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We address the problem of deriving optimal inequalities for P(X E S), for a multivariate random variable X that has a given collection of moments, and S is an arbitrary set. Our goal in this paper is twofold: First, to present the beautiful interplay of probability and optimization related to moment inequalities, from a modern, optimization based,(More)
The idea of investigating the relation of option and stock prices based just on the no-arbitrage assumption, but without assuming any model for the underlying price dynamics, has a long history in the financial economics literature. We introduce convex and, in particular semidefinite optimization methods, duality, and complexity theory to shed new light on(More)
W e investigate dynamic policies for allocating scarce inventory to stochastic demand for multiple fare classes, in a network environment so as to maximize total expected revenues. Typical applications include sequential reservations for an airline network, hotel, or car rental service. We propose and analyze a new algorithm based on approximate dynamic(More)
We provide an optimization framework for computing optimal upper and lower bounds on functional expectations of distributions with special properties, given moment constraints. Bertsimas and Popescu have already shown how to obtain optimal moment inequalities for arbitrary distributions via semidefinite programming. These bounds are not sharp if the(More)
We provide a method for deriving robust solutions to certain stochastic optimization problems, based on mean-covariance information about the distributions underlying the uncertain vector of returns. We prove that for a general class of objective functions, the robust solutions amount to solving a certain deterministic parametric quadratic program. We first(More)
We introduce a measure of elasticity of stochastic demand, called the elasticity of the lost-sales rate, which offers a unifying perspective on the well-known newsvendor with pricing problem. This new concept provides a framework to characterize structural results for coordinated and uncoordinated pricing and inventory strategies. Concavity and(More)
OBJECTIVE Structural neuroimaging studies have suggested an association between schizophrenia and abnormalities in brain morphology such as ventricular enlargement and differences in gray matter distribution. Less consistently reported are findings of regional abnormalities such as selective differences in thalamic volume. The authors applied an unbiased(More)
A Working Paper is the author's intellectual property. It is intended as a means to promote research to interested readers. Its content should not be copied or hosted on any server without written permission from publications.fb@insead.edu Click here to access the INSEAD Working Paper collection We study the dynamic pricing implications of a new,(More)