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作者：Bleichrodt, Han; Keskin, Umut; Rohde, Kirsten I. M.; Spinu, Vitalie; Wakker, Peter
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Istanbul Bilgi University
摘要：We introduce a new type of preference condition for intertemporal choice, which requires present values to be independent of various other variables. The new conditions are more concise and more transparent than traditional ones. They are directly related to applications because present values are widely used tools in intertemporal choice. Our conditions give more general behavioral axiomatizations, which facilitate normative debates and empirical tests of time inconsistencies and related phen...
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作者：Liu, Yan; Cooper, William L.
作者单位：Shanghai University of Finance & Economics; University of Minnesota System; University of Minnesota Twin Cities
摘要：We consider an infinite-horizon single-product pricing problem in which a fraction of customers is patient and the remaining fraction is impatient. A patient customer will wait up to some fixed number of time periods for the price of the product to fall below his or her valuation at which point the customer will make a purchase. If the price does not fall below a patient customer's valuation at any time during those periods, then that customer will leave without buying. In contrast, impatient ...
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作者：Yu, Yueshan; Chen, Xin; Zhang, Fuqiang
作者单位：Washington University (WUSTL); University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper studies a capacity management problem with upgrading. A firm needs to procure multiple classes of capacities and then allocate the capacities to satisfy multiple classes of customers that arrive over time. A general upgrading rule is considered, i. e., unmet demand can be satisfied using multistep upgrade. No replenishment is allowed and the firm has to make the allocation decisions without observing future demand. We first characterize the structure of the optimal allocation policy...
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作者：Huaman-Aguilar, Ricardo; Cadenillas, Abel
作者单位：University of Alberta; University of Alberta
摘要：Motivated by empirical facts, we develop a theoretical model for optimal currency government debt portfolio and debt payments, which allows both government debt aversion and jumps in the exchange rates. We obtain first a realistic stochastic differential equation for public debt and then solve explicitly the optimal currency debt problem. We show that higher debt aversion and jumps in the exchange rates lead to a lower proportion of optimal debt in foreign currencies. Furthermore, we show that...
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作者：Thanh Nguyen
作者单位：Purdue University System; Purdue University
摘要：We analyze a noncooperative bargaining game with a general coalition structure. In each period an opportunity for a feasible coalition to form arises according to a stochastic process, and a randomly selected agent in the coalition makes a take-it-or-leave-it offer to the other agents in the coalition. We develop a new technique based on convex programming to characterize the unique stationary equilibrium payoff of the game. We apply the framework to various settings including trading networks...
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作者：Abbas, Ali E.; Sun, Zhengwei
作者单位：University of Southern California; University of Southern California; University of Southern California; East China University of Science & Technology
摘要：The construction of a multiattribute utility function is an important step in decision analysis. One of the most widely used conditions for constructing the utility function is the assumption of mutual preferential independence where trade-offs among any subset of the attributes do not depend on the instantiations of the remaining attributes. Mutual preferential independence asserts that ordinal preferences can be represented by an additive function of the attributes. This paper derives the mo...
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作者：Cooper, William L.; Homem-de-Mello, Tito; Kleywegt, Anton J.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Universidad Adolfo Ibanez; University System of Georgia; Georgia Institute of Technology
摘要：In revenue management research and practice, demand models are used that describe how demand for a seller's products depends on the decisions, such as prices, of that seller. Even in settings where the demand for a seller's products also depends on decisions of other sellers, the models often do not explicitly account for such decisions. It has been conjectured in the revenue management literature that such monopoly models may incorporate the effects of competition, because the parameter estim...
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作者：Wu, Shining; Liu, Qian; Zhang, Rachel Q.
作者单位：Hong Kong Polytechnic University; Hong Kong University of Science & Technology
摘要：We consider a retailer that sells the same or different versions of the product season after season. At the beginning of each season (stage 1), the retailer places an order and sells the product at the full price. As the sales unfold, the retailer has an opportunity to mark down the price (stage 2), which creates an incentive for strategic consumers to delay their purchases for price discount. However, consumers do not know the markdown price exactly when they time their purchases; instead, th...
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作者：Rhee, Chang-Han; Glynn, Peter W.
作者单位：University System of Georgia; Georgia Institute of Technology; Stanford University
摘要：In many settings in which Monte Carlo methods are applied, there may be no known algorithm for exactly generating the random object for which an expectation is to be computed. Frequently, however, one can generate arbitrarily close approximations to the random object. We introduce a simple randomization idea for creating unbiased estimators in such a setting based on a sequence of approximations. Applying this idea to computing expectations of path functionals associated with stochastic differ...
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作者：Shi, Yun; Cui, Xiangyu; Yao, Jing; Li, Duan
作者单位：Shanghai University; Shanghai University of Finance & Economics; Fudan University; Chinese University of Hong Kong
摘要：We formalize the reference point adaptation process by relating it to a way people perceive prior gains and losses. We then develop a dynamic trading model with reference point adaptation and loss aversion, and derive its semi-analytical solution. The derived optimal stock holding has an asymmetric V-shaped form with respect to prior outcomes, and the related sensitivities are directly determined by the sensitivities of reference point shifts with respect to the outcomes. We also find that the...
