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作者：Bergman, David; Cire, Andre A.
作者单位：University of Connecticut; University of Toronto; University Toronto Scarborough; University of Toronto
摘要：This paper investigates a decomposition approach for binary optimization problems with nonlinear objectives and linear constraints. Our methodology relies on the partition of the objective function into separate low-dimensional dynamic programming (DP) models, each of which can be equivalently represented as a shortest-path problem in an underlying state-transition graph. We show that the associated transition graphs can be related by a mixed-integer linear program (MILP) so as to produce exac...
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作者：Bolton, Gary; Greiner, Ben; Ockenfels, Axel
作者单位：University of Texas System; University of Texas Dallas; Vienna University of Economics & Business; University of Cologne
摘要：Many online markets encourage traders to make good after an unsatisfactory transaction by offering the opportunity to withdraw negative reputational feedback in a dispute resolution phase. Motivated by field evidence and guided by theoretical considerations, we use laboratory markets with two-sided moral hazard to show that this option, contrary to the intended purpose, produces an escalation of dispute. The mutual feedback withdrawal option creates an incentive to leave negative feedback, ind...
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作者：Ehling, Paul; Gallmeyer, Michael; Srivastava, Sanjay; Tompaidis, Stathis; Yang, Chunyu
作者单位：BI Norwegian Business School; University of Virginia; University System of Georgia; Georgia State University; University of Texas System; University of Texas Austin
摘要：We study portfolio choice with multiple stocks and capital gains taxation, assuming that capital losses can only offset current or future realized capital gains. We show, through backtesting using empirical distributions, that optimal equity holdings over an extended period are significantly lower on average than benchmark holdings suggested in the literature. Using value and growth or small and large portfolios, the backtests show that allocations remain persistently underdiversified. Carryov...
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作者：Sun, Peng; Tian, Feng
作者单位：Duke University; University of Michigan System; University of Michigan
摘要：We consider a basic model of a risk-neutral principal incentivizing a risk-neutral agent to exert effort to raise the arrival rate of a Poisson process. The effort is costly to the agent, is unobservable to the principal, and affects the instantaneous arrival rate. Each arrival yields a constant revenue to the principal. The principal, therefore, devises a mechanism involving payments and a potential stopping time to motivate the agent to always exert effort. We formulate this problem as a sto...
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作者：Bhattacharya, Utpal; Kuo, Wei-Yu; Lin, Tse-Chun; Zhao, Jing
作者单位：Hong Kong University of Science & Technology; National Chengchi University; National Chengchi University; University of Hong Kong; Hong Kong Polytechnic University
摘要：Do superstitious traders lose money? We answer this question in the context of trading in the Taiwan Futures Exchange, where we exploit the Chinese superstition that the number 8 is lucky and the number 4 is unlucky. We find that individual investors, but not institutional investors, submit disproportionately more limit orders at 8 than at 4. This imbalance, defined as the superstition index for each investor, is positively correlated with trading losses. Superstitious investors lose money mai...
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作者：Xu, Linli; Silva-Risso, Jorge M.; Wilbur, Kenneth C.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California Riverside; University of California System; University of California San Diego
摘要：In light of recent calls for further validation of structural models, this paper evaluates the popular dynamic quality ladder (DQL) model using a nonrandom holdout approach. The model is used to predict data following a regime shift-that is, a change in the environment that produced the estimation data. The prediction performance is evaluated relative to a benchmark vector autoregression (VAR) model across three automotive categories and multiple prediction horizons. Whereas the VAR model perf...
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作者：Kuruzovich, Jason; Etzion, Hila
作者单位：Rensselaer Polytechnic Institute; University of Michigan System; University of Michigan
摘要：The Internet enables sellers to offer products through multiple channels simultaneously. In particular, many sellers utilize online auctions in parallel to an offline channel in which they offer the item for a fixed price. Using search theory, we develop an analytical model for studying sellers' pricing decisions and auction outcomes in the context of such multichannel retailing. Our analytical model provides a framework for studying how characteristics of the demand in an offline retail sales...
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作者：Cai, Jiatu; Chen, Xinfu; Dai, Min
作者单位：Universite Paris Cite; Sorbonne Universite; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; National University of Singapore; National University of Singapore
摘要：Capital gains taxation has important implications for investors' portfolio choice decisions. To explore these implications, we develop a continuous time investment and consumption model with capital gains tax, Epstein-Zin recursive utility, and regime switching. We find that various factors, such as tax rate, risk aversion, interest rate, stock return, and volatility, jointly affect optimal portfolio allocation, whereas intertemporal substitution does not. In a regime switching market, investo...
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作者：Lam, Henry
作者单位：University of Michigan System; University of Michigan
摘要：Procedures in assessing the impact of serial dependency on performance analysis are usually built on parametrically specified models. In this paper, we propose a robust, nonparametric approach to carry out this assessment, by computing the worst-case deviation of the performance measure due to arbitrary dependence. The approach is based on optimizations, posited on the model space, that have constraints specifying the level of dependency measured by a nonparametric distance to some nominal ind...
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作者：Markopoulos, Panos M.; Hosanagar, Kartik
作者单位：University of Cyprus; University of Pennsylvania
摘要：New technologies such as product simulators and virtual reality now allow firms to provide realistic product usage experiences and reduce buyer uncertainty about product quality. We argue that today's firms should view product design and investments to reduce buyer uncertainty as an integrated process, which is in turn influenced by how much information buyers can obtain from third-party infomediaries. We introduce a game-theoretic model of a competitive market where both quality production an...
