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作者：Lacker, Daniel
作者单位：Columbia University
摘要：This paper studies curves of the form (rho(lambda X)(lambda >= 0), called risk profiles, where rho is a convex risk measure and X a random variable. Financially, this captures the sensitivity of risk to the size of the investment in X, which the original axiomatic foundations of convex risk measures suggest to interpret as liquidity risk. The shape of a risk profile is intimately linked with the tail behavior of X for some notable classes of risk measures, namely shortfall risk measures and op...
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作者：Chen, Yiwei; Farias, Vivek F.
作者单位：University System of Ohio; University of Cincinnati; Massachusetts Institute of Technology (MIT)
摘要：We consider the canonical revenue management (RM) problem wherein a seller must sell an inventory of some product over a finite horizon via an anonymous, posted price mechanism. Unlike typical models in RM, we assume that customers are forward looking. In particular, customers arrive randomly over time and strategize about their times of purchases. The private valuations of these customers decay over time and the customers incur monitoring costs; both the rates of decay and these monitoring co...
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作者：Berczi, Kristof; Frank, Andras
作者单位：Eotvos Lorand University
摘要：By generalizing a recent result of Hong, Liu and Lai on characterizing the degree-sequences of simple strongly connected directed graphs, a characterization is provided for degree-sequences of simple k-node-connected digraphs. More generally, we solve the directed node-connectivity augmentation problem when the augmented digraph is degree-specified and simple. As for edge-connectivity augmentation, we solve the special case when the edge-connectivity is to be increased by one and the augmentin...
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作者：Adan, Ivo; Busic, Ana; Mairesse, Jean; Weiss, Gideon
作者单位：Eindhoven University of Technology; Inria; Universite PSL; Ecole Normale Superieure (ENS); Centre National de la Recherche Scientifique (CNRS); Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); University of Haifa
摘要：The model of FCFS infinite bipartite matching was introduced in Caldentey, Kaplan and Weiss, 2009. In this model, there is a sequence of items that are chosen i.i.d. from a finite set C and an independent sequence of items that are chosen i.i.d. from a finite set S, and a bipartite compatibility graph G between C and S. Items of the two sequences are matched according to the compatibility graph, and the matching is FCFS, meaning that each item in the one sequence is matched to the earliest com...
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作者：Kelly, Frank; Yudovina, Elena
作者单位：University of Cambridge; University of Minnesota System; University of Minnesota Twin Cities
摘要：We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for the lowest ask, where the limiting distributions are confined between two thresholds. We make extensive use of fluid limits to establish recurrence properties of the model. We use the model to analyze various high-frequency trading strategies, and comment on...
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作者：Fryer, Roland; Harms, Philipp
作者单位：Harvard University; National Bureau of Economic Research; University of Freiburg
摘要：We present a two-armed bandit model of decision making under uncertainty where the expected return to investing in the risky arm increases when choosing that arm and decreases when choosing the safe arm. These dynamics are natural in applications such as human capital development, job search, and occupational choice. Using new insights from stochastic control, along with a monotonicity condition on the payoff dynamics, we show that optimal strategies in our model are stopping rules that can be...
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作者：Bolte, Jerome; Sabach, Shoham; Teboulle, Marc
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Technion Israel Institute of Technology; Tel Aviv University
摘要：We introduce a novel approach addressing global analysis of a difficult class of nonconvex-nonsmooth optimization problems within the important framework of Lagrangian-based methods. This genuine nonlinear class captures many problems in modern disparate fields of applications. It features complex geometries, qualification conditions, and other regularity properties do not hold everywhere. To address these issues, we work along several research lines to develop an original general Lagrangian m...
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作者：Gadat, Sebastien; Gavra, Ioana; Risser, Laurent
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Centre National de la Recherche Scientifique (CNRS); Universite de Toulouse; Universite Toulouse III - Paul Sabatier
摘要：Discrete structures like graphs make it possible to naturally and flexibly model complex phenomena. Since graphs that represent various types of information are increasingly available today, their analysis has become a popular subject of research. Yet, even an algorithm for locating the average position in graphs is lacking although this knowledge would be of primary interest for statistical analysis or representation problems. In this work, we develop a stochastic algorithm for finding the Fr...
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作者：Abdi, Ahmad; Pashkovich, Kanstantsin; Cornuejols, Gerard
作者单位：University of Waterloo; Carnegie Mellon University
摘要：For a clutter C over ground set E, a pair of distinct elements e, f is an element of E are coexclusive if every minimal cover contains at most one of them. An identification of C is another clutter obtained after identifying coexclusive elements of C. If a clutter is nonpacking, then so is any identification of it. Inspired by this observation, and impelled by the lack of a qualitative characterization for ideal minimally nonpacking (mnp) clutters, we reduce ideal mnp clutters even further by ...
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作者：Jin, Xing; Luo, Dan; Zeng, Xudong
作者单位：University of Warwick; Shanghai University of Finance & Economics
摘要：This paper studies the dynamic portfolio choice problem with ambiguous jump risks in a multidimensional jump-diffusion framework. We formulate a continuous-time model of incomplete market with uncertain jumps. We develop an efficient path-wise optimization procedure based on the martingale methods and minimax results to obtain closed-form solutions for the indirect utility function and the probability of the worst scenario. We then introduce an orthogonal decomposition method for the multidime...
