Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits...

This paper examines how a firm's financial distress and the legal environment regarding the ease of bankruptcy reorganization can alter product market competition and supplier-buyer relationships. We identify three effects, predation, bail-out, and abetment, that can change firms' behavior from...

Multi-armed bandit (MAB) problems, typically modeled as Markov decision processes (MDPs), exemplify the learning vs. earning tradeoff. An area that has motivated theoretical research in MAB designs is the study of clinical trials, where the application of such designs has the potential to...

The U.S. Food and Drug Administration (FDA) regulates the approval and safe public use of pharmaceutical products in the United States. The FDA uses postmarket surveillance systems to monitor drugs already on the market; a drug found to be associated with an increased risk of adverse events...

We consider an optimal risk-sensitive portfolio allocation problem accounting for the possibility of cascading defaults. Default events have an impact on the distress state of the surviving stocks in the portfolio. We study the recursive system of non-Lipschitz quasi-linear parabolic HJB-PDEs...

The presence of strategic customers may force an already financially distressed firm into a death spiral: Sensing the firm's financial difficulty, customers may wait strategically for deep discounts in liquidation sales. In turn, such waiting lowers the firm's profitability and increases the...