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The media planning problem deals with the optimal allocation of a given
budget over a predefined set of advertising vehicles. This problem can
be formulated as a nonlinear integer program and solved by means of
dynamic programming. A number of other exact and approximate solution
methods are proposed, including a branch and bound algorithm, a fully
polynomial approximation scheme and a greedy heuristic. It is shown
that this greedy heuristic has (1) time and space complexity linear in
the number of vehicle options and (2) a nonzero performance lower
This research makes joint use of the prices of nominal and inflation
indexed bonds to estimate and study inflation risk premium, inflation
expectations, and real and nominal term premia.
In this dissertation, we study three topics on revenue management.
First, we consider a simplified air cargo problem. We show that a
linear programming based approach proposed for airline seat inventory
control can be used for air cargo as well. Because of the
characteristics of demand and inventories, the formulation is a
continuous linear program, and poses difficulties in forecasting and
optimization. We focus on the optimization problem, show that the bid
prices for the air cargo problem exist and present three approximation
In first essay, I present a general equilibrium model of financial
asset pricing where market can be incomplete. The focus is on the
effects of economics fundamentals on capital asset pricing model. Using
martingale approach, I am able to solve models of asset pricing,
optimal consumption, production, leisure and portfolio choice in which
heterogeneous agents maximize their expected utility functions which
are defined over not only consumption but also leisure. Solving these
models, I derive a CAPM expressing the returns in terms of covariance
I develop and analyze variance reduction techniques for Monte Carlo
simulation, motivated by problems of pricing financial derivatives.
There are two new approaches, both of which deal with the possibility
of simulated paths stopping early.
Managers today have enormous opportunity to examine multiple market
research reports. These reports are useful in creating marketing plans.
Often, however, these multiple market research reports contain
conflicting information. The question explored in this research is how
a manager integrates conflicting quantitative information (projections)
to form a forecast to be used in marketing planning.
The current presentation of financial statements provides scant
guidance for constructing the relation between revenues and operating
costs. This relation is central for the analysis of profitability and
earnings variability, which are key factors in generating operating
earnings predictions and in assessing risk. Moreover, commonly used
profitability ratios imply that operating earnings are proportional to
sales. This paper infuses structure into the analysis of profitability
and earnings variability by disaggregating operating costs into three
This dissertation provides micro-economic evidence to support the
claim that underdeveloped financial and legal institutions adversely
affect economic growth. Three chapters of this dissertation provide
independent evidence that underdeveloped financial and legal systems
result in a high cost of external finance which in turn restricts
firm's investment policy and results in inefficient capital allocation.
The overall objective of this dissertation is to understand the
variation in consumers' response sensitivities to marketing mix
variables across different product categories. Specifically, our aim is
to: (a) attempt to resolve the contradictory evidence in literature on
this subject, (b) show that price sensitivity across categories is
influenced by the nature of the relationship between categories, and
(c) propose a modeling approach that can provide a concise perspective
on consumer behavior across a large number of categories.
Default risk affects many consumers in our economy and causes a special
imperfection for the financial market. In this thesis I investigate how
the existence of default risk affects the equilibrium of the economy,
the agent's optimal strategy, and asset prices. A theoretical framework
has been developed to simultaneously determine the agent's optimal
consumption policy and optimal default policy under credit risk. Using
this modeling strategy, I study three problems involving default risk:
equilibrium asset pricing, sovereign borrowing and lending, and
corporate optimal dividend policy.