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作者：Nadarajah, Selvaprabu; Margot, Francois; Secomandi, Nicola
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Carnegie Mellon University
摘要：The real option management of commodity conversion assets gives rise to intractable Markov decision processes (MDPs), in part because of the use of high-dimensional models of commodity forward curve evolution, as commonly done in practice. Focusing on commodity storage, we identify a deficiency of approximate linear programming (ALP), which we address by developing a novel approach to derive relaxations of approximate linear programs. We apply our approach to obtain a class of tractable ALP re...
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作者：Goh, Khim-Yong; Hui, Kai-Lung; Png, Ivan P. L.
作者单位：National University of Singapore; Hong Kong University of Science & Technology; National University of Singapore
摘要：If not well targeted, advertising and direct marketing inflict nuisance and inconvenience on consumers. Theoretical analyses predict that consumer actions to avoid advertising impose externalities on other consumers. We investigate the extent of such externalities in the context of the U.S. Do Not Call (DNC) registry by exploiting the exogenous timing of the enforcement of the registry. Supported by multiple robustness tests, and validation and falsification exercises, we conclude that consume...
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作者：Hutton, Irena; Jiang, Danling; Kumar, Alok
作者单位：State University System of Florida; Florida State University; University of Miami
摘要：Using one of the largest samples of litigation data available to date, we examine whether the political culture of a firm determines its propensity for corporate misconduct. We measure political culture using the political contributions of top managers, firm political action committees, and local residents. We show that firms with a Republican culture are more likely to be the subject of civil rights, labor, and environmental litigation than are Democratic firms, consistent with the Democratic...
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作者：Wang, Yudong; Wu, Chongfeng; Yang, Li
作者单位：Shanghai Jiao Tong University; University of New South Wales Sydney
摘要：This paper investigates out-of-sample performance of the naive hedging strategy relative to that of the minimum variance hedging strategy, in which the covariance parameters are estimated from 18 econometric models. Hedging performance is compared across 24 futures markets. Our main findings suggest that it is difficult to find a strategy under the minimum variance framework that outperforms the naive hedging strategy both consistently and significantly. Our findings are robust to different sa...
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作者：Long, Xiaoyang; Nasiry, Javad
作者单位：Hong Kong University of Science & Technology
摘要：Current understanding in operations management is that prospect theory, as a theory of decision making under uncertainty, cannot systematically explain the ordering behavior observed in experiments on the newsvendor problem. We suggest this is because the newsvendor's reference point is assumed to be the status quo, i.e., zero payoff. We propose an alternative based on newsvendor's salient payoffs and show that prospect theory can, in fact, account for experimental results.
