PAPERS:

"Optimal Price-Lead Time Menus for Queueing Systems with Customer Choice: Priorities, Pooling and Strategic Delay" with Philipp Afèche
Abstract  Updated Version Available Soon
(invited for second round review at Management Science)

"When Gray Markets Have Silver Linings: All-Unit Discounts, Gray Markets and Channel Management" with Ming Hu and Mengze Shi
Abstract  Download from SSRN
(invited for third round review at MSOM)

"Corporate Payout Policy, Cash Savings, and The Cost of Consistency: Evidence from a Structural Estimation" with Hamed Mahmudi
Abstract  Full Text
(invited for third-round review at Financial Management)

"Ascending Auctions for Markets with Structured Externalities" with Craig Boutilier
Abstract  Full Text Available on Request.

ABSTRACTS:

"Optimal Price-Lead Time Menus for Queueing Systems with Customer Choice: Priorities, Pooling and Strategic Delay" with Philipp Afèche     Updated Version Available Soon

Abstract: We study the optimal design of price-lead time menus to maximize revenues from heterogeneous time- sensitive customers with private information about their price and time-sensitivity. Our findings are as follows. 1. Delay cost minimization and revenue maximization may be incompatible: the lead time menu attained by a work conserving strict priority policy minimizes the delay cost but need not be optimal under revenue maximization. 2. The optimal lead time menu may deviate in two fundamentally different ways from the conditionally optimal menu given a work conserving strict priority policy. (i) It may be optimal to pool multiple different customer types into a single service class. (ii) It may be optimal to artificially inflate the lead times of certain service classes through the insertion of strategic delay. We identify conditions for pooling and strategic delay to be optimal depending on the capacity level and market parameters. In particular, we find that the virtual delay costs play an important role in determining the structure of the optimal lead time menu, and that the functional form of these delay costs differ depending on which subset of customers are admitted. 3. Under the conditionally optimal menu given a work conserving strict priority policy, it may be optimal at high capacity levels to strategically exclude low value customers which would otherwise be served with strategic delay under the optimal menu.

"When Gray Markets Have Silver Linings: All-Unit Discounts, Gray Markets and Channel Management" with Ming Hu and Mengze Shi     Download from SSRN

Abstract: Gray markets are unauthorized channels of distribution for a supplier's authentic products. This paper studies a distribution channel that consists of a supplier who offers all-unit quantity discounts for batch orders to enjoy cost savings, and a reseller who may divert some goods to the gray markets. Our analysis shows the impact of gray markets depends on the reseller's batch inventory holding cost. When the reseller's batch inventory holding cost is high, diversion to the gray markets improves the channel performance by enabling the reseller to make batch orders. Since the reseller's order costs decrease through quantity discounts, diversion to the gray markets reduces the resale price and expands sales to the authorized channel. On the other hand, when the reseller's batch inventory holding cost is low, the reseller would make the batch orders even without the gray markets. In this case the diversion to the gray markets may improve the reseller's performance by shortening the order cycles and reducing the inventory holding costs. Interestingly, since diversion to the gray markets decreases the reseller's peak inventory volume, the reseller has the reduced incentive to push its inventory and, consequently, the resale price rises and sales volume decreases in the authorized channel. These results underscore the importance of firms integrating inventory and pricing decisions when managing distribution channels affected by gray markets.

"Corporate Payout Policy, Cash Savings, and The Cost of Consistency: Evidence from a Structural Estimation" with Hamed Mahmudi     Full Text

