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作者：Olivares-Nadal, Alba V.; DeMiguel, Victor
作者单位：Universidad Pablo de Olavide; University of London; London Business School
摘要：We prove that the portfolio problem with transaction costs is equivalent to three different problems designed to alleviate the impact of estimation error: a robust portfolio optimization problem, a regularized regression problem, and a Bayesian portfolio problem. Motivated by these results, we propose a data-driven approach to portfolio optimization that tackles transaction costs and estimation error simultaneously by treating the transaction costs as a regularization term to be calibrated. Ou...
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作者：Yang, Liu; Guo, Pengfei; Wang, Yulan
作者单位：Tsinghua University; Hong Kong Polytechnic University
摘要：We consider a service system in which customers are loss averse toward both price and delay attributes. That is, customers compare these two attributes with their rational expectations of outcomes, with losses being more painful than equal-sized gains are pleasant. We first study customers' equilibrium queueing strategies. We find that, unlike the traditional case in which loss aversion is not considered, there may exist three equilibrium strategies, one of which is preferred m the sense that ...
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作者：Besbes, Omar; Scarsini, Marco
作者单位：Columbia University; Luiss Guido Carli University
摘要：Consumer reviews and ratings of products and services have become ubiquitous on the Internet. This paper analyzes, given the sequential nature of reviews and the limited feedback of such past reviews, the information content they communicate to future customers. We consider a model with heterogeneous customers who buy a product of unknown quality and we focus on two different informational settings. In the first setting, customers observe the whole history of past reviews. In the second one th...
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作者：Bo, Yang; Dawande, Milind; Janakiraman, Ganesh
作者单位：Chinese University of Hong Kong; University of Texas System; University of Texas Dallas
摘要：In a recent paper, Johnson et al. (2014) [Johnson K, Simchi-Levi D, Sun P (2014) Analyzing scrip systems. Oper. Res. 62(3):524-534.] use an infinitely repeated game with discounting, among a set of homogeneous players, to model a scrip system. In each period, a randomly chosen player requests service; all the other players have a choice of whether or not to volunteer to provide service. Among the players who volunteer, the service provider is chosen using the minimum-scrip rule: a player with ...
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作者：Kanori, Yash; Saban, Daniela; Sethuraman, Jay
作者单位：Columbia University; Stanford University; Columbia University
摘要：We consider a two-sided assignment market with agent types and a stochastic structure, similar to models used in empirical studies. We characterize the size of the core in such markets. Each agent has a randomly drawn productivity with respect to each type of agent on the other side. The value generated from a match between a pair of agents is the sum of the two productivity terms, each of which depends only on the type (but not the identity) of one of the agents, and a third deterministic ter...
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作者：Anari, Nima; Goel, Gagan; Nikzad, Afshin
作者单位：Stanford University
摘要：We consider a simple and well-studied model for procurement problems and solve it to optimality. A buyer with a fixed budget wants to procure, from a set of available workers, a budget feasible subset that maximizes her utility: Any worker has a private reservation price and provides a publicly known utility to the buyer in case of being procured. The buyer's utility function is additive over items. The goal is designing a direct revelation mechanism that solicits workers' reservation prices a...
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作者：Schlapp, Jochen; Fleischmann, Moritz
作者单位：University of Mannheim
摘要：The presence of customer substitution poses substantial challenges to a firm's inventory management, particularly so when the firm has to manage a multiproduct portfolio with capacity restrictions. In this paper, we derive the optimal inventory policy for a capacity-constrained firm selling multiple partially substitutable products over a finite season in a market with stockout-based customer substitution. We also establish the sensitivity of the optimal policy with respect to changes in capac...
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作者：Simsek, A. Serdar; Topaloglu, Huseyin
作者单位：University of Texas System; University of Texas Dallas
摘要：We develop an expectation-maximization algorithm to estimate the parameters of the Markov chain choice model. In this choice model, a customer arrives into the system to purchase a certain product. If this product is available for purchase, then the customer purchases it. Otherwise, the customer transitions between the products according to a transition probability matrix until she reaches an available one and purchases this product. The parameters of the Markov chain choice model are the prob...
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作者：Xu, Zhou; Lee, Chung-Yee
作者单位：Hong Kong Polytechnic University; Hong Kong University of Science & Technology
摘要：We study a continuous berth allocation problem, where incoming vessels need to be assigned a mooring time as well as a berth location on a quay. It is a crucial element in port planning to achieve quick turnaround time for vessels. To solve this problem, many solution methods have been developed in the literature. However, gaps between the best-known lower and upper bounds on its optimal solutions are far from close. In this paper, we propose new and more effective solution methods for this im...
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作者：McCardle, Kevin F.; Tsetlin, Ilia; Winkler, Robert L.
作者单位：University of California System; University of California Los Angeles; INSEAD Business School; Duke University
摘要：We investigate the cost of the opportunity delayed by working on one project with uncertain success rather than searching for a new project. We answer this question: How long should a firm work on a research project with uncertain success before abandoning it if the only alternative is to search for a new project to work on? Rather than treating the opportunity as an exogenous alternative, this approach endogenizes the opportunity value and the attendant cost of its delay. We consider cases wi...
