Related papers: Prices, Profits, Proxies, and Production
Generalized linear models are flexible tools for the analysis of diverse datasets, but the classical formulation requires that the parametric component is correctly specified and the data contain no atypical observations. To address these…
We consider settings where data are available on a nonparametric function and various partial derivatives. Such circumstances arise in practice, for example in the joint estimation of cost and input functions in economics. We show that when…
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational…
Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
We propose a framework for analyzing the sensitivity of counterfactuals to parametric assumptions about the distribution of latent variables in structural models. In particular, we derive bounds on counterfactuals as the distribution of…
We study partial identification of the preference parameters in the one-to-one matching model with perfectly transferable utilities. We do so without imposing parametric distributional assumptions on the unobserved heterogeneity and with…
Online controlled experiments (A/B tests) are fundamental to data-driven decision-making in the digital economy. However, their real-world application is frequently compromised by two critical shortcomings: the use of statistically flawed…
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price…
Maintaining a competitive edge requires a firm to replace deteriorating business lines with new projects. Accordingly, part of a firm's value resides in its ability to exploit new opportunities. This article incorporates adaptation into…
We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and…
We provide efficient estimation methods for first- and second-price auctions under independent (asymmetric) private values and partial observability. Given a finite set of observations, each comprising the identity of the winner and the…
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating…
Generative AI does more than cut costs. It pulls products toward a shared template, making offerings look and feel more alike while making true originality disproportionately expensive. We capture this centripetal force in a standard…
Penalized likelihood approaches are widely used for high-dimensional regression. Although many methods have been proposed and the associated theory is now well-developed, the relative efficacy of different approaches in finite-sample…
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random…
This paper studies the problems of identifiability and estimation in high-dimensional nonparametric latent structure models. We introduce an identifiability theorem that generalizes existing conditions, establishing a unified framework…
Pricing decisions stand out as one of the most critical tasks a company faces, particularly in today's digital economy. As with other business decision-making problems, pricing unfolds in a highly competitive and uncertain environment.…
Evaluating the financial performance of manufacturing firms requires consideration of both the time value of money and the relative importance of multiple decision criteria. Conventional approaches relying solely on deterministic…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…