We study production planning integrated with risk hedging by considering shortfall as the risk measure. In addition to the one-time production quantity decision, there is a real-time hedging strategy throughout the horizon; and the goal is to minimize the gap between a pre-specified target and...

The objective of this study is to develop a majorization-based tool to compare financial networks with a focus on the implications of liability concentration. Specifically, we quantify liability concentration by applying the majorization order to the liability matrix that captures the...

Financial institutions are interconnected directly by holding debt claims against each other (the network channel), and they are also bound by the market liquidity in selling assets to meet debt liabilities when facing distress (the liquidity channel). The goal of our study is to investigate how...

We develop a dynamic model of interbank borrowing and lending activities in which banks are organized into clusters, and adjust their monetary reserve levels to meet prescribed capital requirements. Each bank has its own initial monetary reserve level and faces idiosyncratic risks characterized...

We propose and study a new class of polynomial voting rules for a general decentralized decision/consensus system, and more specifically for the PoS (Proof of Stake) protocol. The main idea, inspired by the Penrose square-root law and the more recent quadratic voting rule, is to differentiate a...

An opaque product is a product where some secondary attribute is not revealed to the customer until after purchase. Selling opaque products has become popular on e-commerce platforms where the hidden attribute is often color or style, thanks to its obvious advantage in risk pooling the demand....

In many retail settings such as fast-food chains, limited time “collect and win” games are often used to promote products and drive sales to the retail outlets. Unlike the more standard price discount or “buy-X-get-Y” promotional campaigns, the “collect and win” games create short...

A central problem in planning production capacity is how to effectively manage demand risk. We develop a model that integrates capacity planning and risk hedging decisions under a popular risk measure, conditional value at risk (CVaR). The CVaR objective generalizes the usual risk-neutral...

Demand for many products may depend on the price of a tradable asset or on the economy in general. For instance, demand for equipment that plants or harvests corns correlates with the fluctuations of the corn price on the commodity market; and discount stores experienced increased sales revenue...