We analyze the two-bidder discriminatory auction with downward sloping marginal valuations and a continuous, variable award. We allow for a common component in marginal valuations and affiliation. We focus on problems that admit solutions with strictly downward sloping bidding schedules. Using...

We develop a model of a two-division firm in which the “strong†division has,on average, higher quality investment projects than the “weak†division. We show that the firm optimally biases its project selection policy in favor of the weak division and this bias is stronger...

We derive equilibrium bidding strategies in divisible good auctions for asymmetrically informed risk neutral and risk averse bidders when there is random noncompetitive demand. The equilibrium bid schedules contain both strategic considerations and explicit allowances for the winner's curse....

This paper extends the theory of non-cash auctions by considering the revenue and efficiency of using different securities. Research on bankruptcy and privatization suggests using non-cash auctions to increase cash-constrained bidder participation. We examine this proposal and demonstrate that...

We describe how episodic illiquidity arises from a breakdown in cooperation between market participants. We first solve a one-period trading game in continuous-time, using an asset pricing equation that accounts for the price impact of trading. Then, in a multi-period framework, we describe an...

We study the relative effectiveness of top-down (TD) and bottom-up (BU) strategies for forecasting the aggregate demand in a production planning framework. The aggregate demand series is composed of several correlated subaggregate components (or items), each of which is assumed to follow a...