Related papers: Identifying Preferences when Households are Financ…
Firms that price perishable resources -- airline seats, hotel rooms, seasonal inventory -- now routinely use demand predictions, but these predictions vary widely in quality. Under hard capacity constraints, acting on an inaccurate…
This paper analyzes a society composed of individuals who have diverse sets of beliefs (or models) and diverse tastes (or utility functions). It characterizes the model selection process of a social planner who wishes to aggregate…
The method of extended maximum likelihood is a well known concept of parameter estimation. One can implement external knowledge on the unknown parameters by multiplying the likelihood by constraint terms. In this note, we emphasize that…
Models allowing for random heterogeneity, such as mixed logit and latent class, are generally observed to obtain superior model fit and yield detailed insights into unobserved preference heterogeneity. Using theoretical arguments and two…
I consider decision-making constrained by considerations of morality, rationality, or other virtues. The decision maker (DM) has a true preference over outcomes, but feels compelled to choose among outcomes that are top-ranked by some…
For estimating area-specific parameters (quantities) in a finite population, a mixed model prediction approach is attractive. However, this approach strongly depends on the normality assumption of the response values although we often…
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We…
Product personalization opens the door to price discrimination. A rich product line allows firms to better tailor products to consumers' tastes, but the mere choice of a product carries valuable information about consumers that can be…
This paper considers a distributionally robust chance constraint model with a general ambiguity set. We show that a sample based approximation of this model converges under suitable sufficient conditions. We also show that upper and lower…
We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal…
Portfolio underdiversification is one of the most costly losses accumulated over a household's life cycle. We provide new evidence on the impact of financial inclusion services on households' portfolio choice and investment efficiency using…
We consider the design of prediction market mechanisms known as automated market makers. We show that we can design these mechanisms via the mold of \emph{exponential family distributions}, a popular and well-studied probability…
Given only aggregate choice data and limited information about how menus are distributed across the population, we describe what can be inferred robustly about the distribution of preferences (or more general decision rules). We strengthen…
Many real life optimization problems contain both hard and soft constraints, as well as qualitative conditional preferences. However, there is no single formalism to specify all three kinds of information. We therefore propose a framework,…
In this article, we assess the benefits of coordination and partnerships between governments and private insurers, and provide further evidence for microinsurance products as powerful and cost-effective tools for achieving poverty…
The finite sensitivity of instruments or detection methods means that data sets in many areas of astronomy, for example cosmological or exoplanet surveys, are necessarily systematically incomplete. Such data sets, where the population being…
Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as "long".…
We show that lenders face more uncertainty when assessing default risk of historically under-served groups in US credit markets and that this information disparity is a quantitatively important driver of inefficient and unequal credit…
We explore the implications of a preference ordering for an investor-consumer with a strong preference for keeping consumption above an exogenous social norm, but who is willing to tolerate occasional dips below it. We do this by splicing…
In this paper I empirically investigate prediction markets for binary options. Advocates of prediction markets have suggested that asset prices are consistent estimators of the "true" probability of a state of the world being realized. I…