Related papers: Arbitraging Narrow Bracketers
This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…
Several branches of the potential outcome causal inference literature have discussed the merits of blocking versus complete randomization. Some have concluded it can never hurt the precision of estimates, and some have concluded it can…
We consider an agent community wishing to decide on several binary issues by means of issue-by-issue majority voting. For each issue and each agent, one of the two options is better than the other. However, some of the agents may be…
We study the question of setting and testing reserve prices in single item auctions when the bidders are not identical. At a high level, there are two generalizations of the standard second price auction: in the lazy version we first…
When selling many goods with independent valuations, we develop a distributionally robust framework, consisting of a two-player game between seller and nature. The seller has only limited knowledge about the value distribution. The seller…
We study a classic Bayesian mechanism design setting of monopoly problem for an additive buyer in the presence of budgets. In this setting a monopolist seller with $m$ heterogeneous items faces a single buyer and seeks to maximize her…
It is standard practice in online retail to run pricing experiments by randomizing at the article-level, i.e. by changing prices of different products to identify treatment effects. Due to customers' cross-price substitution behavior, such…
In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a…
Recent attempts to achieve fairness in predictive models focus on the balance between fairness and accuracy. In sensitive applications such as healthcare or criminal justice, this trade-off is often undesirable as any increase in prediction…
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the…
In robust combinatorial optimization, we would like to find a solution that performs well under all realizations of an uncertainty set of possible parameter values. How we model this uncertainty set has a decisive influence on the…
We study an assortment optimization problem under a multi-purchase choice model in which customers choose a bundle of up to one product from each of two product categories. Different bundles have different utilities and the bundle price is…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
This paper investigates the benefits of incorporating diversification effects into the pricing process of insurance policies from two different business lines. The paper shows that, for the same risk reduction, insurers pricing policies…
A monopolist offers personalized prices to consumers with unit demand, heterogeneous values, and idiosyncratic costs, who differ in a protected characteristic, such as race or gender. The seller is subject to a non-discrimination…
A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models under mild assumptions. On the other hand, it is also easy…
For a given level of accuracy in option prices, the paper considers the problem of deciding when exactly, as one or more of the pricing parameters change, a barrier option degenerates into a simpler type of option. This problem is…
Discrete-choice models are used in economics, marketing and revenue management to predict customer purchase probabilities, say as a function of prices and other features of the offered assortment. While they have been shown to be…
In continuous-choice settings, consumers decide not only on whether to purchase a product, but also on how much to purchase. Thus, firms optimize a full price schedule rather than a single price point. This paper provides a methodology to…
We consider a scenario where a retailer can set different prices for different consumers in a smart grid. The retailer's objective is to maximize the revenue, minimize the operating cost, and maximize the consumer's welfare. The retailer…