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作者：Huang, Shiyang; Hwang, Byoung-Hyoun; Lou, Dong; Yin, Chengxi
作者单位：University of Hong Kong; Cornell University; Korea University; University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR); University of International Business & Economics
摘要：We propose that investor beliefs frequently cross in the sense that an investor may like company A but dislike company B, whereas another investor may like company B but dislike company A. Such belief-crossing makes it almost impossible to construct a portfolio that is composed solely of every investor's most favored companies. This causes the level of excitement for portfolios to be generally lower than the levels of excitement that individual companies generate among their most fervent suppo...
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作者：Capponi, Agostino; Glasserman, Paul; Weber, Marko
作者单位：Columbia University; Columbia University; National University of Singapore
摘要：We develop a model of the feedback between mutual fund outflows and asset illiquidity. Following a market shock, alert investors anticipate the impact on a fund's net asset value (NAV) of other investors' redemptions and exit first at favorable prices. This first-mover advantage may lead to fund failure through a cycle of falling prices and increasing redemptions. Our analysis shows that (i) the first-mover advantage introduces a nonlinear dependence between a market shock and the aggregate im...
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作者：Chun, So Yeon; Lejeune, Miguel A.
作者单位：Georgetown University; INSEAD Business School; George Washington University
摘要：We consider a lender (bank) that determines the optimal loan price (interest rate) to offer to prospective borrowers under uncertain borrower response and default risk. A borrower may or may not accept the loan at the price offered, and both the principal loaned and the interest income become uncertain because of the risk of default. We present a risk-based loan pricing optimization framework that explicitly takes into account the marginal risk contribution, the portfolio risk, and a borrower'...
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作者：Paddrik, Mark; Rajan, Sriram; Young, H. Peyton
作者单位：Office of Financial Research; United States Department of the Treasury; University of London; London School Economics & Political Science; University of Oxford
摘要：A major credit shock can induce large intraday variation margin payments between counterparties in derivatives markets, which may force some participants to default on their payments. These payment shortfalls become amplified as they cascade through the network of exposures. Using detailed Depository Trust & Clearing Corporation data, we model the full network of exposures, shock-induced payments, initial margin collected, and liquidity buffers for about 900 firms operating in the U.S. credit ...
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作者：Do, Hung T.; Shunko, Masha
作者单位：University of Vermont; University of Washington; University of Washington Seattle
摘要：Flow-control policies that balance server loads are well known for improving performance of queueing systems with multiple nodes. However, although load balancing benefits the system overall, it may negatively impact some of the queueing nodes. For example, it may reduce throughput rates or engender unfairness with respect to some performance measures. For queueing systems with multiple single-server nodes, we propose a set of constrained load-balancing policies that ensures the expected arriv...
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作者：Jagabathula, Srikanth; Subramanian, Lakshminarayanan; Venkataraman, Ashwin
作者单位：New York University; Harvard University; New York University; Harvard University
摘要：Mixture models are versatile tools that are used extensively in many fields, inducting operations, marketing, and econometrics. The main challenge in estimating mixture models is that the mixing distribution is often unknown, and imposing a priori parametric assumptions can lead to model misspecification issues. In this paper, we propose a new methodology for non-parametric estimation of the mixing distribution of a mixture of logit models. We formulate the likelihood-based estimation problem ...
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作者：Chen, Zhi; Sim, Melvyn; Xiong, Peng
作者单位：City University of Hong Kong; National University of Singapore
摘要：We present a new distributionally robust optimization model called robust stochastic optimization (RSO), which unifies both scenario-tree-based stochastic linear optimization and distributionally robust optimization in a practicable framework that can be solved using the state-of-the-art commercial optimization solvers. We also develop a new algebraic modeling package, Robust Stochastic Optimization Made Easy (RSOME), to facilitate the implementation of RSO models. The model of uncertainty inc...
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作者：Babenko, Ilona; Tserlukevich, Yuri; Wan, Pengcheng
作者单位：Arizona State University; Arizona State University-Tempe
摘要：Corporations often transact in their own mispriced stock. This activity, known as equity market timing, can generate substantial profits and increase the long-term stock price. We challenge a closely related popular view that market timing always benefits firm shareholders. Opportunistic financing maneuvers by a firm can negatively affect its un-informed stock owners because of adverse selection and the change in the firm's short-term price, whereas the long-term returns do not accumulate to d...
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作者：Cahlikova, Jana; Cingl, Lubomir; Levely, Ian
作者单位：Max Planck Society; Prague University of Economics & Business; Wageningen University & Research
摘要：Because many key career events, such as examinations and interviews, involve competition and stress, gender differences in response to these factors could help to explain the labor market gender gap. In a laboratory experiment, we manipulate psychosocial stress using the Trier Social Stress Test and confirm that this is effective by measuring salivary cortisol level and heart rate. Subjects perform in a real-effort task under both tournament and piece-rate incentives, and we elicit willingness...
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作者：Diestre, Luis; Barber, Benjamin; Santalo, Juan
作者单位：IE University
摘要：Safety alerts are announcements made by health regulators warning patients and doctors about new drug-related side effects. However, not all safety alerts are equally effective. We provide evidence that the day of the week on which the safety alerts are announced explains differences in safety alert impact. Specifically, we show that safety alerts announced on Fridays are less broadly diffused: they are shared 34% less on social media, mentioned in 23% to 66% fewer news articles, and are 12% t...
