Related papers: Dynamic choices, temporal invariance and variation…
We show that different rates should be used for borrowing and discount rates, and that the risk-free rate should be used for discounting when assessing and comparing the cost of energy accross diffferent producers and technologies, on the…
The integration of renewable generation poses operational and economic challenges for the electricity grid. For the core problem of power balance, the legacy paradigm of tailoring supply to follow random demand may be inappropriate under…
Combining two or more items and selling them as one good, a practice called bundling, can be a very effective strategy for reducing the costs of producing, marketing, and selling goods. In this paper, we consider a form of multi-issue…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
The current framework of network utility maximization for distributed rate allocation assumes fixed channel code rates. However, by adapting the physical layer channel coding, different rate-reliability tradeoffs can be achieved on each…
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…
I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…
An attempt to obtain market directional information from non-stationary solution of the dynamic equation: "future price tends to the value maximizing the number of shares traded per unit time" is presented. A remarkable feature of the…
We propose a general methodology for recovering preference parameters from data on choices and response times. Our methods yield estimates with fast ($1/n$ for $n$ data points) convergence rates when specialized to the popular Drift…
We investigate the optimal pricing strategy in a service-providing framework, where customers can leave the system prior to service completion. In this setting, a price is quoted to an incoming customer based on the current number of…
We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivator behind this numerical method is estimating solutions to Adverse Selection…
In this paper an interesting application of mathematics in economics is presented: the formulation of the theory of consumer basic problem, grounded on the concept of preferences relation and operationalized with optimization tools.
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
This paper reviews discounting approaches for modeling multi-year energy investments, focusing on total versus annualised cost formulations. We discuss how time value of money is handled, and how salvage value and milestone-year weighting…
We introduce the logistic model of consumption growth, which captures a negative feedback loop preventing an unlimited growth of consumption due to finite biophysical resources of our planet. This simple dynamic model allows for derivation…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
We propose an axiomatic approach which economically underpins the representation of dynamic preferences in terms of a stochastic utility function, sensitive to the information available to the decision maker. Our construction is iterative…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…
Formulating a real-world problem under the Reinforcement Learning framework involves non-trivial design choices, such as selecting a discount factor for the learning objective (discounted cumulative rewards), which articulates the planning…
In this paper we provide a general solution for the dividend discount model in order to compute the intrinsic value of a common stock that allows for multiple stage growth rates of any predetermined number of periods. A mathematical proof…