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作者：Corsi, Fulvio; Marmi, Stefano; Lillo, Fabrizio
作者单位：Universita Ca Foscari Venezia; City St Georges, University of London; Scuola Normale Superiore di Pisa
摘要：By exploiting basic common practice accounting and risk-management rules, we propose a simple analytical dynamical model to investigate the effects of microprudential changes on macroprudential outcomes. Specifically, we study the consequence of the introduction of a financial innovation that allows reducing the cost of portfolio diversification in a financial system populated by financial institutions having capital requirements in the form of value-at-risk (VaR) constraint and following stan...
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作者：Xu, Huan; Caramanis, Constantine; Mannor, Shie
作者单位：National University of Singapore; University of Texas System; University of Texas Austin; Technion Israel Institute of Technology
摘要：We consider optimization problems whose parameters are known only approximately, based on noisy samples. In large-scale applications, the number of samples one can collect is typically of the same order of (or even less than) the dimensionality of the problem. This so-called high-dimensional statistical regime has been the object of intense recent research in machine learning and statistics, primarily due to phenomena inherent to this regime, such as the fact that the noise one sees here often...
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作者：Wang, Xiaoqun
作者单位：Tsinghua University
摘要：Discontinuities are common in the pricing and hedging of complex financial derivatives. Quasi-Monte Carlo (QMC) methods for high-dimensional finance problems with discontinuities can be inefficient because of the lack of good smoothness and high dimensionality. Interestingly, path simulation method (PSM) may affect both factors, implying its significance in QMC methods. What defines a good PSM for problems with discontinuities? The ability to align the discontinuities with the coordinate axes ...
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作者：Qin, Likuan; Linetsky, Vadim
作者单位：Northwestern University
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作者：Zhou, Sean X.; Yang, Chaolin
作者单位：Chinese University of Hong Kong; Shanghai University of Finance & Economics
摘要：We study a continuous-review, infinite-horizon inventory system with compound Poisson demand and dual sourcing/delivery modes. Ordering from either source/mode incurs a fixed cost and the expedited mode provides a shorter lead time than the regular mode. As the optimal ordering policy is unknown, while expected to be very complicated, we propose a class of simple policies called single-index (R, nQ) policies-when ordering from each mode, based on the inventory position, the system follows an (...
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作者：Capponi, Agostino; Chen, Peng-Chu; Yao, David D.
作者单位：Columbia University; Purdue University System; Purdue University
摘要：The objective of this study is to develop a majorization- based tool to compare financial networks with a focus on the implications of liability concentration. Specifically, we quantify liability concentration by applying the majorization order to the liability matrix that captures the interconnectedness of banks in a financial network. We develop notions of balancing and unbalancing networks to bring out the qualitatively different implications of liability concentration on the system's loss ...
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作者：Dahleh, Munther A.; Tahbaz-Salehi, Alireza; Tsitsiklis, John N.; Zoumpoulis, Spyros I.
作者单位：Massachusetts Institute of Technology (MIT); Columbia University; INSEAD Business School
摘要：We study the role of local information channels in enabling coordination among strategic agents. Building on the standard finite-player global games framework, we show that the set of equilibria of a coordination game is highly sensitive to how information is locally shared among different agents. In particular, we show that the coordination game has multiple equilibria if there exists a collection of agents such that (i) they do not share a common signal with any agent outside of that collect...
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作者：Shi, Cong; Chen, Weidong; Duenyas, Izak
作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：We propose a nonparametric data-driven algorithm called DDM for the management of stochastic periodic-review multiproduct inventory systems with a warehouse-capacity constraint. The demand distribution is not known a priori and the firm only has access to past sales data (often referred to as censored demand data). We measure performance of DDM through regret, the difference between the total expected cost of DDM and that of an oracle with access to the true demand distribution acting optimall...
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作者：Thanh Nguyen; Zhou, Hang; Berry, Randall A.; Honig, Michael L.; Vohra, Rakesh
作者单位：Purdue University System; Purdue University; Northwestern University; University of Pennsylvania; University of Pennsylvania
摘要：There has been growing interest in increasing the amount of radio spectrum available for unlicensed broadband wireless access. That includes prime spectrum at lower frequencies, which is also suitable for wide area coverage by licensed cellular providers. While additional unlicensed spectrum would allow for market expansion, it could influence competition among providers and increase congestion (interference) among consumers of wireless services. We study the value (social welfare and consumer...
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作者：Zheng, Zhichao; Natarajan, Karthik; Teo, Chung-Piaw
作者单位：Singapore Management University; Singapore University of Technology & Design; National University of Singapore
摘要：This paper is motivated by the following question: How to construct good approximation for the distribution of the solution value to linear optimization problem when the random objective coefficients follow a multivariate normal distribution? Using Stein's Identity, we show that the least squares normal approximation of the random optimal value can be computed by estimating the persistency values of the corresponding optimization problem. We further extend our method to construct a least squar...
