In this paper, we generalize the classic therapeutic decision-making model, developed by Pauker and Kassirer, from the expected utility(EU) to the rank-dependent utility (RDU) framework. In contrast with EU, the RDU can incorporate a physician's optimistic and pessimistic biases into...

The newsvendor model is a building block for inventory management under stochastic situation. This paper examines the effects of an additive and a multiplicative background risk separately on the optimal order quantity of a risk-averse newsvendor with Mean-Variance utility. We derive several...

Bellini et al. (2018) propose a robust version of Orlicz premium (OP) when there is an ambiguity in the subjective probability distribution of the underlying uncertainty or a multiplicity of Young function. Inspired by the work, we take a step further in this paper to consider the case where the...

The financial instability stemming from large volumes of simultaneous selling in the corporate bond market has been a topic of concern in recent years. Investors in this market care primarily about the downside risk of a firm given their concave payoff function, and this is precisely the...

The linkage of neighborhood multi-energy microgrids (MEMGs) may overcome the disadvantage of one single microgrid (MG) since surplus/deficient energy can meet balance internally and realize self-satisfaction. In order to realize successful cooperation of such a complicated energy system, optimal...

Online market places have an unprecedented power of bringing together a large number of buyers and sellers and aggregating information. Despite its benefits, this scale of aggregation of private information may bring about adverse effects that can cause inefficiencies, which can be ignored by...

This paper studies the effects of liquidity trading on the dynamics of a financial market under long-lived asymmetric information. Informed traders maximize the expected trading gains they can extract using their superior information, whereas risk-averse liquidity traders with disparate...

Small suppliers often face challenges to obtain financing for their operations. Especially in developing economies, traditional financing methods can be very costly or unavailable to such suppliers. To reduce channel costs, large buyers have recently begun implementing their own financing...

We study endogenous liquidity trading in a market with long-lived asymmetric information. We distinguish between public information, tractable information that can be acquired and intractable information that cannot be acquired. Besides information asymmetry and noise, the adverse-selection...

Online market places have an unprecedented power of bringing together a large number of buyers and sellers and aggregating information. Despite its benefits, this scale of aggregation of private information may bring about adverse effects that can cause inefficiencies, which can be ignored by...