Wednesday, May 27, 2015 | 3:30pm–5:30pm | Room 335, HSBC Business School Building

Abstract

How to buy or sell a certain amount of goods facing uncertain price fluctuations within a given time period? We consider robust one-way trading with limited information on price as a game. Our analysis finds the best guarantee of difference from the optimal performance. We provide closed-form solution, and reveal for the first time all possible worst case scenarios. Numerical experiments show that our policy is more tolerant of information inaccuracy than Bayesian policies, and can earn higher average revenue than other robust policies while keeping a lower standard deviation.