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作者：Zymler, Steve; Kuhn, Daniel; Rustem, Berc
作者单位：Imperial College London
摘要：Portfolio optimization problems involving value at risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are compounded when the portfolio contains derivatives. We develop two tractable conservative approximations for the VaR of a derivative portfolio by evaluating the worst-case VaR over all return distributions of the derivative underliers with gi...
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作者：Zentner, Alejandro; Smith, Michael; Kaya, Cuneyd
作者单位：University of Texas System; University of Texas Dallas; Carnegie Mellon University
摘要：How will consumption patterns for popular and long-tail products change when consumers move from brick-and-mortar to Internet markets? We address this question using customer-level panel data obtained from a national video rental chain as it was closing many of its local stores. These data allow us to use the closure of a consumer's local video store as an instrument, breaking the inherent endogeneity between channel choice and product choice. Our results suggest that when consumers move from ...
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作者：Subramanian, Ajay
作者单位：University System of Georgia; Georgia State University
摘要：We develop a tractable equilibrium model of competing firms in an industry to show how the distribution of firm qualities, moral hazard, and product market characteristics interact to affect firm size, managerial compensation, and market structure. Different determinants of product market competition have contrasting effects on firm size and managerial compensation. Although both firm size and managerial compensation increase with the entry cost, they increase with the elasticity of substituti...
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作者：Dobson, Gregory; Tezcan, Tolga; Tilson, Vera
作者单位：University of Rochester
摘要：We model a system that consists of a stream of customers processed through three steps by two resources. The first resource, an investigator, handles the first step, in which she collects information from the customer and decides what work will be done in the second step by the second resource, the back office. In the third step, the investigator returns to the customer armed with the additional information or analysis done by the back office and provides the customer with a conclusion, soluti...
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作者：Renneboog, Luc; Spaenjers, Christophe
作者单位：Tilburg University; Hautes Etudes Commerciales (HEC) Paris
摘要：This paper investigates the price determinants and investment performance of art. We apply a hedonic regression analysis to a new data set of more than one million auction transactions of paintings and works on paper. Based on the resulting price index, we conclude that art has appreciated in value by a moderate 3.97% per year, in real U. S. dollar terms, between 1957 and 2007. This is a performance similar to that of corporate bonds-at much higher risk. A repeat-sales regression on a subset o...
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作者：Bennett, Victor Manuel; Pierce, Lamar; Snyder, Jason A.; Toffel, Michael W.
作者单位：University of Southern California; Washington University (WUSTL); University of California System; University of California Los Angeles; Harvard University
摘要：Competition among firms yields many benefits but can also encourage firms to engage in corrupt or unethical activities. We argue that competition can lead organizations to provide services that customers demand but that violate government regulations, especially when price competition is restricted. Using 28 million vehicle emissions tests from more than 11,000 facilities, we show that increased competition is associated with greater inspection leniency, a service quality attribute that custom...
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作者：Mak, Ho-Yin; Rong, Ying; Shen, Zuo-Jun Max
作者单位：Hong Kong University of Science & Technology; Shanghai Jiao Tong University; University of California System; University of California Berkeley
摘要：Electric vehicles (EVs) have been proposed as a key technology to help cut down the massive greenhouse gas emissions from the transportation sector. Unfortunately, because of the limited capacity of batteries, typical EVs can only travel for about 100 miles on a single charge and require hours to be recharged. The industry has proposed a novel solution centered around the use of swapping stations, at which depleted batteries can be exchanged for recharged ones in the middle of long trips. The ...
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作者：Li, Feng; Nagar, Venky
作者单位：University of Michigan System; University of Michigan
摘要：This study measures the performance of U.S. firms initiating same-sex domestic partnership benefit (SSDPB) policies. The results show that holding these firms upon their SSDPB initiation in a calendar portfolio earns a four-factor annualized excess return (alpha) of approximately 10% over the 1995-2008 sample period, beating 95% of all professional mutual funds in the United States. This finding is robust to several tests of reverse causality. SSDPB adopters also show significant improvement i...
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作者：Anderson, Simon P.; Renault, Regis
作者单位：University of Virginia; CY Cergy Paris Universite
摘要：We extend the persuasion game to bring it squarely into the economics of advertising. We model advertising as exciting consumer interest into learning more about the product, and determine a firm's equilibrium choice of advertising content over quality information, price information, and horizontal match information. Equilibrium is unique whenever advertising is necessary. The outcome is a separating equilibrium with quality unravelling. Lower-quality firms need to provide more information. Fo...
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作者：D'Andreagiovanni, Fabio; Mannino, Carlo; Sassano, Antonio
作者单位：Zuse Institute Berlin; SINTEF; Sapienza University Rome
摘要：W e propose a pure 0-1 formulation for the wireless network design problem, i.e., the problem of configuring a set of transmitters to provide service coverage to a set of receivers. In contrast with classical mixed-integer formulations, where power emissions are represented by continuous variables, we consider only a finite set of power values. This has two major advantages: it better fits the usual practice and eliminates the sources of numerical problems that heavily affect continuous models...
