Following the Winner's Curse and the Optimizer's Curse, this paper introduces the Satisficer's Curse. The Winner's Curse requires competition between agents in an auction for, usually, a common-value item; the recently named Optimizer's Curse is a systematic overvaluation when the decision maker...

This paper concerns dynamic pricing of multiple perishable products when there is model uncertainty, which we formulate as a worst-case stochastic intensity control problem where ambiguity is modeled using the notion of relative entropy. One feature of our formulation is that the demand models...

Real options are now widely used in finance for the analysis of irreversible decisions under uncertainty. However, the applicability of this approach is typically limited by the fact that a key input, the volatility level, has to be approximated and estimated using only a handful of historical...

We examine the efficacy of the I-squared incomplete information credit model in a broad context that is relevant to fund and asset managers.Using a rigorous statistical analysis, we show that I-squared is a powerful forecaster of the following events:- Rating agency downgrades- Investment grade...

Real Options for Project Schedules (ROPS) has three recursive sampling/optimization shells. An outer Adaptive Simulated Annealing (ASA) optimization shell optimizes parameters of strategic Plans containing multiple Projects containing ordered Tasks. A middle shell samples probability...

The paper studies multi-stock discrete time market models with serial correlations and with some management costs. We found a market structure that ensures that the optimal strategy is myopic for the case of either power or log utility function

We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We propose and justify approaches based on simulation and the block bootstrap to achieve valid inference in a time series...

Researchers studying the asset allocation problem for long-term investors have employed different investor criterion functions. Some analyses have been based on maximization of expected utility. The most commonly used utilities are quadratic utility, which yields the ubiquitous mean-variance...

This paper provides an alternative behavioral foundation for an investor's use of power utility in the objective function and its particular risk aversion parameter. The foundation is grounded in an investor's desire to minimize the objective probability that the growth rate of invested wealth...