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作者：Aflaki, Arian; Zhang(Ken), Qian
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; California State University System; California State Polytechnic University Pomona
摘要：We study a firm setting prices for a product with limited inventories sold over two periods to heterogeneous customers. The firm is uncertain about customer valuations and learns from their purchasing behavior. This information can be used for future personalized pricing (P-Pricing). The firm can be of two types; a P-type firm may implement P-Pricing, whereas a U-type firm must set uniform prices for all customers. Customers are uncertain about the firm type and inventory. Upon observing the f...
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作者：Li, Shukai; Mehrotra, Sanjay
作者单位：New York University; NYU Shanghai; Northwestern University
摘要：We investigate an individual's decision-making problem in a competitive and uncertain environment, where N learners (decision makers) confront unknown objective functions, lack competitor data, and optimize actions over a finite horizon of T epochs. Within a general framework, we explore what conditions ensure good performance of learning policies solely based on individual data. We show that when learner objective functions exhibit a tatonnement stability property and individual data are info...
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作者：Yang, Mingwei; Yu, Sophie H.
作者单位：Stanford University; University of Pennsylvania
摘要：We study the online metric matching problem. There are m servers and n requests located in a metric space, where all servers are available up front and requests arrive one at a time. Upon the arrival of a new request, it needs to be immediately and irrevocably matched to an available server, resulting in a cost of their distance. The objective is to minimize the total matching cost. When servers are adversarial and requests are independently drawn from a known distribution, we reduce the probl...
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作者：Balseiro, Santiago R.; Kroer, Christian; Kumar, Rachitesh
作者单位：Columbia University; Columbia University; Carnegie Mellon University
摘要：Single-leg revenue management is a foundational problem of revenue management that has been particularly impactful in the airline and hotel industry: Given n units of a resource, for example, flight seats, and a stream of sequentially arriving customers segmented by fares, what is the optimal online policy for allocating the resource? Previous work focused on designing algorithms when forecasts are available, which are not robust to inaccuracies in the forecast, or online algorithms with worst...
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作者：Abbou, Abderrahmane; Makis, Viliam
作者单位：Mohammed VI Polytechnic University; University of Toronto
摘要：This paper develops the Bayesian analogue to the Shewhart type control chart previously developed for systems monitored by online sensors. Unlike previous work, we allow production sampling to be part of the decision process, so that a decision to take a sample is first made when a sensor generates a warning signal, followed immediately by another decision to interrupt operation. We apply optimal stopping theory along with dynamic programming analysis to prove the average cost optimality of a ...
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作者：Shen, Yiwen; Li, Chenxu; Scaillet, Olivier; Jiang, Yueting
作者单位：Hong Kong University of Science & Technology; Peking University; University of Geneva; University of Geneva; Chinese University of Hong Kong; University of Hong Kong
摘要：This paper develops a novel decomposition of optimal dynamic portfolio choice under flexible incomplete-market models and the wealth-dependent hyperbolic absolute risk aversion (HARA) utility. The decomposition reveals the fundamental impacts of market incompleteness and wealth effect in portfolio allocation. With hedgeable interest rate risk, we show that the optimal portfolio under HARA utility can be decomposed into a pure constant relative risk aversion optimal portfolio and a financing bo...
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作者：Singhvi, Divya; Singhvi, Somya; Zhang, Xinyu
作者单位：New York University; University of Southern California
摘要：Despite their vital role in the global rural economy, and as a major source of employment for women in the developing world, artisanal supply chains continue to be plagued by low productivity and high poverty levels. Identifying effective and implementable solutions to improve artisan productivity is a challenging task due to high fragmentation in the upstream parts of the supply chain. This paper presents research conducted in close collaboration with one of the leading exporters of handmade ...
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作者：Huh, Woonghee Tim; Paat, Joseph; Queyranne, Maurice
作者单位：University of British Columbia
摘要：We study a dynamic assortment optimization problem over a finite selling horizon with exogenously fixed initial inventory for multiple products. The manager offers an assortment in each period. The assortment cannot depend on arriving customer types because the manager does not see the customer type before making the assortment decision and thus cannot treat customer types differently. Focusing on an online setting where all products have the same price, we show a competitive ratio cannot be h...
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作者：Hartmann, Lorenz; Kauffeldt, T. Florian
作者单位：University of Basel
摘要：Suggestion for abstract without references: In this paper, we present the first axiomatic characterization of preferences that can be represented by a Choquet integral with respect to an exact capacity. The characterizing axiom, binary diversification, is novel and reflects an inclination for bets on events, thereby capturing a specific type of ambiguity aversion. Furthermore, we demonstrate that the three capacity classes balanced, exact, and convex fully exhaust all levels of our family of k...
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作者：Chen, Ying; Horst, Ulrich; Tran, Hoang Hai
作者单位：National University of Singapore; Humboldt University of Berlin; National University of Singapore
摘要：We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk neutrality and deterministic constants of the impact parameters, we provide closed-form solutions and illustrate the relationship between trading strategies and feedback effects. The optimal trading strategy i...
