Related papers: Foundations for Wash Sales
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
In this paper we review some old and new results about the enlargement of filtrations problem, as well as their applications to credit risk and insider trading problems. The enlargement of filtrations problem consists in the study of…
When utilities are additive, we uncovered in our previous paper (Bogomolnaia et al. "Dividing Goods or Bads under Additive Utilities") many similarities but also surprising differences in the behavior of the familiar Competitive rule (with…
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…
Selling a single item to $n$ self-interested buyers is a fundamental problem in economics, where the two objectives typically considered are welfare maximization and revenue maximization. Since the optimal mechanisms are often impractical…
This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener Process, and by the means of ordinary…
We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time. We use a default-density modeling approach, and address in this incomplete…
When modeling the demand in revenue management systems, a natural approach is to focus on a canonical interval of time, such as a week, so that we forecast the demand over each week in the selling horizon. Ideally, we would like to use…
Portfolio optimization methods suffer from a catalogue of known problems, mainly due to the facts that pair correlations of asset returns are unstable, and that extremal risk measures such as maximum drawdown are difficult to predict due to…
In the last several years, the intimate connection between convex optimization and learning problems, in both statistical and sequential frameworks, has shifted the focus of algorithmic machine learning to examine this interplay. In…
Managing insurance and financial risk when data is limited is a key task in the insurance industry. In this paper, we focus on cases where the risk distribution is modeled as a mixture with some components estimable to high precision or…
Social Security and other public policies can be viewed as a series of cash in and outflows that depend on parameters such as the age distribution of the population and the retirement age. Given forecasts of these parameters, policies can…
We consider the problem of allocating a set $I$ of $m$ indivisible resources (items) to a set $P$ of $n$ customers (players) competing for the resources. Each resource $j \in I$ has a same value $v_j > 0$ for a subset of customers…
We hypothesize that portfolio sorts based on the V/P ratio generate excess returns and consist of companies that are undervalued for prolonged periods. Results, for the US market show that high V/P portfolios outperform low V/P portfolios…
We consider the fundamental scenario where a single item is to be sold to one of two agents. Both agents draw their valuation for the item from the same probability distribution. However, only one of them submits a bid to the mechanism. The…
The Littlewood-Offord problem is a classical question in probability theory and discrete mathematics, proposed, firstly by Littlewood and Offord in the 1940s. Given a set $A$ of integer, this problem asks for an upper bound on the…
Problem definition: A key challenge in supervised learning is data scarcity, which can cause prediction models to overfit to the training data and perform poorly out of sample. A contemporary approach to combat overfitting is offered by…
Motivated by real-world applications such as rental and cloud computing services, we investigate pricing for reusable resources. We consider a system where a single resource with a fixed number of identical copies serves customers with…
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss, or only on the liquidity-consuming orders like Obizhaeva and Wang,…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…