Related papers: Foundations for Wash Sales
We consider the following control problem on fair allocation of indivisible goods. Given a set $I$ of items and a set of agents, each having strict linear preference over the items, we ask for a minimum subset of the items whose deletion…
This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz's definition of value weighted return of a portfolio as the…
We provide algorithms that learn simple auctions whose revenue is approximately optimal in multi-item multi-bidder settings, for a wide range of valuations including unit-demand, additive, constrained additive, XOS, and subadditive. We…
In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…
We study revenue optimization pricing algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation. We show that, in the case when both the seller and the buyer…
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves…
We demonstrate that the fraction of sales lost for the (r, q) system under consideration can be conveniently bounded in a manner suitable for quick, back-of-the-envelope estimates. We assume that customer demand arises from a Poisson…
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiquid asset classes is that we do not have direct control over…
In this article, we consider the optimal execution problem associated to accelerated share repurchase contracts. When firms want to repurchase their own shares, they often enter such a contract with a bank. The bank buys the shares for the…
Consider a random sum $\eta_1 v_1 + ... + \eta_n v_n$, where $\eta_1,...,\eta_n$ are i.i.d. random signs and $v_1,...,v_n$ are integers. The Littlewood-Offord problem asks to maximize concentration probabilities such as $\P(\eta_1 v_1 + ...…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of a liquid and an illiquid asset. The liquid asset is observed and can be traded continuously, while the illiquid one can only be traded…
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining,…
We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The…
We consider a generalisation of the classical coupon collector's problem, in which at each time step a collector either receives a new copy of a randomly chosen coupon, or loses all their previously collected copies of that coupon. We…
We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein--Uhlenbeck and…
A number of products are sold in the following sequence: First a focal product is shown, and if the customer purchases, one or more ancillary products are displayed for purchase. A prominent example is the sale of an airline ticket, where…
The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…
We consider a generalization of the recursive utility model by adding a new component that represents utility of investment gains and losses. We also study the utility process in this generalized model with constant elasticity of…
We study an off-policy contextual pricing problem where the seller has access to samples of prices that customers were previously offered, whether they purchased at that price, and auxiliary features describing the customer and/or item…
Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the…