Related papers: An Inverse-Ramsey Tax Rule
Personalisation of products and services is fast becoming the driver of success in banking and commerce. Machine learning holds the promise of gaining a deeper understanding of and tailoring to customers' needs and preferences. Whereas…
This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of its reserve to pay dividends to its shareholders while…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…
Problem definition: We study a data-driven pricing problem in which a seller sets a price for a single item based on demand observed at a limited number of historical prices. Our goal is to quantify the value of such information and to…
We provide sufficient conditions for revenue maximization in a two-good monopoly where the buyer's values for the items come from independent (but not necessarily identical) distributions over bounded intervals. Under certain distributional…
In this work, we extend and generalize our solving strategy, first introduced in [1], based on a greedy optimization algorithm and the alternating direction method (ADM) for nonlinear systems computed with multiple load steps. In…
I introduce a new way of decomposing the evolution of the wealth distribution using a simple continuous time stochastic model, which separates the effects of mobility, savings, labor income, rates of return, demography, inheritance, and…
I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…
We present an extension of two policy-iteration based algorithms on weighted graphs (viz., Markov Decision Problems and Max-Plus Algebras). This extension allows us to solve the following inverse problem: considering the weights of the…
We study large markets with a single seller which can produce many types of goods, and many multi-minded buyers. The seller chooses posted prices for its many items, and the buyers purchase bundles to maximize their utility. For this…
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.…
We consider assortment optimization over a continuous spectrum of products represented by the unit interval, where the seller's problem consists of determining the optimal subset of products to offer to potential customers. To describe the…
Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
We consider the revenue maximization problem with sharp multi-demand, in which $m$ indivisible items have to be sold to $n$ potential buyers. Each buyer $i$ is interested in getting exactly $d_i$ items, and each item $j$ gives a benefit…
This work studies equilibrium problems under uncertainty where firms maximize their profits in a robust way when selling their output. Robust optimization plays an increasingly important role when best guaranteed objective values are to be…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
We demonstrate how a static optimal income taxation problem can be analyzed using dynamical methods. Specifically, we show that the taxation problem is intimately connected to the heat equation. Our first result is a new property of the…
Across science and policy, decision-makers often need to draw conclusions about the best candidate among competing alternatives. For instance, researchers may seek to infer the effectiveness of the most successful treatment or determine…