Concept
Shadow price
Publications associées (26)
Monopoly Pricing with Unknown Demand
The optimal pricing of goods, especially when they are new and the innovating firm is a monopolist, must proceed without precise knowledge of the demand curve. This paper provides a pricing method with a relative robustness guarantee by maximizing a perfor ...
2024Optimization and equilibrium problems with discrete choice models
Many transportation markets are characterized by oligopolistic competition. In these markets customers, suppliers and regulators make decisions that are influenced by the preferences and the decisions of all other agents. In particular, capturing and under ...
EPFL2022Uniqueness of equilibrium in a payment system with liquidation costs
Damir Filipovic, Léo Hamed Amini
We study a financial network where forced liquidations of an illiquid asset have a negative impact on its price, thus reinforcing network contagion. We give conditions for uniqueness of the clearing asset price and liability payments. Our main result holds ...
Elsevier Science Bv2016Do Prices Reveal the Presence of Informed Trading?
Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures of adverse selection respond to informed trading. We find that on days when activists accumulate shares, measures of adverse selection and of stoc ...
Wiley-Blackwell2015