for the performance analysis and optimization of queueing networks because of their tractability relative to the original queueing models. The stationary distributions of the approximations are used as proxies for those of the queues. The convergence of suitably scaled and centered processes provides mathematical support for the use of these Brownian models. As with the central limit theorem, to establish convergence, one must impose assu...
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作者：Fridgeirsdottir, Kristin; Najafi-Asadolahi, Sami
作者单位：University of London; London Business School; Santa Clara University
摘要：Display advertising has a 39% share of the online advertising market and is its fastest-growing category. In this paper, we consider an online display advertising setting in which a web publisher posts display ads on its website and charges based on the cost-per-impression (CPM) pricing scheme while promising to deliver a certain number of impressions on the ads posted. The publisher faces uncertain demand for advertising slots and uncertain supply of visits from viewers. We formulate the prob...
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作者：Chen, Qiushi; Ayer, Turgay; Chhatwal, Jagpreet
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Georgia; Georgia Institute of Technology; Harvard University; Harvard Medical School; Harvard University; Harvard University Medical Affiliates; Massachusetts General Hospital
摘要：Hepatocellular carcinoma (HCC) is the most common type of liver cancer and the fastest-growing cause of cancer-related deaths in the United States. Most HCC cases are attributed to chronic hepatitis C virus infection, which affects nearly 3 million Americans and 100 million people globally. Although surveillance for HCC m hepatitis C patients can improve survival, the optimal surveillance policies remain unknown. In this study, we develop a mixed-integer programming (MlP)-based framework to sy...
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作者：Mills, Alex F.; Argon, Nilay Tanik; Ziya, Serhan
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：In the aftermath of a disaster, emergency responders must transport a large number of patients to medical facilities, using limited transportation resources (such as ambulances). Decisions about where to send the patients are typically made in an ad hoc manner by responders on the scene. Using a Markov decision process formulation, we develop two heuristic policies that use limited information such as mean travel times and congestion levels to determine (a) how to allocate ambulances to patien...
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作者：Olivares-Nadal, Alba V.; DeMiguel, Victor
作者单位：Universidad Pablo de Olavide; University of London; London Business School
摘要：We prove that the portfolio problem with transaction costs is equivalent to three different problems designed to alleviate the impact of estimation error: a robust portfolio optimization problem, a regularized regression problem, and a Bayesian portfolio problem. Motivated by these results, we propose a data-driven approach to portfolio optimization that tackles transaction costs and estimation error simultaneously by treating the transaction costs as a regularization term to be calibrated. Ou...
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作者：Yang, Liu; Guo, Pengfei; Wang, Yulan
作者单位：Tsinghua University; Hong Kong Polytechnic University
摘要：We consider a service system in which customers are loss averse toward both price and delay attributes. That is, customers compare these two attributes with their rational expectations of outcomes, with losses being more painful than equal-sized gains are pleasant. We first study customers' equilibrium queueing strategies. We find that, unlike the traditional case in which loss aversion is not considered, there may exist three equilibrium strategies, one of which is preferred m the sense that ...
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作者：Besbes, Omar; Scarsini, Marco
作者单位：Columbia University; Luiss Guido Carli University
摘要：Consumer reviews and ratings of products and services have become ubiquitous on the Internet. This paper analyzes, given the sequential nature of reviews and the limited feedback of such past reviews, the information content they communicate to future customers. We consider a model with heterogeneous customers who buy a product of unknown quality and we focus on two different informational settings. In the first setting, customers observe the whole history of past reviews. In the second one th...
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作者：Bo, Yang; Dawande, Milind; Janakiraman, Ganesh
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Dallas
摘要：In a recent paper, Johnson et al. (2014) [Johnson K, Simchi-Levi D, Sun P (2014) Analyzing scrip systems. Oper. Res. 62(3):524-534.] use an infinitely repeated game with discounting, among a set of homogeneous players, to model a scrip system. In each period, a randomly chosen player requests service; all the other players have a choice of whether or not to volunteer to provide service. Among the players who volunteer, the service provider is chosen using the minimum-scrip rule: a player with ...
