相关论文: A Note on Lerner Index, Cross-Elasticity and Reven…
This paper considers the maximum likelihood estimation of panel data models with interactive effects. Motivated by applications in economics and other social sciences, a notable feature of the model is that the explanatory variables are…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
With the rapid growth in the fashion e-commerce industry, it is becoming extremely challenging for the E-tailers to set an optimal price point for all the products on the platform. By establishing an optimal price point, they can maximize…
This paper focuses on price-based residential demand response implemented through dynamic adjustments of electricity prices during DR events. It extends existing DR models to a stochastic framework in which customer response is represented…
Understanding and predicting the electricity demand responses to prices are critical activities for system operators, retailers, and regulators. While conventional machine learning and time series analyses have been adequate for the routine…
In this paper, we study a class of revenue management problems where the decision maker aims to maximize the total revenue subject to budget constraints on multiple type of resources over a finite horizon. At each time, a new…
How do cost shocks pass through to prices in markets with price dispersion? We decompose the problem into two layers. In the competition layer, consumers' consideration sets determine equilibrium distributions of normalized margins. In the…
The aim of inverse reinforcement learning (IRL) is to infer an agent's preferences from observing their behaviour. Usually, preferences are modelled as a reward function, $R$, and behaviour is modelled as a policy, $\pi$. One of the central…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors' income rates as well as the stock's dividend rate are governed by discontinuous Levy processes. Our main result…
We revisit the problem of large-scale assortment optimization under the multinomial logit choice model without any assumptions on the structure of the feasible assortments. Scalable real-time assortment optimization has become essential in…
The paper describes the deep learning approach for forecasting non-stationary time series with using time trend correction in a neural network model. Along with the layers for predicting sales values, the neural network model includes a…
In contextual dynamic pricing, a seller sequentially prices goods based on contextual information. Buyers will purchase products only if the prices are below their valuations. The goal of the seller is to design a pricing strategy that…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
With the ever increasing prominence of data in retail operations, sales forecasting has become an essential pillar in the efficient management of inventories. When facing high demand, the use of backroom storage and intraday shelf…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
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…
Optimal execution is an important problem faced by any trader. Most solutions are based on the assumption of constant market impact, while liquidity is known to be dynamic. Moreover, models with time-varying liquidity typically assume that…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
This paper revisits the classic instrument choice problem in a setting with consumption externalities, through the lens of robust mechanism design. A regulator can implement any incentive-compatible policy but is uncertain about how…