In this paper, we consider an optimal portfolio de-leveraging problem, where the objective is to meet specified debt/equity requirements at the minimal execution cost. Permanent and temporary price impact is taken into account. With no restrictions on the relative magnitudes of permanent and...

We study the value of price discrimination in large social networks. Recent trends in industry suggest that increasingly firms are using information about social network to offer personalized prices to individuals based upon their positions in the social network. In the presence of positive...

We consider the dynamic pricing problem a monopolistic seller faces when customers arrive in heterogeneous time periods and their purchase decisions are affected by reference prices formed from their past purchase experiences. We illustrate that a new form of price discrimination opportunity...

We study a two-period model in which a firm faces the problem of deciding whether to commit to sales volume disclosure under market size uncertainty, when selling a network good to forward-looking customers who time their purchases. If the first-period sales volume is disclosed, the...

Should capacitated firms set prices responsively to uncertain market conditions in a competitive environment? We study a duopoly selling differentiated substitutable products with fixed capacities under demand uncertainty, where firms can either commit to a fixed price ex ante, or elect to price...

Motivated by several practical selling scenarios that require previous purchases to unlock future options, we consider a multi-stage assortment optimization problem, where the seller makes sequential assortment decisions with commitment, and the customer makes sequential choices to maximize her...

Recently, there has been a rapid rise of on-demand ride-hailing platforms, such as Uber and Didi, which allow passengers with smart phones to submit trip requests and match them to drivers based on their locations and drivers' availability. This increased demand has raised questions about how...

In this paper, we propose the concepts of substitutability and complementarity in discrete choice models. These concepts concern whether the choice probability of one alternative in a choice model increases or decreases with the utility of another alternative, and they play important roles in...

In this paper, we study the relation between several well known classes of discrete choice models, namely the random utility model (RUM), the representative agent model (RAM) and the semi-parametric choice model (SCM). Using a welfare based model as an intermediate, we show that the RAM and the...

Network externality arises when the utility of a product depends not only on its attributes, but also on the number of consumers who purchase the same product. In this paper, we propose and analyze consumer choice models that endogenize such network externality. We first characterize the choice...