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作者：Gupta, Vishal
作者单位：University of Southern California
摘要：We propose a Bayesian framework for assessing the relative strengths of data-driven ambiguity sets in distributionally robust optimization (DRO) when the underlying distribution is defined by a finite-dimensional parameter. The key idea is to measure the relative size between a candidate ambiguity set and a specific asymptotically optimal set. As the amount of data grows large, this asymptotically optimal set is the smallest convex ambiguity set that satisfies a novel Bayesian robustness guara...
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作者：Stamatopoulos, Ioannis; Tzamos, Christos
作者单位：University of Texas System; University of Texas Austin; University of Wisconsin System; University of Wisconsin Madison
摘要：We study a model in which a monopoly firm designs the quality profile of its inventory and then dynamically updates its pricing menu for a finite selling horizon to maximize revenue. In a counterfactual scenario, a social planner goes through the same process to maximize total welfare. We show that in both scenarios the problem of dynamically pricing heterogeneous-quality (vertically differentiated) inventories is equivalent to that of dynamically pricing homogeneous-quality inventories, in th...
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作者：Wong, Tak-Yuen
作者单位：Shanghai University of Finance & Economics; Shanghai Institute of International Finance & Economics
摘要：I study a continuous-time principal-agent model in which a multitasking agent engages in unobserved risk-taking. Risk-taking creates short-term profits but also increases the chance of large losses. The optimal contract incentivizes excessive risk-taking when the agent has insufficient skin in the game. Moreover, if the low effort is not too value-destroying and the private benefit of shirking is low enough, the principal can eliminate risk-taking by implementing the low effort. However, with ...
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作者：Hu, Ming; Liu, Yan; Wang, Wenbin
作者单位：University of Toronto; Tianjin University; Shanghai University of Finance & Economics
摘要：The price fluctuation in agricultural markets is an obstacle to poverty reduction for small-scale farmers in developing countries. We build a microfoundation to study how farmers with heterogeneous production costs, under price fluctuations, make crop-planting decisions over time to maximize their individual welfare. We consider both strategic farmers, who rationally anticipate the near-future price as a basis for making planting decisions, and naive farmers, who shortsightedly react to the mo...
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作者：Seo, Sang Byung; Wachter, Jessica A.
作者单位：University of Houston System; University of Houston; University of Pennsylvania; National Bureau of Economic Research
摘要：Contrary to well-known asset pricing models, volatilities implied by equity index options exceed realized stock market volatility and exhibit a pattern known as the volatility skew. We explain both facts using a model that can also account for the mean and volatility of equity returns. Our model assumes a small risk of economic disaster that is calibrated based on international data on large consumption declines. We allow the disaster probability to be stochastic, which turns out to be crucial...
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作者：Niessen-Ruenzi, Alexandra; Ruenzi, Stefan
作者单位：University of Mannheim
摘要：We document significantly lower inflows in female-managed funds than in male-managed funds. This result is obtained with field data and with data from a laboratory experiment. We find no gender differences in performance. Thus, rational statistical discrimination is unlikely to explain the fund flow effect. We conduct an implicit association test and find that subjects with stronger gender bias according to this test invest significantly less in female-managed funds. Our results suggest that g...
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作者：Bertsimas, Dimitris; Sim, Melvyn; Zhang, Meilin
作者单位：Massachusetts Institute of Technology (MIT); National University of Singapore; Singapore University of Social Sciences (SUSS)
摘要：We develop a modular and tractable framework for solving an adaptive distributionally robust linear optimization problem, where we minimize the worst-case expected cost over an ambiguity set of probability distributions. The adaptive distributionally robust optimization framework caters for dynamic decision making, where decisions adapt to the uncertain outcomes as they unfold in stages. For tractability considerations, we focus on a class of second-order conic (SOC) representable ambiguity se...
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作者：Chen, Huafeng (Jason); Chen, Shaojun (Jenny); Chen, Zhuo; Li, Feng
作者单位：Tsinghua University; Shanghai Jiao Tong University
摘要：We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that two components of the trading signal (i.e., short-term reversal and pairs momentum) have different dynamic and cross-sectional properties. The pairs momentum is largely explained by the one-month version of the industry momentum. Therefore, the pairs trading profits are largely explained by the short-term reversal and a version of the industry momentum.
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作者：Reimers, Mike; Xie, Claire (Chunying)
作者单位：Northeastern University
摘要：Coupons have been a mainstay of marketing for decades all over the world, but their short- and long-run effects on sales are still not understood fully. We develop a model of consumer demand to empirically study whether firms can indeed use coupons as a means to price discriminate by attracting new consumers without losing (cannibalizing) revenue from existing ones, and whether these new consumers return to the firm after the price promotion. In addition, we ask what types of businesses are mo...
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作者：Calvo, Eduard; Cui, Ruomeng; Serpa, Juan Camilo
作者单位：University of Navarra; IESE Business School; Emory University; McGill University
摘要：In the United States, 42% of public infrastructure projects report delays or cost overruns. To mitigate this problem, regulators scrutinize project operations. We study the effect of oversight on delays and overruns with 262,857 projects spanning 71 federal agencies and 54,739 contractors. We identify our results using a federal bylaw: if the project's budget is above a cutoff, procurement officers actively oversee the contractor's operations; otherwise, most operational checks are waived. We ...