Abstract: We develop a dynamic model in which firms choose their optimal financing, investment, dividends, and cash holdings while facing costly equity issuance, debt and capital adjustments costs, and taxed interest on cash balances. We solve the model numerically to estimate the volatility of payout and optimal level of cash holdings. Comparing these results with a large sample of U.S. firms from 1988 to 2007, we show that on average firms excessively smooth their payout while maintaining larger than optimal levels of cash (excess cash) on their balance sheets. We further extend the base-case model to capture the effect of a manager, who perceives a cost to cutting payout. Applying simulated method of moments (SMM) to the dynamic model we infer the magnitude of this downward adjustment cost. In particular, we find that a managerial preference for payout smoothing leads to increased accumulation of excess cash. Estimated payout consistency cost is larger for firms which are larger, have more dispersed analyst forecasts, which compensate their CEOs with low pay-performance packages, have larger institutional holdings, and pay larger fractions of their payout as dividends. Applying SMM to a recent subsample of the data (2002-2006), we show that the parameter of managerial preference for consistent payout continues to account for a similar equity value loss of approximately 7%.

"Ascending Auctions for Markets with Structured Externalities" with Craig Boutilier
    Full Text Available on Request.

Abstract: While ascending auctions have found considerable popularity applied to combinatorial allocation problems, recent proposals for ascending auctions which account for externalities have placed signicant demands on bidding agents by requiring that they accurately value and communicate bids on the full outcome space (including the allocations awarded to competitors). This requirement is unreasonable in most practical set- tings. We identify a large class of problems, including wireless networks with interference, where externalities are characterized by aggregate resource usage. We propose a more general allocation model in which such problems can be naturally encoded. We adapt recent ascending auctions for combinatorial allocations to this model and show that, given myopic bidders, our mechanism optimizes social welfare. We illustrate its performance in a multi-hop wireless network domain with interference.

PREVIOUS PROJECTS:

"Ascending Auctions for Markets With Structured Externalities and Applications to Routing in Wireless Networks" Master's Thesis Supervised by Professor Craig Boutilier
Abstract  Full Text

"Stochastic Local Search for Scheduling for Minimum Total Tardiness" BSc Honour's Thesis Supervised by Holger Hoos
Abstract  Full Text (AI 2003 version)

ABSTRACTS:

"Ascending Auctions for Markets With Structured Externalities and Applications to Routing in Wireless Networks" Master's Thesis Supervised by Professor Craig Boutilier     Full Text

Abstract: This thesis addresses the problem of finding socially optimal routing allocations in wireless networks with selfish users. We model the problem as a resource allocation problem in a market with externalities. Finding an optimal solution to the underlying resource allocation problem requires solving a mathematical program with non-convex constraints which is difficult to approach using traditional distributed price-mediated allocation mechanisms.
   We consider centralized ascending auction mechanisms as robust allocation techniques. A general allocation model is developed which can be used to encode a wide variety of markets including markets with externalities. We show that an ascending auction over this model is approximately optimal given myopic bidding.
   We encode a model of a wireless network with the general allocation model and develop an auction with a compact bidding space. Optimality results are supported by empirical results showing the mechanism finds good allocations and, relative to a VCG auction, generates higher auction revenues.

"Stochastic Local Search for Scheduling for Minimum Total Tardiness" BSc Honour's Thesis Supervised by Holger Hoos     Full Text (AI 2003 version)

Abstract: The multi-processor total tardiness problem (MPTTP) is an NP-hard scheduling problem, in which the goal is to minimise the tardiness of a set of jobs that are processed on a number of processors. Exact algorithms like branch and bound have proven to be impractical for the MPTTP, leaving stochastic local search (SLS) algorithms as the main alternative to find high-quality schedules. Among the available SLS techniques, iterated local search (ILS) has been shown to be an effective algorithm for the single processor case. Here we extend this technique to the multi-processor case, but our computational results indicate that ILS performance is not fully satisfying. To enhance ILS performance, we consider the use of population-based ILS extensions. Our final experimental results show that the usage of a population of search trajectories yields a more robust algorithm capable of finding best known solutions to difficult instances more reliably than a single ILS trajectory.

OTHER INTERESTS:

When not in the office I like to spend time with my wife Joanne and our little youngster Emily. When they're too busy I turn to bicycles and woodworking.

CV/RESUME:

• PDF version of CV