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作者：Lo, Andrew W.; Wu, Lan; Zhang, Ruixun; Zhao, Chaoyi
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); The Santa Fe Institute; Peking University; Peking University; Peking University; Peking University
摘要：We develop a mathematical framework for constructing optimal impact portfolios and quantifying their financial performance by characterizing the returns of impactranked assets using induced order statistics and copulas. The distribution of induced order statistics can be represented by a mixture of order statistics and uniformly distributed random variables, where the mixture function is determined by the dependence structure between residual returns and impact factors-characterized by copulas...
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作者：Light, Bar; Johari, Ramesh; Weintraub, Gabriel
作者单位：Tel Aviv University; Stanford University; Stanford University
摘要：Online platforms collect rich information about participants and then share some of this information back with them to improve market outcomes. In this paper, we study the following information disclosure problem in two-sided markets: if a platform wants to maximize revenue, which sellers should the platform allow to participate, and how much of its available information about participating sellers' quality should the platform share with buyers? We study this information disclosure problem in ...
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作者：Chen, Qi (George); Lei, Yanzhe (Murray); Jasin, Stefanus
作者单位：University of London; London Business School; Queens University - Canada; University of Michigan System; University of Michigan
摘要：Motivated by the growth of ride-hailing services in urban areas, we study a (tactical) real-time spatial-intertemporal dynamic pricing problem where a firm uses a pool of homogeneous servers (e.g., a fleet of taxis) to serve price-sensitive customers (i.e., a rider requesting a trip from an origin to a destination) within a finite horizon (e.g., a day). We consider a revenue maximization problem in a model that captures the stochastic and nonstationary nature of demands, and the nonnegligible ...
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作者：Bhandari, Jalaj; Russo, Daniel
作者单位：Columbia University; Columbia University
摘要：Policy gradients methods apply to complex, poorly understood, control problems by performing stochastic gradient descent over a parameterized class of polices. Unfortunately, even for simple control problems solvable by standard dynamic programming techniques, policy gradient algorithms face nonconvex optimization problems and are widely understood to converge only to a stationary point. This work identifies structural properties, shared by several classic control problems, that ensure the pol...
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作者：Wang, Wenyu; Wan, Hong; Chen, Xi
作者单位：North Carolina State University; Virginia Polytechnic Institute & State University
摘要：This paper proposes two fully sequential procedures for selecting the best system with a guaranteed probability of correct selection (PCS). The main features of the proposed procedures include the following: (1) adopting a Bonferroni-free model that overcomes the conservativeness of the Bonferroni correction and delivers the exact probabilistic guarantee without overshooting; (2) conducting always valid and fully sequential hypothesis tests that enable continuous monitoring of each candidate s...
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作者：den Hertog, Dick; Pauphilet, Jean; Soali, Mohamed Yahya
作者单位：University of Amsterdam; University of London; Columbia University
摘要：Centers of convex sets are geometric objects that have received extensive attention in the mathematical and optimization literature, both from a theoretical and practical standpoint. For instance, they serve as initialization points for many algorithms such as interior-point, hit-and-run, or cutting-planes methods. First, we observe that computing a Minkowski center of a convex set can be formulated as the solution of a robust optimization problem. As such, we can derive tractable formulations...
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作者：Jaarsveld, Willem van; Arts, Joachim
作者单位：Eindhoven University of Technology; University of Luxembourg
摘要：We consider the canonical periodic review lost sales inventory system with positive lead times and stochastic i.i.d. demand under the average cost criterion. We introduce a new policy that places orders such that the expected inventory level at the time of arrival of an order is at a fixed level and call it the projected inventory-level policy. We prove that this policy has a cost rate superior to the equivalent system where excess demand is backordered instead of lost and therefore, is asympt...
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作者：Chen, Yiwei; Jasin, Stefanus
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Michigan System; University of Michigan
摘要：We consider a canonical revenue management problem wherein a monopolist seller seeks to maximize expected total revenues from selling a fixed inventory of a product to customers who arrive sequentially over time, and the seller is restricted to implement a pricing policy that is monotonic (either nonincreasing or nondecreasing) over time. Gallego and Van Ryzin [Gallego G, Van Ryzin G (1994) Optimal dynamic pricing of inventories with stochastic demand over finite horizons. Management Sci. 40(8...
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作者：Bu, Jinzhi; Gong, Xiting; Chao, Xiuli
作者单位：Hong Kong Polytechnic University; Chinese University of Hong Kong; University of Michigan System; University of Michigan
摘要：We consider three classes of inventory systems under long-run average cost: (i) periodic-review systems with lost sales, positive lead times, and a nonstationary demand process; (ii) periodic-review systems for a perishable product with partial backorders and a nonstationary demand process; and (iii) continuous-review systems with fixed lead times, Poisson demand process, and lost sales. The state spaces for these systems are multidimensional, and computations of their optimal control policies...
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作者：Hu, Feihong; Mitchell, Daniel; Tompaidis, Stathis
作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; Office of Financial Research; United States Department of the Treasury
摘要：We study networks of financial institutions where only aggregate information on liabilities is available. We introduce the robust liability network, that is, the network with the worst expected losses among all networks with the same aggregate liabilities and assets. We provide an algorithm to identify the robust liability network and, using aggregate data provided by bank holding companies to the Federal Reserve in form FR Y -9C, determine robust liability networks for U.S. banks under variou...
