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作者：Kremer, Mirko; de Vericourt, Francis
作者单位：Frankfurt School Finance & Management; European School of Management & Technology
摘要：To study the effect of congestion on the fundamental tradeoff between diagnostic accuracy and speed, we empirically test the predictions of a formal sequential testing model in a setting where the gathering of additional information can improve diagnostic accuracy but may also take time and increase congestion as a result. The efficient management of such systems requires a careful balance of congestion-sensitive stopping rules. These include diagnoses made based on very little or no diagnosti...
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作者：Shi, Yun; Cui, Xiangyu; Zhou, Xun Yu
作者单位：East China Normal University; Shanghai Institute of International Finance & Economics; Shanghai University of Finance & Economics; Columbia University; Columbia University
摘要：The security market line is often flat or downward-sloping. We hypothesize that probability weighting plays a role and one ought to differentiate between periods in which agents overweight extreme events and those in which they underweight them. Overweighting inflates the probability of extremely bad events and demands greater compensation for beta risk, whereas underweighting does the opposite. Unconditional on probability weighting, these two effects offset each other, resulting in a flat or...
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作者：Gao, Yuan; Kroer, Christian
作者单位：Columbia University
摘要：Linear Fishermarkets are a fundamental economicmodelwith diverse applications. In the finite-dimensional case of n buyers and m items, amarket equilibriumcan be computed using the celebrated Eisenberg-Gale convex program. Motivated by large-scale Internet advertising and fair division applications, we consider a generalization of a linear Fisher market where there is a finite set of buyers and ameasurable itemspace. We introduce generalizations of the Eisenberg-Gale convex program and its dual...
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作者：Wang, Zhongbin; Yang, Luyi; Cui, Shiliang; Ulku, Sezer; Zhou, Yong-Pin
作者单位：Tianjin University; University of California System; University of California Berkeley; Georgetown University; University of Washington; University of Washington Seattle
摘要：In customer-intensive services where service quality increases with service time, service providers commonly pool their agents and give performance bonuses that reward agents for achieving greater customer satisfaction and serving more customers. Conventional wisdom suggests that pooling agents reduce customer wait time while performance bonuses motivate agents to produce high-quality service, both of which should boost customer satisfaction. However, our queueing-game-theoretic analysis revea...
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作者：Garg, Jugal; Vegh, Laszlo A.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of London; London School Economics & Political Science
摘要：We present a strongly polynomial algorithm for computing an equilibrium in Arrow-Debreu exchange markets with linear utilities. Our algorithm is based on a variant of the weakly polynomial Duan-Mehlhorn (DM) algorithm. We use the DMalgorithm as a subroutine to identify revealed edges-that is, pairs of agents and goods that must correspond to the best bang-per-buck transactions in every equilibrium solution. Every time a new revealed edge is found, we use another subroutine that decides if ther...
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作者：Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B.
作者单位：Chuo University; University of British Columbia; National University of Singapore; National University of Singapore
摘要：Whereas solutions of distributionally robust optimization (DRO) problems can sometimes have a higher out-of-sample expected reward than the sample average approximation (SAA), there is no guarantee. In this paper, we introduce a class of distributionally optimistic optimization (DOO) models and show that it is always possible to beat SAA out-of-sample if we consider not just worst case (DRO) models but also best case (DOO) ones. We also show, however, that this comes at a cost: optimistic solu...
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作者：Zhou, Zhengyuan; Athey, Susan; Wager, Stefan
作者单位：New York University; Stanford University
摘要：In many settings, a decision maker wishes to learn a rule, or policy, that maps from observable characteristics of an individual to an action. Examples include selecting offers, prices, advertisements, or emails to send to consumers, choosing a bid to submit in a contextual first-price auctions, and determining which medication to prescribe to a patient. In this paper, we study the offline multi-action policy learning problem with observational data and where the policy may need to respect bud...
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作者：Hochbaum, Dorit S.; Levin, Asaf; Rao, Xu
作者单位：Technion Israel Institute of Technology
摘要：Here, we study several variants of matching problems that arise in covariate balancing. Covariate balancing problems can be viewed as variants of matching, or b-matching, with global side constraints. We present here a comprehensive complexity study of the covariate balancing problems providing polynomial time algorithms, or a proof of NP-hardness. The polynomial time algorithms described are mostly combinatorial and rely on network flow techniques. In addition, we present several fixed-parame...
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作者：Tse, Alex S. L.; Zheng, Harry
作者单位：University of London; University College London; Imperial College London
摘要：We present a continuous-time portfolio selection problem faced by an agent with S-shaped preference who maximizes the utilities derived from the portfolio's periodic performance over an infinite horizon. The periodic reward structure creates subtle incentive distortion. In some cases, local risk aversion is induced, which discourages the agent from risk taking in the extreme bad states of the world. In some other cases, eventual ruin of the portfolio is inevitable, and the agent underinvests i...
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作者：Ingolfsson, Armann; Mandelbaum, Avishai; Schultz, Kenneth; Yom-Tov, Galit B.
作者单位：University of Alberta; Technion Israel Institute of Technology
