Related papers: Present Value of the Future Consumer Goods Multipl…
We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how…
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existence and uniqueness of the solution and give a characterization…
In this paper, we propose a realistic multiple dynamic pricing approach to demand response in the retail market. First, an adaptive clustering-based customer segmentation framework is proposed to categorize customers into different groups…
We investigate a value-maximizing problem incorporating a human behavior pattern: present-biased-ness, for a firm which navigates strategic decisions encompassing earning retention/payout and capital injection policies, within the framework…
We consider the consumption-based asset pricing model, derive a new modified basic pricing equation, and present its successive approximations using the Taylor series expansions of the investor's utility during the averaging time interval.…
In B2B markets, value-based pricing and selling has become an important alternative to discounting. This study outlines a modeling method that uses customer data (product offers made to each current or potential customer, features,…
The problem of arriving at a principled method of pricing goods and services was very satisfactorily solved for conventional goods; however, this solution is not applicable to digital goods. This paper studies pricing of a special class of…
We study the revenue-maximizing mechanism when a buyer's value evolves endogenously because of learning-by-consuming. A seller sells one unit of a divisible good, while the buyer relies on his private, rough valuation to choose his…
A bipartite producer-consumer network is constructed to describe the industrial structure. The edges from consumer to producer represent the choices of the consumer for the final products and the degree of producer can represent its market…
Budgets play a significant role in real-world sequential auction markets such as those implemented by internet companies. To maximize the value provided to auction participants, spending is smoothed across auctions so budgets are used for…
The disruption of supplies during the Covid-19 crisis has led to shortages but has also shown the adaptability of some companies, which have succeeded in adapting their production chains quickly to produce goods experiencing shortages:…
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market…
This paper proposes a novel numerical method for solving the problem of decision making under cumulative prospect theory (CPT), where the goal is to maximize utility subject to practical constraints, assuming only finite realizations of the…
As load varies continuously over time, it is essential to provide continuous-time price signals that accurately reflect supply-demand balance. However, conventional discrete-time economic dispatch fails to capture the intra-temporal…
In this paper, we use replica analysis to determine the investment strategy that can maximize the net present value for portfolios containing multiple development projects. Replica analysis was developed in statistical mechanical…
The objective of this study is to analyze the response of firm value, represented by the Tobin's Q (Q) for a group of twelve U.S. durable goods producers to uncertainties in the US Economy. The results, based on an estimated panel quantile…
Assortment optimization refers to the problem of designing a slate of products to offer potential customers, such as stocking the shelves in a convenience store. The price of each product is fixed in advance, and a probabilistic choice…
Dynamic pricing of goods in a competitive environment to maximize revenue is a natural objective and has been a subject of research over the years. In this paper, we focus on a class of markets exhibiting the substitutes property with…
This paper studies the expected value of multiplicative rewards, where rewards obtained in each step are multiplied (instead of the usual addition), in Markov chains (MCs) and Markov decision processes (MDPs). One of the key differences to…
Machine learning models are often used to inform real world risk assessment tasks: predicting consumer default risk, predicting whether a person suffers from a serious illness, or predicting a person's risk to appear in court. Given…