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Dynamic Pricing Behavior in Perishable Goods Markets:Evidence from Secondary Markets for Major League Baseball Tickets
Dynamic Pricing Behavior Perishable Goods Markets Secondary Markets Major League Baseball Tickets
2015/9/24
Sellers of perishable goods increasingly use dynamic pricing strategies as technology makes it easier to change prices and track inventory. This paper tests how accurately theoretical models of dynami...
Optimal portfolios in commodity futures markets
futures contract commodity markets portfolio optimization stochastic partial differential equations
2012/4/28
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize ...
State-dependent utility maximization in Lévy markets
Portfolio optimization L´ evy market duality method utility maximization shortfall risk minimization
2010/10/29
We revisitMerton’s portfolio optimization problem under bounded state-dependent utility functions, in a market driven by a L´evy process Z extending results by Karatzas et. al. [8] and Kunita [1...