-
作者：Gawande, K; Bohara, AK
作者单位：Texas A&M University System; Texas A&M University College Station; Bush School of Government & Public Service; University of New Mexico
摘要：We study two issues in the enforcement of public law. The first is whether the system of inspections and penalties set by the regulator is effective. The second is whether a better system of inspections and penalties can be designed, given the institutional constraints under which the regulator must function. We study these issues in the context of oil spill prevention activities of the U.S. Coast Guard (USCG), the agency entrusted with the enforcement of maritime pollution laws. A theoretical...
-
作者：Detemple, J; Garcia, R; Rindisbacher, M
作者单位：Boston University; Universite de Montreal; Universite de Montreal
摘要：We study the convergence of Monte Carlo estimators of derivatives when the transition density of the underlying state variables is unknown. Three types of estimators are compared. These are respectively based on Malliavin derivatives, on the covariation with the driving Wiener process, and on finite difference approximations of the derivative. We analyze two different estimators based on Malliavin derivatives. The first one, the Malliavin path estimator, extends the path derivative estimator o...
-
作者：Glasserman, P; Li, JY
作者单位：Columbia University
摘要：Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other instruments subject to possible default. The accurate measurement of credit risk is often a rare-event simulation problem because default probabilities are low for highly rated obligors and because risk management is particularly concerned with rare but significant losses resulting from a large number of defaults. This makes importance sampling (IS) potentially attractive. But th...
-
作者：Gneezy, U
作者单位：University of Chicago
摘要：Step-level models of reasoning (SLR) proved to be very successful in predicting behavior in the beauty contest game. Recently, a quantified version of the model was suggested as a more general model of thinking. In particular, it was found that, the distribution of choices could be represented by a Poisson distribution. I test the model in stylized first- and second-price common-value sealed-bid auctions. Equilibrium, for both auction types, prescribes that players undercut each other and prof...
-
作者：Andersen, K; Cornuéjols, G; Li, YJ
作者单位：Universite Catholique Louvain; Carnegie Mellon University; Aix-Marseille Universite; Purdue University System; Purdue University
摘要：Mixed-integer Gomory cuts have become an integral part of state-of-the-art software for solving mixed-integer linear programming problems. Therefore, improvements in the performance of these cutting planes can be of great practical value. In this paper, we present a simple and fast heuristic for improving the coefficients on the continuous variables in the mixed-integer Gomory cuts. This is motivated by the fact that in a mixed-integer Gomory cut, the coefficient of an integer variable lies be...
-
作者：Best, MJ; Hlouskova, J
作者单位：University of Waterloo
摘要：We consider the problem of maximizing an expected utility function of n assets, such as the mean-variance or power-utility function. Associated with a change in an asset's holdings from its current or target value is a transaction cost. This cost must be accounted for in practical problems. A straightforward way of doing so results in a 3n-dimensional optimization problem with 3n additional constraints. This higher dimensional problem is computationally expensive to solve. We present a method ...
-
作者：de Jong, A; de Ruyter, K; Wetzels, M
作者单位：Eindhoven University of Technology; Maastricht University
摘要：This paper proposes and tests a model of antecedents and consequences of group potency in self-managing teams in retail banking. Based on data collected from boundary-spanning service employees organized in 60 teams and their customers, our findings reveal a significant positive impact of group potency on customer-perceived service quality and a negative effect on service profitability. In addition, we find that team consensus regarding group potency positively moderates the effects of group p...
