Related papers: Factor endowment -- commodity output relationships…
We study the welfare structure in two-sided large random matching markets. In the model, each agent has a latent personal score for every agent on the other side of the market and her preferences follow a logit model based on these scores.…
In this work, an ensemble of economic interacting agents is considered. The agents are arranged in a linear array where only local couplings are allowed. The deterministic dynamics of each agent is given by a map. This map is expressed by…
We present tight bounds and heuristics for personalized, multi-product pricing problems. Under mild conditions we show that the best price in the direction of a positive vector results in profits that are guaranteed to be at least as large…
This paper introduces and studies factor risk measures. While risk measures only rely on the distribution of a loss random variable, in many cases risk needs to be measured relative to some major factors. In this paper, we introduce a…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…
We study the informational content of factor structures in discrete triangular systems. Factor structures have been employed in a variety of settings in cross sectional and panel data models, and in this paper we formally quantify their…
From an economic point of view, a common criterion for assessing the merits of a reserve investment is its impacts on social welfare. The underlying assumption in using this criterion is that side payments may be used to distribute the…
We study social welfare in one-sided matching markets where the goal is to efficiently allocate n items to n agents that each have a complete, private preference list and a unit demand over the items. Our focus is on allocation mechanisms…
This paper is about our attempt of identifying trade elasticities through the variations in the exchange rate, for possible applications to the case of services whose physical transactions are veiled in the trade statistics. The regression…
Factor modeling of asset returns has been a dominant practice in investment science since the introduction of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The factors, which account for the systematic risk,…
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation matrix. The correlation matrix of the…
Regression factor score predictors have the maximum factor score determinacy, i.e., the maximum correlation with the corresponding factor, but they do not have the same inter-correlations as the factors. As it might be useful to compute…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
Accurately modeling wind turbine wakes is essential for optimizing wind farm performance but remains a persistent challenge. While the dynamic wake meandering (DWM) model captures unsteady wake behavior, it suffers from near-wake…
A factor-augmented vector autoregressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations amongst a set of observed variables $X$ and latent factors $F$, and a calibration equation that relates another set of…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…
Empirical evidence suggests that fixed income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While [1] showed that no two-factor…
This paper develops a class of potential outcomes models characterized by three main features: (i) Unobserved heterogeneity can be represented by a vector of potential outcomes and a type describing the manner in which an instrument…
We study the trade-off between envy and inefficiency in repeated resource allocation settings with stochastic replenishments, motivated by real-world systems such as food banks and medical supply chains. Specifically, we consider a model in…