Related papers: Present Value of the Future Consumer Goods Multipl…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed…
The impact of rising consumption on wealth inequality remains an open question. Here we revisit and extend the Social Architecture of Capitalism agent-based model proposed by Ian Wright, which reproduces stylized facts of wealth and income…
We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…
Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…
We study multi-buyer multi-item sequential item pricing mechanisms for revenue maximization with the goal of approximating a natural fractional relaxation -- the ex ante optimal revenue. We assume that buyers' values are subadditive but…
An axiomatic approach to macroeconomics based on the mathematical structure of thermodynamics is presented. It deduces relations between aggregate properties of an economy, concerning quantities and flows of goods and money, prices and the…
We study the effects on economic activity of a pure temporary change in government debt and the relationship between the debt multiplier and the level of debt in an overlapping generations framework. The debt multiplier is positive but…
We study the power of item-pricing as a tool for approximately optimizing social welfare in a combinatorial market. We consider markets with $m$ indivisible items and $n$ buyers. The goal is to set prices to the items so that, when agents…
We study equilibria of markets with $m$ heterogeneous indivisible goods and $n$ consumers with combinatorial preferences. It is well known that a competitive equilibrium is not guaranteed to exist when valuations are not gross substitutes.…
This paper analyzes stability conditions for wholesale electricity markets under real-time retail pricing and realistic consumption models with memory, which explicitly take into account previous electricity prices and consumption levels.…
Understanding customer lifetime value is key to nurturing long-term customer relationships, however, estimating it is far from straightforward. In the retail banking industry, commonly used approaches rely on simple heuristics and do not…
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market. The investor knows nothing about the…
How do we assign value to economic transactions? To answer this question, we must consider whether the value of objects is inherent, is a product of social interaction, or involves other mechanisms. Economic theory predicts that there is an…
In many shopping scenarios, e.g., in online shopping, customers have a large menu of options to choose from. However, most of the buyers do not browse all the options and make decision after considering only a small part of the menu. To…
We aim to provide an intertemporal, cost-efficient consumption model that extends the consumption optimization inspired by the Distribution Builder, a tool developed by Sharpe, Johnson, and Goldstein. The Distribution Builder enables the…
This paper proposes a referencable pattern of the recovery of the consumption sector, a new dimension to observe and evaluate the intrinsic value of the consumption sector, and proposes the concept of sensory-based consumption and the…
This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe…
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horizon. The agent's consumption preference is depicted by a…
Given data on the choices made by consumers for different offer sets, a key challenge is to develop parsimonious models that describe and predict consumer choice behavior while being amenable to prescriptive tasks such as pricing and…
One of the major barriers for the retailers is to understand the consumption elasticity they can expect from their contracted demand response (DR) clients. The current trend of DR products provided by retailers are not consumer-specific,…