Related papers: Endogenous Current Coupons
This paper studies decision problems where the decision maker's choice of action affects the probability distribution of a payoff relevant random variable. We establish sufficient conditions for the existence of an expected utility…
We study the problem of determining how much finished goods inventory to source from different capacitated facilities in order to maximize profits resulting from sales of such inventory. We consider a problem wherein there is uncertainty in…
We test whether the futures prices of some commodity and energy markets are determined by stochastic rules or exhibit nonlinear deterministic endogenous fluctuations. As for the methodologies, we use the maximal Lyapunov exponents (MLE) and…
One of the most fundamental questions in quantitative finance is the existence of continuous-time diffusion models that fit market prices of a given set of options. Traditionally, one employs a mix of intuition, theoretical and empirical…
Is an option especially tempting when it is both immediate and certain? I test the effect of risk on the present-bias factor given quasi-hyperbolic discounting. In my experiment workers allocate about thirty to fifty minutes of real-effort…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and…
We consider the problem of maximizing revenue for a monopolist offering multiple items to multiple heterogeneous buyers. We develop a simple mechanism that obtains a constant factor approximation under the assumption that the buyers' values…
Many of the observations we make are biased by our decisions. For instance, the demand of items is impacted by the prices set, and online checkout choices are influenced by the assortments presented. The challenge in decision-making under…
We consider the problem of the existence of an envy-free allocation up to any good (EFX) for linear valuations and establish new results by connecting this problem to a fixed point framework. Specifically, we first use randomized rounding…
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
Transmission-constrained problems in power systems can be cast as polynomial optimization problems whose coefficients vary over time. We consider the complications therein and suggest several approaches. On the example of the…
This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest -- means, variances, and other moments of the random…
Simultaneous ascending auctions present agents with the exposure problem: bidding to acquire a bundle risks the possibility of obtaining an undesired subset of the goods. Auction theory provides little guidance for dealing with this…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
We consider the problem of automatically proving resource bounds. That is, we study how to prove that an integer-valued resource variable is bounded by a given program expression. Automatic resource-bound analysis has recently received…
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure, and it receives particular attention because of the magnitude of the underlying market. The embedded prepayment option…
One standard way to prove existence for deterministic, highly nonlinear PDEs is to use the Schauder-Tychonoff fixed-point theorem. In what follows, we introduce and verify a stochastic variant of the Schauder-Tychonoff theorem. We apply our…
We present time-constrained automata (TCA), a model for hard real-time computation in which agents behaviors are modeled by automata and constrained by time intervals. TCA actions can have multiple start time and deadlines, can be…
In this paper we focus on the problem of assigning uncertainties to single-point predictions generated by a deterministic model that outputs a continuous variable. This problem applies to any state-of-the-art physics or engineering models…