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作者：Sandholm, Tuomas; Likhodedov, Anton
作者单位：Carnegie Mellon University; Deutsche Bank
摘要：Designing optimal-that is, revenue-maximizing-combinatorial auctions (CAs) is an important elusive problem. It is unsolved even for two bidders and two items for sale. Rather than pursuing the manual approach of attempting to characterize the optimal CA, we introduce a family of CAs and then seek a high-revenue auction within that family. The family is based on bidder weighting and allocation boosting; we coin such CAs virtual valuations combinatorial auctions (VVCAs). VVCAs are the Vickrey-Cl...
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作者：Huaman-Aguilar, Ricardo; Cadenillas, Abel
作者单位：University of Alberta; University of Alberta
摘要：Motivated by empirical facts, we develop a theoretical model for optimal currency government debt portfolio and debt payments, which allows both government debt aversion and jumps in the exchange rates. We obtain first a realistic stochastic differential equation for public debt and then solve explicitly the optimal currency debt problem. We show that higher debt aversion and jumps in the exchange rates lead to a lower proportion of optimal debt in foreign currencies. Furthermore, we show that...
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作者：Park, Beomsoo; Van Roy, Benjamin
作者单位：Stanford University; Stanford University; Stanford University
摘要：We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current and prior activity, and unpredictable random effects. The trader must learn coefficients of a price impact model while trading. We propose a new method for simultaneous execution and learning-the confidence-triggered regularized adaptive certainty equivalent (...
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作者：Broadie, Mark; Du, Yiping; Moallemi, Ciamac C.
作者单位：Columbia University; Columbia University; Columbia University
摘要：We introduce a regression-based nested Monte Carlo simulation method for the estimation of financial risk. An outer simulation level is used to generate financial risk factors and an inner simulation level is used to price securities and compute portfolio losses given risk factor outcomes. The mean squared error (MSE) of standard nested simulation converges at the rate k(-2/3), where k measures computational effort. The proposed regression method combines information from different risk factor...
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作者：Luo, Wei; Shang, Kevin
作者单位：University of Navarra; IESE Business School; Duke University
摘要：This paper develops a centralized supply chain model that integrates material flows with cash flows. The supply chain is owned by a single firm with two divisions. The downstream division (headquarters), facing random customer demand, replenishes materials from the upstream division. The firm installs a financial services platform that pools the divisions' cash into a master account managed by the headquarters. In each period, cash is received from customers and paid to the outside vendor afte...
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作者：Secomandi, Nicola
作者单位：Carnegie Mellon University
摘要：Commodity merchants use various heuristics to value leasing contracts on storage facilities as real options and make inventory trading decisions. Two prominent heuristics sequentially reoptimize simple models, leading to the so-called rolling intrinsic (RI) policy and rolling basket of spread options (RSO) policy. The extant literature numerically demonstrates that these two policies are nearly optimal in many realistic settings and can be used with Monte Carlo simulation to obtain fairly accu...
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作者：Siebert, Johannes; Keeney, Ralph L.
作者单位：University of Bayreuth; Duke University
摘要：The quality of alternatives is crucial for making good decisions. This research, based on five empirical studies of important personally relevant decisions, examines the ability of decision makers to create alternatives for their important decisions and the effectiveness of different stimuli for improving this ability. For decisions for which the full set of potentially desirable alternatives is not readily apparent, our first study indicates that decision makers identify less than half of the...
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作者：Chen, Xi; Zhang, Jiawei; Zhou, Yuan
作者单位：New York University; New York University; New York University; NYU Shanghai; Massachusetts Institute of Technology (MIT)
摘要：We study the problem of how to design a sparse flexible process structure in a balanced and symmetrical production system to match supply with random demand more effectively. Our goal is to provide a sparsest design to achieve (1 - epsilon)-optimality relative to the fully flexible system. In a balanced system with n plants and n products, Chou et al. (2011) proved that there exists a graph expander with Omicron(n/epsilon) arcs to achieve (1 - epsilon)-optimality for every demand realization. ...
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作者：Park, Chuljin; Kim, Seong-Hee
作者单位：Hanyang University; University System of Georgia; Georgia Institute of Technology
摘要：We consider a discrete optimization via simulation (DOvS) problem with stochastic constraints on secondary performance measures in which both objective and secondary performance measures need to be estimated by stochastic simulation. To solve the problem, we develop a new method called the Penalty Function with Memory (PFM). It is similar to an existing penalty-type method-which consists of a penalty parameter and a measure of violation of constraints-in a sense that it converts a DOvS problem...
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作者：Rhee, Chang-Han; Glynn, Peter W.
作者单位：University System of Georgia; Georgia Institute of Technology; Stanford University
摘要：In many settings in which Monte Carlo methods are applied, there may be no known algorithm for exactly generating the random object for which an expectation is to be computed. Frequently, however, one can generate arbitrarily close approximations to the random object. We introduce a simple randomization idea for creating unbiased estimators in such a setting based on a sequence of approximations. Applying this idea to computing expectations of path functionals associated with stochastic differ...
