-
作者：den Boer, Arnoud; Meylahn, Janusz M.; Schinkel, Maarten Pieter
作者单位：University of Amsterdam; University of Twente; Vrije Universiteit Amsterdam; University of Amsterdam; Tinbergen Institute; University of Amsterdam
摘要：We examine concerns that pricing algorithms, employing reinforcement learning, used by competitors would autonomously and systematically learn to collude. Findings of supracompetitive prices with Q-learning have recently raised that alarm. However, a detailed analysis of the inner workings of this algorithm type reveals that it often does not satisfy conditions for what constitutes autonomous algorithmic collusion that would be a cartel risk in practice. We find that Q-learning can learn collu...
-
作者：He, Xue Dong; Sun, Yu
作者单位：Chinese University of Hong Kong; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University
摘要：We study a dynamic portfolio selection problem in which an agent trades a stock and a risk-free asset with the objective of maximizing the rank-dependent utility of their wealth at the terminal time of the investment horizon. Because of time inconsistency, we consider three types of agents, namely precommitted, sophisticated, and naive agents, who differ from each other in whether they are aware of the time inconsistency and whether they have self-control. Assuming a neo-additive probability w...
-
作者：van den Brink, Rene; Gavilan, Elena; Manuel, Conrado; Oishi, Takayuki
作者单位：Vrije Universiteit Amsterdam; Tinbergen Institute; Vrije Universiteit Amsterdam; Complutense University of Madrid; Complutense University of Madrid
摘要：The class of fixed-fraction rules for sharing sequentially triggered losses has been axiomatized using a set of axioms that include continuity. In this note, we show that continuity is redundant because it is implied by the other axioms. This allows for a more parsimonious characterization and thus reducing complexity.
-
作者：Cowgill, Bo; Hernandez-Lagos, Pablo; Wright, Nataliya Langburd
作者单位：University of Toronto; Yeshiva University; Columbia University
摘要：Screening human capital based on signals such as job applications or entrepreneurial pitches is crucial for organizations. Signals are often informative insofar as they require differential knowledge and effort to produce. Generative AI (GAI) complicates screening by lowering the cost of producing impressive signals. We model the informational effects of GAI, showing that applicants' access to GAI can increase-and also decrease-an evaluator's screening mistakes. This result depends on how GAI ...
-
作者：Ghosh, Anisha; Julliard, Christian; Stutzer, Michael J.
作者单位：McGill University; University of London; London School Economics & Political Science; University of Colorado System; University of Colorado Boulder
摘要：We propose a novel approach to measure the cost of aggregate economic fluctuations that does not require complete specification of investors' risk preferences or their beliefs. With data on consumption and asset prices, an information-theoretic method is used to recover an information kernel (I-SDF). The I-SDF prices asset returns much better than tightly parametrized structural models, thereby offering a reliable candidate for the measurement of the welfare cost of business cycles. Our method...
-
作者：Huang, Shan; Wang, Chen; Yuan, Yuan; Zhao, Jinglong; (Jingjing) Zhang, Brocco
作者单位：University of Hong Kong; University of California System; University of California Davis; Boston University; Tencent
摘要：Estimating the effects of long-term treatments through A/B testing is challenging. Treatments, such as updates to product functionalities, user interface designs, and recommendation algorithms, are intended to persist within the system for a long duration of time after their initial launches. However, because of the constraints of conducting longterm experiments, practitioners often rely on short-term experimental results to make product launch decisions. It remains open how to accurately esti...
-
作者：Hue, Sullivan; Hurlin, Christophe; Perignon, Christophe; Saurin, Sebastien
作者单位：Aix-Marseille Universite; Centre National de la Recherche Scientifique (CNRS); Universite de Orleans; Institut Universitaire de France; Hautes Etudes Commerciales (HEC) Paris
摘要：Because they play an increasingly important role in determining access to credit, credit scoring models are under growing scrutiny from banking supervisors and internal model validators. These authorities need to monitor the model performance and identify its key drivers. To facilitate this, we introduce the explainable performance (XPER) methodology to decompose a performance metric (e.g., area under the curve (AUC), R2) into specific contributions associated with the various features of a fo...
-
作者：Park, Jimin; Singhvi, Somya; Zheng, Yanchong
作者单位：Massachusetts Institute of Technology (MIT); University of Southern California; Massachusetts Institute of Technology (MIT)
摘要：This paper examines how the need for immediate cash by smallholder farmers may lead to undesirable selling decisions that hurt their revenue and analyzes the efficacy of government loan policies in tackling this challenge. We develop a game-theoretic model to characterize the base scenario of no loan, uncovering the impacts of cash needs on farmers' revenue. We then examine how a government loan, under which farmers store some of their production at government warehouses in exchange for immedi...
-
作者：Federgruen, Awi; Liu, Zhe; Lu, Jiaqi
作者单位：Columbia University; Imperial College London; The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen
摘要：We study a two-stage newsvendor model where the initially uncertain mean demand is revealed midstream, allowing for a second, costlier order to be placed. The twostage process is relevant to many retailers who have access to two supply options: a longlead, low-cost option where orders need to be placed under much demand uncertainty, and a short-lead, high-cost option after a signal is revealed that updates the mean demand. We introduce a forecast evolution model that describes how the initial ...
-
作者：Lee, Yeonjoo; Donohue, Karen
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Arizona State University; Arizona State University-Tempe
摘要：Faster e-commerce fulfillment often comes at a cost to the environment because of energy-intensive transportation modes and more frequent, less consolidated last-mile deliveries. Despite these environmental implications, most retailers feel pressure to provide fast fulfillment to remain competitive. But what if consumers could be nudged to voluntarily choose green-but-slow shipping? In practice, a variety of information strategies are used to nudge such decisions, but it is unclear which strat...
