We solve the problem of optimal securitization for an issuer facing heterogeneous investors with arbitrary time and risk preferences. We show that the optimal securitization is characterized by multiple nonlinear tranches, and each investor gets a portfolio of these tranches. In particular, when...

We solve the general problem of optimal risk sharing among a nite number of agents with limited liability. We show that the optimal allocation is characterized by endogenously determined ranks assigned to the participating agents and a hierarchical structure of risk sharing, where all agents...

Abstract Motivated by the thriving market of online display advertising, we study a problem of allocating numerous types of goods among many agents who have concave valuations (capturing risk aversion) and heterogeneous substitution preferences across types of goods. The goal is both to provide...

When a focal firm undergoes a product-harm crisis, non-focal firms offering similar products or services can suffer from a negative spillover effect but can also benefit from customers switching from the troubled focal firm, which we call the competitive effect. In response, a non-focal firm can...

The unprecedented growth of cellular traffic driven by web surfing, video streaming, and cloud-based services poses bandwidth challenges for cellular service providers. To manage the increasing data traffic, cellular service providers are experimenting the use of third-party WiFi hotspots to...

This paper examines the effect of a social network on prediction markets using a controlled laboratory experiment that allows us to identify causal relationships between a social network and the performance of an individual participant, as well as the performance of the prediction market as a...

We study optimal securitization of defaultable assets in a continuous time setting. A financial intermediary can create a portfolio of defaultable assets and then sell it to outside investors. The default risk of the assets in the portfolio is determined by the unobservable costly effort exerted...

Over the past ten years, many healthcare organizations have made significant investments in automating their clinical operations, mostly through the introduction of advanced information systems. Yet the impact of these investments on staffing is still not well understood. In this paper, we study...

We study the deferred payment and inspection mechanisms for mitigating supplier product adulteration, with endogenous procurement decision and general defect discovery process. We first derive the optimal deferred payment contract, which reveals that either entire or partial deferral can arise,...

Overcrowding in emergency rooms (ERs) is a common yet nagging problem. It not only is costly for hospitals but also compromises care quality and patient experience. Hence, finding effective ways to improve ER care delivery is of great importance. Using a large dataset covering all emergency...