Business Commons^™

Optimization And Information Problems In Operations, Puping Jiang

Olin Business School Electronic Theses and Dissertations

The main purpose of this dissertation is to study the optimization problems and the value of information in various commercial settings, especially in the emerging platform economy.

Chapter 1, “Data-Driven Asset Selling”. Motivated by online asset selling marketplace business (e.g., used cars and real estate), we formulate a data-driven asset selling dynamic pricing framework which utilizes platforms’ access to customers’ online behavioral data. With mild assumptions on the demand model, careful characterization of the problem structure shows that the model admits some ideal properties that facilitate our regret analysis under our dynamic programming setting. Instead of studying the policy performance …

Optimization And Information Problems In Operations, Puping Jiang

Olin Business School Electronic Theses and Dissertations

The main purpose of this dissertation is to study the optimization problems and the value of information in various commercial settings, especially in the emerging platform economy.

Chapter 1, “Data-Driven Asset Selling”. Motivated by online asset selling marketplace business (e.g., used cars and real estate), we formulate a data-driven asset selling dynamic pricing framework which utilizes platforms’ access to customers’ online behavioral data. With mild assumptions on the demand model, careful characterization of the problem structure shows that the model admits some ideal properties that facilitate our regret analysis under our dynamic programming setting. Instead of studying the policy performance …

Systemic Risk In Financial Networks, Tathagata Banerjee

McKelvey School of Engineering Theses & Dissertations

In this dissertation, I have used the network model based approach to study systemic risk in financial networks. In particular, I have worked on generalized extensions of the Eisenberg--Noe [2001] framework to account for realistic financial situations viz. pricing of corporate debt while accounting for network effects, asset liquidation mechanisms during fire sales, dynamic clearing and impact of contingent payments such as insurance and credit default swaps. First, I present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. I demonstrate that the comonotonic setting provides a lower bound to the price …

A Traders Guide To The Predictive Universe- A Model For Predicting Oil Price Targets And Trading On Them, Jimmie Harold Lenz

Doctor of Business Administration Dissertations

At heart every trader loves volatility; this is where return on investment comes from, this is what drives the proverbial “positive alpha.” As a trader, understanding the probabilities related to the volatility of prices is key, however if you could also predict future prices with reliability the world would be your oyster. To this end, I have achieved three goals with this dissertation, to develop a model to predict future short term prices (direction and magnitude), to effectively test this by generating consistent profits utilizing a trading model developed for this purpose, and to write a paper that anyone with …

Dynamic Pricing And Inventory Management: Theory And Applications, Renyu Zhang

Arts & Sciences Electronic Theses and Dissertations

We develop the models and methods to study the impact of some emerging trends in technology, marketplace, and society upon the pricing and inventory policy of a firm. We focus on the situation where the firm is in a dynamic, uncertain, and (possibly) competitive market environment. The market trends of particular interest to us are: (a) social networks, (b) sustainability concerns, and (c) customer behaviors. The two main running questions this dissertation aims to address are: (a) How these emerging market trends would influence the operations decisions and profitability of a firm; and (b) What pricing and inventory strategies a …