paper
Randomized Robust Price Optimization
Xinyi Guan, Velibor V. Mišić
derivatives pricingarxiv
Description
The robust multi-product pricing problem is to determine the prices of a collection of products so as to maximize the worst-case revenue, where the worst case is taken over an uncertainty set of demand models that the firm expects could be realized in practice. A tacit assumption in this approach is that the pricing decision is a deterministic decision: the prices of the products are fixed and do not vary. In this paper, we consider a randomized approach to robust pricing, where a decision maker...
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