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作者：Wang, Shouqiang; de Vericourt, Francis; Sun, Peng
作者单位：University of Texas System; University of Texas Dallas; European School of Management & Technology; Duke University
摘要：In this paper, we explore how to uncover an adverse issue that may occur in organizations with the capability to evade detection. To that end, we formalize the problem of designing efficient auditing and remedial strategies as a dynamic mechanism design model. In this setup, a principal seeks to uncover and remedy an issue that occurs to an agent at a random point in time and that harms the principal if not addressed promptly. Only the agent observes the issue's occurrence, but the principal m...
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作者：Hu, Feihong; Mitchell, Daniel; Tompaidis, Stathis
作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; Office of Financial Research; United States Department of the Treasury
摘要：We study networks of financial institutions where only aggregate information on liabilities is available. We introduce the robust liability network, that is, the network with the worst expected losses among all networks with the same aggregate liabilities and assets. We provide an algorithm to identify the robust liability network and, using aggregate data provided by bank holding companies to the Federal Reserve in form FR Y -9C, determine robust liability networks for U.S. banks under variou...
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作者：Yan, Xiaoyue; Chen, Li; Ding, Xiaobo
作者单位：University of Oregon; Cornell University
摘要：Payables finance, also known as reverse factoring or supply chain finance, is a form of trade finance arrangement that provides a supplier with the option to receive a buyer's payables early while allowing the buyer to extend its payment due date. The recent adoption of the blockchain technology has the potential to make payables finance more efficient and secure. In this paper, we study the supplier's optimal cash policy under such a frictionless payables finance arrangement. Our work extends...
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作者：Li, Shukai; Luo, Qi; Huang, Zhiyuan; Shi, Cong
作者单位：Northwestern University; University of Iowa; Tongji University; University of Miami
摘要：We study a dynamic assortment selection problem where arriving customers make purchase decisions among offered products from a universe of products under a Markov chain choice (MCC) model. The retailer only observes the assortment and the customer's single choice per period. Given limited display capacity, resource constraints, and no a priori knowledge of problem parameters, the retailer's objective is to sequentially learn the choice model and optimize cumulative revenues over a finite selli...
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作者：Keskin, N. Bora; Li, Meng
作者单位：Duke University; University of Houston System; University of Houston
摘要：. In this paper, we study a firm's dynamic pricing problem in the presence of unknown and time-varying heterogeneity in customers' preferences for quality. The firm offers a standard product as well as a premium product to deal with this heterogeneity. First, we consider a benchmark case in which the transition structure of customer heteroge-neity is known. In this case, we analyze the firm's optimal pricing policy and characterize its key structural properties. Thereafter, we investigate the ...
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作者：Feng, Yinbo; Hu, Ming
作者单位：Shanghai University of Finance & Economics; University of Toronto
摘要：We consider a three-stage game in which, first, a large number of potential firms make entry decisions, then those who choose to stay in the market decide on the investment (quality) level in each product, and last, customers with heterogeneous preferences arrive sequentially to make (random) purchase decisions based on product quality and historical sales under the network effect according to a discrete choice model. We characterize such a random purchase process and show that a growing netwo...
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作者：den Boer, Arnoud V.; Chen, Boxiao; Wang, Yining
作者单位：University of Amsterdam; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Texas System; University of Texas Dallas
摘要：We consider the problem of determining the optimal prices and product configurations of horizontally differentiated products when customers purchase according to a locational (Hotelling) choice model and where the problem parameters are initially unknown to the decision maker. Both for the single-product and multiple-product setting, we propose a data-driven algorithm that learns the optimal prices and product configurations from accumulating sales data, and we show that their regret-the expec...
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作者：Yan, Yuling; Li, Gen; Chen, Yuxin; Fan, Jianqing
作者单位：Massachusetts Institute of Technology (MIT); Chinese University of Hong Kong; University of Pennsylvania; Princeton University
摘要：This paper makes progress toward learning Nash equilibria in two-player, zero-sum Markov games from offline data. Specifically, consider a gamma-discounted, infinite-horizon Markov game with S states, in which the max-player has A actions and the min-player has B actions. We propose a pessimistic model-based algorithm with Bernstein-style lower confidence bounds-called the value iteration with lower confidence bounds for zero-sum Markov games-that provably finds an epsilon-approximate Nash equ...
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作者：Jaarsveld, Willem van; Arts, Joachim
作者单位：Eindhoven University of Technology; University of Luxembourg
摘要：We consider the canonical periodic review lost sales inventory system with positive lead times and stochastic i.i.d. demand under the average cost criterion. We introduce a new policy that places orders such that the expected inventory level at the time of arrival of an order is at a fixed level and call it the projected inventory-level policy. We prove that this policy has a cost rate superior to the equivalent system where excess demand is backordered instead of lost and therefore, is asympt...
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作者：Han, Jinhui; Li, Xiaolong; Sethi, Suresh P.; Siu, Chi Chung; Yam, Sheung Chi Phillip
作者单位：Peking University; University of Hong Kong; University of Texas System; University of Texas Dallas; Hang Seng University of Hong Kong; Chinese University of Hong Kong
摘要：We consider continuous -review, single -product inventory systems with a constant replenishment rate, Levy demand, general inventory holding cost, and general lostsales penalty. The Levy demand encompasses various demand dynamics used in the inventory literature. We obtain optimal replenishment rates that minimize the timeaverage cost and expected discounted costs. We can solve this problem explicitly for the optimal replenishment rate by utilizing the renewal theorem for the time -average cos...
