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Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
16 references·16 citing·28 second hopsampled
Relative Entropy, Exponential Utility, and Robust Dynamic Pricing (2007)Relative Entropy, Exponential Utility, an…A Robust Optimization Approach to Inventory Theory (2006)A Robust Optimization Approac…Robust Control of Markov Decision Processes with Uncertain Transition Matrices (2005)Robust Control of Markov Deci…The Price of Robustness (2004)The Price of RobustnessIntertemporal asset pricing under knightian uncertainty (2004)Intertemporal asset pricing u…Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …Robust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…Robust solutions of Linear Programming problems contaminated with uncertain data (2000)Robust solutions of Linear Pr…Robust solutions of uncertain linear programs (1999)Robust solutions of uncertain…Robust Convex Optimization (1998)Robust Convex OptimizationA Multiproduct Dynamic Pricing Problem and Its Applications to Network Yield Management (1997)A Multiproduct Dynamic Pricin…Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons (1994)Optimal Dynamic Pricing of In…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Point Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…Point Processes and Queues (1981)Point Processes and QueuesCalcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…A Review of Robust Operations Management under Model Uncertainty (2020)A Review of Robust Operations…Algorithmic Trading with Model Uncertainty (2017)Algorithmic Trading with Mode…Robust Sensitivity Analysis for Stochastic Systems (2016)Robust Sensitivity Analysis f…Intertemporal Pricing Under Minimax Regret (2016)Intertemporal Pricing Under M…Learning and Pricing with Models That Do Not Explicitly Incorporate Competition (2015)Learning and Pricing with Mod…Real-time dynamic pricing in a non-stationary environment using model-free reinforcement learning (2013)Real-time dynamic pricing in …Pareto Efficiency in Robust Optimization (2013)Pareto Efficiency in Robust O…Dynamic Pricing and Learning: Historical Origins, Current Research, and New Directions (2013)Dynamic Pricing and Learning:…Blind Network Revenue Management (2012)Blind Network Revenue Managem…Robust Portfolio Control with Stochastic Factor Dynamics (2011)Robust Portfolio Control with…Monopoly pricing with limited demand information (2010)Monopoly pricing with limited…Innovative quick response programs: A review (2010)Innovative quick response pro…Innovative Quick Response Programs: A Review (2010)Innovative Quick Response Pro…Revenue Management with Limited Demand Information (2008)Revenue Management with Limit…Two-Stage Robust Network Flow and Design Under Demand Uncertainty (2007)Two-Stage Robust Network Flow…Risk in Revenue Management and Dynamic Pricing (2007)Risk in Revenue Management an…Adjustable robust solutions of uncertain linear programs (2004)Stochastic Programming (2010)Introduction to Stochastic Programming (2011)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)Risk, Ambiguity, and the Savage Axioms (1961)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Robust Control and Model Uncertainty (2001)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Ambiguity, Information Quality, and Asset Pricing (2008)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)Robust optimization ? methodology and applications (2002)Convex Approximations of Chance Constrained Programs (2006)Pricing and the Newsvendor Problem: A Review with Extensions (1999)Revenue Management: Research Overview and Prospects (1999)Dynamic Pricing in the Presence of Inventory Considerations: Research Overview, Current Practices, and Future Directions (2003)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Theory and Applications of Robust Optimization (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)
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References

  • 2004The Price of Robustness4,620 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1998Robust Convex Optimization2,606 cited
  • 1999Robust solutions of uncertain linear programs1,832 cited
  • 2000Robust solutions of Linear Programming problems contaminated with uncertain data1,745 cited
  • 1981Point Processes and Queues1,652 cited
  • 1994Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons1,560 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 2006A Robust Optimization Approach to Inventory Theory708 cited
  • 2005Robust Control of Markov Decision Processes with Uncertain Transition Matrices700 cited
  • 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach663 cited
  • 1997A Multiproduct Dynamic Pricing Problem and Its Applications to Network Yield Management636 cited
  • 2004

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Intertemporal asset pricing under knightian uncertainty
597 cited

Cited by

  • 2007Two-Stage Robust Network Flow and Design Under Demand Uncertainty340 cited
  • 2012Blind Network Revenue Management171 cited
  • 2010Innovative quick response programs: A review144 cited
  • 2013Pareto Efficiency in Robust Optimization135 cited
  • 2016Robust Sensitivity Analysis for Stochastic Systems126 cited
  • 2010Innovative Quick Response Programs: A Review120 cited
  • 2017Algorithmic Trading with Model Uncertainty99 cited
  • 2020A Review of Robust Operations Management under Model Uncertainty96 cited
  • 2007Risk in Revenue Management and Dynamic Pricing91 cited
  • 2013Real-time dynamic pricing in a non-stationary environment using model-free reinforcement learning86 cited
  • 2008Revenue Management with Limited Demand Information84 cited
  • 2015Learning and Pricing with Models That Do Not Explicitly Incorporate Competition78 cited
  • 2016Intertemporal Pricing Under Minimax Regret77 cited
  • 2010Monopoly pricing with limited demand information71 cited
  • 2011Robust Portfolio Control with Stochastic Factor Dynamics69 cited
  • 2013Dynamic Pricing and Learning: Historical Origins, Current Research, and New Directions67 cited