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作者：Ghamami, Samim; Glasserman, Paul
作者单位：University of California System; University of California Berkeley; Columbia University
摘要：We analyze the optimal allocation of trades to portfolios when the cost associated with an allocation is proportional to each portfolio's risk. Our investigation is motivated by changes in the over-the-counter derivatives markets, under which some contracts may be traded bilaterally or through central counterparties, splitting a set of trades into two or more portfolios. A derivatives dealer faces risk-based collateral and capital costs for each portfolio, and it seeks to minimize total margin...
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作者：Kilic, Mete; Shaliastovich, Ivan
作者单位：University of Southern California; University of Wisconsin System; University of Wisconsin Madison
摘要：We measure good and bad variance premia that capture risk compensations for the realized variation in positive and negative market returns, respectively. The two variance premium components jointly predict excess returns over the next one and two years with statistically significant positive (negative) coefficients on the good (bad) component. The R(2)s reach about 10% for aggregate equity and portfolio returns and 20% for corporate bond returns. To explain the new empirical evidence, we devel...
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作者：Akkas, Arzum; Gaur, Vishal; Simchi-Levi, David
作者单位：Boston University; Cornell University; Massachusetts Institute of Technology (MIT)
摘要：Product expiration is an important problem in the consumer packaged goods (CPG) industry costing 1%-2% of gross retail sales and eroding industry profits substantially. It can be caused by several factors related to store operations, supply chain practices, and product characteristics. Existing methods used in the industry are inadequate to identify the causes of expiration, leading to inadequate efforts to reduce expiration. Using retail data for 768 SKUs and 10,000 stores (745,638 store-SKU-...
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作者：Palley, Asa B.; Soll, Jack B.
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Duke University
摘要：Using the wisdom of crowds-combining many individual judgments to obtain an aggregate estimate-can be an effective technique for improving judgment accuracy. In practice, however, accuracy is limited by the presence of correlated judgment errors, which often emerge because information is shared. To address this problem, we propose an elicitation procedure in which respondents are asked to provide both their own best judgment and an estimate of the average judgment that will be given by all oth...
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作者：Trebbi, Francesco; Xiao, Kairong
作者单位：University of British Columbia; Canadian Institute for Advanced Research (CIFAR); National Bureau of Economic Research; Columbia University
摘要：We examine the effects of postcrisis financial regulation, encompassing the Dodd-Frank Act and Basel III, on market liquidity of the U.S. fixed-income market. We estimate structural breaks in a large panel of liquidity measures of corporate and Treasury bonds. Our methodology does not require a priori knowledge of the timing of breaks, can capture not only sudden jumps but also breaks in slow-moving trends, and displays excellent power properties. Against the popular claim that postcrisis regu...
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作者：Bimpikis, Kostas; Markakis, Mihalis G.
作者单位：Stanford University; Pompeu Fabra University
摘要：Motivated by diverse application areas such as healthcare, call centers, and crowdsourcing, we consider the design and operation of service systems that process tasks with types that are ex ante unknown, and employ servers with different skill sets. Our benchmark model involves two types of tasks, Easy and Hard, and servers that are either Junior or Senior in their abilities. The service provider determines a resource allocation policy, i.e., how to assign tasks to servers over time, with the ...
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作者：Jackson, Peter L.; Muckstadt, John A.; Li, Yuexing
作者单位：Cornell University
摘要：We consider a one-warehouse, N-retailer, multiperiod, stock allocation problem in which holding costs are identical at each location and no stock is received from outside suppliers for the duration of the planning horizon. No shipments are allowed between retailers. The only motive for holding inventory at the central warehouse for allocation in future periods is the so-called risk pooling motive. We apply robust optimization to this problem extending the inventory policy to allow for an adapt...
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作者：Kim, Hyunjin; Luca, Michael
作者单位：Harvard University
摘要：Dominant platform businesses often develop products in adjacent markets to complement their core business. One common approach used to gain traction in these adjacent markets has been to pursue a tying strategy. For example, Microsoft preinstalled Internet Explorer into Windows, and Apple set Apple Maps as the iOS default. Policy-makers have raised concerns that dominant platforms may be leveraging their market power to gain traction for lower quality products when they use a tying strategy. I...
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作者：Huang, Guofang; Luo, Hong; Xia, Jing
作者单位：Purdue University System; Purdue University; Harvard University; Harvard University
摘要：Pricing products such as used cars, houses, and artwork is often challenging, because each item is unique, and the seller, ex ante, lacks information about the demand for individual items. This paper develops a dynamic pricing model for products with significant item-specific demand uncertainty, in which a forward-looking seller learns about the item-specific demand through an initial assessment, as well as during the selling process. The model demonstrates how seller learning, through several...
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作者：Jeong, Martha; Minson, Julia; Yeomans, Michael; Gino, Francesca
作者单位：Harvard University; Harvard University
摘要：When entering into a negotiation, individuals have the choice to enact a variety of communication styles. We test the differential impact of being warm and friendly versus tough and firm in a distributive negotiation when first offers are held constant and concession patterns are tracked. We train a natural language processing algorithm to precisely quantify the difference between how people enact warm and friendly versus tough and firm communication styles. We find that the two styles differ ...
