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作者：Aouad, Ali; Feldman, Jacob; Segev, Danny
作者单位：University of London; London Business School; Washington University (WUSTL); Tel Aviv University
摘要：In this paper, we consider the yet-uncharted assortment optimization problem under the exponomial choice model, in which the objective is to determine the revenue-maximizing set of products that should be offered to customers. Ourmain algorithmic contribution comes in the form of a fully polynomial-time approximation scheme, showing that the optimal expected revenue can be efficiently approached within any degree of accuracy. We synthesize several ideas related to approximate dynamic programmi...
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作者：Petropoulos, Fotios; Siemsen, Enno
作者单位：University of Bath; University of Wisconsin System; University of Wisconsin Madison
摘要：Effective approaches to forecast model selection are crucial to improve forecast accuracy and to facilitate the use of forecasts for decision-making processes. Information criteria or cross-validation are common approaches of forecast model selection. Both methods compare forecasts with the respective actual realizations. However, no existing selection method assesses out-of-sample forecasts before the actual values become available???a technique used in human judgment in this context. Researc...
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作者：Billings, Mary Brooke; Hsueh, Kevin; Lewis-Western, Melissa F.; Shobe, Gladriel
作者单位：New York University; Brigham Young University
摘要：This paper examines an innovation in capital formation that has spurred contentious debate: the Umbrella Partnership Corporation (???Up-C???) IPO. Advisors and underwriters argue that the Up-C deal structure is a driver of post-IPO value and, thus, is a value-enhancing means of raising capital that may be one solution to concerns regarding the drop in the number of publicly traded companies. Consistent with these claims, recent research suggests that organizing soon-to-be public businesses as ...
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作者：Fattahi, Ali; Dasu, Sriram; Ahmadi, Reza
作者单位：Johns Hopkins University; University of Southern California; University of California System; University of California Los Angeles
摘要：We study direct load control contracts that utilities use to curtail customers' electricity consumption during peak-load periods. These contracts place limits on the number of calls and total number of hours of power reduction per customer per year as well as the duration of each call. The stochastic dynamic program that determines how many customers to call and the timing and duration of each call for each day is an extremely difficult (NP-hard) optimization problem. We design a scenario-base...
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作者：Jia, Yanwei; Keppo, Jussi; Satopaa, Ville
作者单位：Columbia University; National University of Singapore; INSEAD Business School
摘要：Decision makers often ask experts to forecast a future state. Experts, however, can be biased. In the economics and psychology literature, one extensively studied behavioral bias is called herding. Under strong levels of herding, disclosure of public information may lower forecasting accuracy. This result, however, is derived only for point forecasts. In this paper, we consider experts??? probabilistic forecasts under herding, find a closedform expression for the first two moments of a unique ...
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作者：Shin, Minkyu; Shin, Jiwoong; Ghili, Soheil; Kim, Jaehwan
作者单位：City University of Hong Kong; Yale University; Korea University
摘要：This paper seeks to demonstrate the impact of the gig economy on product quality in seemingly unrelated local industries through the labor market. Our empirical context is the quality of service for restaurants in the city of Austin, and we examine how they were impacted by the exogenous exit and reentry of rideshare platforms, Uber and Lyft, because of regulatory changes. We leverage these exogenous shocks and combine them with sentiment-analyzed data from Yelp reviews that capture how custom...
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作者：Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian
作者单位：Australian National University; Deutsche Bundesbank; Goethe University Frankfurt
摘要：In a parsimonious regime switching model, we find strong evidence that expected consumption growth varies over time. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics replicate the observed time variation in stock return volatilities and stock-bond return correlations. They also provide an alternative...
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作者：Hoga, Yannick; Demetrescu, Matei
作者单位：University of Duisburg Essen; Dortmund University of Technology
摘要：This paper introduces formal monitoring procedures as a risk-management tool. Continuously monitoring risk forecasts allows practitioners to swiftly review and update their forecasting procedures as soon as forecasts turn inadequate. Similarly, regulators may take timely action in case reported risk forecasts become poor. Extant (one-shot) backtests require, however, that all data are available prior to testing and are not informative of when inadequacies might have occurred. To monitor value-...
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作者：Hsu, Alex; Palomino, Francisco; Qian, Liang
作者单位：University System of Georgia; Georgia Institute of Technology; Federal Reserve System - USA; Federal Reserve System Board of Governors; Citigroup Incorporated
摘要：We document and examine a significant shift in the comovement of asset returns and macroeconomic volatility during the Great Moderation. Strong US. stock and bond return predictability from several macroeconomic volatility series before 1982 was followed by a significant predictability decline during the Great Moderation (1982-2008). These findings are robust to alternative empirical specifications and out-of-sample tests. In a calibrated equilibrium model with time-varying volatility, the pre...
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作者：Chen, Wei; Wei, Zaiyan; Xie, Karen
作者单位：University of Arizona; Purdue University System; Purdue University; University of Denver
摘要：We study professional players and their roles in peer-to-peer (P2P) markets. Most notably, P2P home-sharing platforms (e.g., Airbnb) consist of both professional hosts and nonprofessional individual hosts. What are the roles of the professionals? Should home-sharing platforms regulate their participation? Professional hosts may primarily offer properties that nonprofessional hosts would not supply and attract more guests-the differentiation effect. Or they may mostly supply similar properties ...
