This article analyzes the predictability of market betas concerning cryptocurrency assets and evaluates the efficiency of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods, including ordinary lea ...
The parameters for determining the economic order quantity (EOQ) are often not well known or may change between order cycles in an unpredictable manner. We propose a distribution-free method to determine a relatively robust EOQ that guarantees optimal cost ...
For a general multicriteria decision problem with linear scalarization and unknown weights, we propose relatively robust decisions, which are Pareto-efficient and at the same time maximize a performance index. The latter measures the worst-case ratio, atta ...
The optimal pricing of goods, especially when they are new and the innovating firm is a monopolist, must proceed without precise knowledge of the demand curve. This paper provides a pricing method with a relative robustness guarantee by maximizing a perfor ...
Assuming an instantaneous benefit proportional to a system's state we determine the optimal work-rest policy so as to maximize the average cycle benefit, provided the state declines exponentially when the system is active and increases exponentially when i ...
We consider the minimization of input cost for a selective assembly system that features two random inputs and a finite number of matching classes. This setup frequently arises in high-precision manufacturing when input tolerances are not tight enough for ...
A user’s benefit from the energy stored in a battery over its lifetime depends on the time-varying characteristics of the battery, which are in turn affected by the chosen usage behavior. Both the capacity shrinkage and the number of lifetime cycles are st ...
Self-exciting point processes, widely used to model arrival phenomena in nature and society, are often difficult to identify. The estimation becomes even more challenging when arrivals are recorded only as bin counts on a finite partition of the observatio ...
Peer-to-peer sharing induces persistent changes in product design. Besides bifurcating product durability, this adaptation increases the compatibility of collaborative use with rent extraction—from a producer’s viewpoint. For owners it decreases the commit ...
This paper considers the problem of second-degree price discrimination when the type distribution is unknown or imperfectly specified by means of an ambiguity set. As robustness measure we use a performance index, equivalent to relative regret, which quant ...
It is natural for humans to judge the outcome of a decision under uncertainty as a percentage of an ex-post optimal performance. We propose a robust decision-making framework based on a relative performance index. It is shown that if the decision maker’s p ...
This paper addresses the issue of interpretability and auditability of reinforcement-learning agents employed in the recovery of unsecured consumer debt. To this end, we develop a deterministic policy-gradient method that allows for a natural integration o ...
This paper examines the minimization of the cost for an expected random production output, given an assembly of finished goods from two random inputs, matched in two categories. We describe the optimal input portfolio, first using the standard normal appro ...
We construct a ‘reflexivity’ index to measure the activity generated endogenously within a market for cryptocurrencies. For this purpose, we fit a univariate self-exciting Hawkes process with two classes of parametric kernels to high-frequency trading data ...
This paper examines the binning of two types of parts with random characteristics, so that a componentwise monotonic evaluation criterion exhibits a minimum deviation to a given target value over all possible realizations. The optimal matching classes are ...
We consider a durable-goods monopolist who is able to control the collaborative consumption of its goods on an aftermarket by a sharing tariff. Consumers are heterogeneous with respect to their respective need propensities in each period. We show that the ...
In this paper, we introduce the notion of an "opportunity good" as a discount production input that may prove of satisfactory quality upon inspection and otherwise can be returned to the supplier. While in a quality-sensitive setting it is never optimal to ...
