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作者：Abdellaoui, Mohammed; Bleichrodt, Han; Kemel, Emmanuel; l'Haridon, Olivier
作者单位：Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Australian National University; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Universite de Rennes
摘要：This paper presents a simple method to measure the beliefs of a decision-maker with nonneutral ambiguity attitudes. Our method requires three simple choices, is incentive compatible, and allows for risk aversion and deviations from expected utility, including probability weighting and ambiguity aversion. An experiment using two natural sources of uncertainty (the temperature in Rotterdam and in New York City) shows that the model's estimated beliefs are well calibrated, sensitive to the source...
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作者：Adsul, Bharat; Garg, Jugal; Mehta, Ruta; Sohoni, Milind; von Stengel, Bernhard
作者单位：Indian Institute of Technology System (IIT System); Indian Institute of Technology (IIT) - Bombay; University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; University of London; London School Economics & Political Science
摘要：The rank of a bimatrix game is the matrix rank of the sum of the two payoff matrices. This paper comprehensively analyzes games of rank one and shows the following: (1) For a game of rank r, the set of its Nash equilibria is the intersection of a generically one-dimensional set of equilibria of parameterized games of rank r - 1 with a hyperplane. (2) One equilibrium of a rank-1 game can be found in polynomial time. (3) All equilibria of a rank-1 game can be found by following a piecewise linea...
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作者：Chen, Xi; He, Simai; Jiang, Bo; Ryan, Christopher Thomas; Zhang, Teng
作者单位：New York University; Shanghai University of Finance & Economics; University of British Columbia; Stanford University
摘要：The discrete moment problem is a foundational problem in distribution-free robust optimization, where the goal is to find a worst-case distribution that satisfies a given set of moments. This paper studies the discrete moment problems with additional shape constraints that guarantee the worst-case distribution is either log-concave (LC), has an increasing failure rate (IFR), or increasing generalized failure rate (IGFR). These classes of shape constraints have not previously been studied in th...
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作者：Birge, John R.; Feng, Yifan; Keskin, N. Bora; Schultz, Adam
作者单位：University of Chicago; National University of Singapore; Duke University; Uber Technologies, Inc.
摘要：We study the profit-maximization problem of a market maker in a spread betting market. In this market, the market maker quotes cutoff lines for the outcome of a certain future event as prices, and bettors bet on whether the event outcome exceeds the cutoff lines. Anonymous bettors with heterogeneous strategic behavior and information levels participate in the market. The market maker has limited information on the event outcome distribution, aiming to extract information from the market (i.e.,...
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作者：Maglaras, Costis; Moallemi, Ciamac C.; Zheng, Hua
作者单位：Columbia University; JP Morgan Chase & Company
摘要：In modern equity markets, participants have a choice of many exchanges at which to trade. Exchanges typically operate as electronic limit order books under a price-time priority rule and, in turn, can be modeled as multiclass first-in-first-out queueing systems. A market with multiple exchanges can be thought as a decentralized, parallel queueing system. Heterogeneous traders that submit limit orders select the exchange (i.e., the queue), in which to place their orders by trading off financial...
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作者：Balseiro, Santiago; Kim, Anthony; Mahdian, Mohammad; Mirrokni, Vahab
作者单位：Columbia University; Amazon.com; Alphabet Inc.; Google Incorporated
摘要：In online advertising, advertisers purchase ad placements by participating in a long sequence of repeated auctions. One of the most important features that advertising platforms often provide and advertisers often use is budget management, which allows advertisers to control their cumulative expenditures. Advertisers typically declare the maximum daily amount they are willing to pay, and the platform adjusts allocations and payments to guarantee that cumulative expenditures do not exceed budge...
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作者：Zhang, Yu; Zhang, Zhenzhen; Lim, Andrew; Sim, Melvyn
作者单位：Southwestern University of Finance & Economics - China; Tongji University; National University of Singapore; National University of Singapore
摘要：Optimal routing solutions based on deterministic models usually fail to deliver promised on-time services in an uncertain real world, which can lead to the loss of customers and revenue. We study a vehicle routing problem with time windows (VRPTW) toward the end of mitigating the risk of late customer arrivals as much as possible when travel times are based on empirical distributions. To prevent overfitting, we propose a distributionally robust optimization model that uses a Wasserstein distan...
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作者：Saban, Daniela; Weintraub, Gabriel Y.
作者单位：Stanford University
摘要：We consider the problem faced by a procurement agency that runs a mechanism for constructing an assortment of differentiated products with posted prices, from which heterogeneous consumers buy their most preferred alternative. Procurement mechanisms used by large organizations, including framework agreements (FAs), which are widely used in the public sector, often take this form. When choosing the assortment, the procurement agency must optimize the tradeoff between offering a richer menu of p...
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作者：Chen, Qi (George); Jasin, Stefanus; Duenyas, Izak
作者单位：University of London; London Business School; University of Michigan System; University of Michigan
摘要：We consider joint learning and pricing in network revenue management (NRM) with multiple products, multiple resources with finite capacity, parametric demand model, and a continuum set of feasible price vectors. We study the setting with a general parametric demand model and the setting with a well-separated demand model. For the general parametric demand model, we propose a heuristic that is rate-optimal (i.e., its regret bound exactly matches the known theoretical lower bound under any feasi...
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作者：Armony, Mor; Roels, Guillaume; Song, Hummy
作者单位：New York University; INSEAD Business School; University of Pennsylvania
摘要：Although pooling queues offer in principle many operational benefits, these may not always be achieved in practice. One reason, observed in, prior empirical studies, relates to customer ownership. In this paper, we formalize these empirical observations by developing a game-theoretic model to assess the performance of pooling when servers choose their capacities strategically and exhibit varying scopes of customer ownership, captured by two cost components, respectively, associated with the pr...
