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作者：Armstrong, Christopher S.; Larcker, David F.; Su, Che-Lin
作者单位：University of Pennsylvania; Stanford University; University of Chicago
摘要：The two major paradigms in the theoretical agency literature are moral hazard (i.e., hidden action) and adverse selection (i.e., hidden information). Prior research typically solves these problems in isolation, as opposed to simultaneously incorporating both adverse selection and moral hazard features. We formulate two complementary generalized principal-agent models that incorporate features observed in real-world contracting environments (e. g., agents with power utility and limited liabilit...
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作者：Horner, Johannes; Rosenberg, Dinah; Solan, Eilon; Vieille, Nicolas
作者单位：Yale University; Hautes Etudes Commerciales (HEC) Paris; Tel Aviv University
摘要：We apply the average cost optimality equation to zero-sum Markov games by considering a simple game with one-sided incomplete information that generalizes an example of Aumann and Maschler [Aumann, R. J., M. B. Maschler. 1995. Repeated Games with Incomplete Information. MIT Press, Cambridge, MA]. We determine the value and identify the optimal strategies for a range of parameters.
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作者：Borkovsky, Ron N.; Doraszelski, Ulrich; Kryukov, Yaroslav
作者单位：University of Toronto; Harvard University; Carnegie Mellon University
摘要：This paper provides a step-by-step guide to solving dynamic stochastic games using the homotopy method. The homotopy method facilitates exploring the equilibrium correspondence in a systematic fashion; it is especially useful in games that have multiple equilibria. We discuss the theory of the homotopy method and its implementation and present two detailed examples of dynamic stochastic games that are solved using this method.
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作者：Su, Xuanming
作者单位：University of California System; University of California Berkeley
摘要：We study a dynamic pricing problem for a class of products with stable consumption patterns (e. g., household items, staple foods). Consumers may stock up the product at current prices for future consumption, but they incur inventory holding costs. We model this situation as a dynamic game over an infinite time horizon: in each period, the seller sets a price, and each consumer chooses how many units to buy. We develop a solution methodology based on rational expectations. By endowing each pla...
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作者：Breton, Michele; de Frutos, Javier
作者单位：Universite de Montreal; Universite de Montreal; HEC Montreal; Universidad de Valladolid
摘要：In this paper, we propose a partial differential equation formulation for the value of an option when the underlying asset price is described by a discrete-time GARCH process. Our numerical approach involves a spectral Fourier-Chebyshev interpolation. Numerical illustrations are provided, and the results are compared with other available valuation methods. Our numerical procedure converges exponentially fast and allows for the efficient computation of option prices, achieving a high level of p...
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作者：Chehrazi, Naveed; Weber, Thomas A.
作者单位：Stanford University
摘要：Many decision problems exhibit structural properties in the sense that the objective function is a composition of different component functions that can be identified using empirical data. We consider the approximation of such objective functions, subject to general monotonicity constraints on the component functions. Using a constrained B-spline approximation, we provide a data-driven robust optimization method for environments that can be sample-sparse. The method, which simultaneously ident...
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作者：Besanko, David; Doraszelski, Ulrich; Lu, Lauren Xiaoyuan; Satterthwaite, Mark
作者单位：Northwestern University; Harvard University; University of North Carolina; University of North Carolina Chapel Hill
摘要：Capacity addition and withdrawal decisions are among the most important strategic decisions made by firms in oligopolistic industries. In this paper, we develop and analyze a fully dynamic model of an oligopolistic industry with lumpy capacity and lumpy investment/disinvestment. We use our model to suggest answers to two questions: First, what economic factors facilitate preemption races? Second, what economic factors facilitate capacity coordination? With a series of examples we show that low...
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作者：Downward, A.; Zakeri, G.; Philpottt, A. B.
作者单位：University of Auckland
摘要：We consider electricity pool markets in radial transmission networks in which the lines have capacities. At each node there is a strategic generator injecting generation quantities into the pool. Prices are determined by a linear competitive fringe at each node (or equivalently a linear demand function) through a convex dispatch optimization. We derive a set of linear inequalities satisfied by the line capacities that gives necessary and sufficient conditions for the unconstrained one-shot Cou...
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作者：Pritchard, Geoffrey; Zakeri, Golbon; Philpott, Andrew
作者单位：University of Auckland; University of Auckland
摘要：We discuss a stochastic-programming-based method for scheduling electric power generation subject to uncertainty. Such uncertainty may arise from either imperfect forecasting or moment-to-moment fluctuations, and on either the supply or the demand side. The method gives a system of locational marginal prices that reflect the uncertainty, and these may be used in a market settlement scheme in which payment is for energy only. We show that this scheme is revenue adequate in expectation.
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作者：Ben-Tal, Aharon; Bertsimas, Dimitris; Brown, David B.
作者单位：Technion Israel Institute of Technology; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Duke University
摘要：In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision maker to vary the protection level in a smooth way across the uncertainty set. We apply our approach to the problem of maximizing the expected value of a payoff function when the underlying distribution is ambiguous and therefore robustness is relevant. Our primary objective is to develop this framework and relate it to the standard notion of robustness, which d...
