We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral risk constraints. Since the conditional value at risk (CVaR) is a special case of the spectral risk measure, our algorithm solves portfolio selection problems with...

We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism used in stock markets. Both buyers and sellers are...

We analyze a periodic review stochastic inventory model with T periods and I items. At the beginning of each period, the inventory position of each item can be adjusted by placing an order or by salvaging some of the inventory. There is a limited capacity for the total inventory held at the end...

Problem definition. Motivated by the debate around drivers' welfare in on-demand transportation, we propose a framework to evaluate current practices and also possible alternatives. We study a setting in which riders seek drivers and a platform facilitates such matches over the course of the...

We consider an online assortment optimization problem where we have n substitutable products with fixed reusable capacities c1,...,cn. In each period t, a user with some preferences (potentially adversarially chosen) arrives to the seller's platform who offers a subset of products St, from the...

We develop a model of Cournot competition between capacity-constrained firms that sell a single good to multiple regions. We provide a novel characterization for the unique equilibrium allocation of the good across regions and design an algorithm to compute it. We show that a reduction in...

One of the important limitations of the SRISK measure of systemic risk, proposed by Brownlees and Engle and Acharya, Engle and Richardson, is its reliance on stock market data without much validation against the institutions' fundamentals based on its financial statements. We propose a financial...

A realistic specification for consumer heterogeneity should allow for both multiple market segments and within-segment heterogeneity. Such a flexible heterogeneity specification, which we term as multimodal consumer heterogeneity (MCH), raises considerable modeling challenge. We propose an...

Risk-based asset allocation models have received considerable attention in recent years. This increased popularity is due in part to the difficulty in estimating expected returns as well as the financial crisis of 2008 which has helped reinforce the key role of risk in asset allocation. In this...

We consider dynamic asset allocation problems where the agent is required to pay capital gains taxes on her investment gains. This is a very challenging problem because the tax owed whenever a security is sold depends on the cost-basis, i.e. the price(s) at which the shares of the security was...