David B. Brown

Duke University - Decision Sciences

Professor

Durham, NC 27708-0120

United States

  • Duke University - Decision Sciences

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 33,087

in Total Papers Citations

28

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1

Scholarly Papers (9)

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1.

Aspirational Preferences and Their Representation by Risk Measures

Downloads 1,168 (31,995)
Citation 9

Aspirational Preferences and Their Representation by Risk Measures

Swiss Finance Institute Research Paper No. 09-19, U. of St. Gallen Law & Economics Working Paper No. 2009-07
Number of pages: 34 Posted: 22 May 2009 Last Revised: 23 Feb 2012
David B. Brown, Enrico G. De Giorgi and Melvyn Sim
Duke University - Decision Sciences, University of St. Gallen - SEPS: Economics and Political Sciences and National University of Singapore (NUS) - NUS Business School
Downloads 1,045 (36,895)
Citation 5

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Representation of choice, risk measures, aspiration levels, decision theory paradoxes

Aspirational Preferences and Their Representation by Risk Measures (Online Appendix)

Number of pages: 7 Posted: 15 Feb 2012
David B. Brown, Enrico G. De Giorgi and Melvyn Sim
Duke University - Decision Sciences, University of St. Gallen - SEPS: Economics and Political Sciences and National University of Singapore (NUS) - NUS Business School
Downloads 123 (391,047)

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Representation of choice, risk measures, aspiration levels, decision theory paradoxes

2.

Dynamic Pricing of Relocating Resources in Large Networks

Accepted by Management Science. Available at https://pubsonline.informs.org/doi/10.1287/mnsc.2020.3735
Number of pages: 97 Posted: 18 Jan 2019 Last Revised: 03 Nov 2020
Santiago Balseiro, David B. Brown and Chen Chen
Columbia University - Columbia Business School, Decision Risk and Operations, Duke University - Decision Sciences and New York University (NYU) - New York University (NYU), Shanghai
Downloads 547 (88,234)
Citation 10

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Dynamic Pricing, Resource Relocation, Hub-and-Spoke Networks, Lagrangian Relaxations, Asymptotic Optimality

3.

On the Strength of Relaxations of Weakly Coupled Stochastic Dynamic Programs

Number of pages: 46 Posted: 23 May 2021 Last Revised: 23 Oct 2023
David B. Brown and Jingwei Zhang
Duke University - Decision Sciences and The Chinese University of Hong Kong, Shenzhen
Downloads 262 (201,268)

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Weakly coupled stochastic dynamic programs, approximate dynamic programming, Lagrangian relaxations, restless bandits, network revenue management

4.

Sequential Search with Acquisition Uncertainty

Management Science, to appear.
Number of pages: 69 Posted: 28 Jan 2022 Last Revised: 03 Aug 2023
David B. Brown and Cagin Uru
Duke University - Decision Sciences and Duke University - Decision Sciences
Downloads 252 (209,167)

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sequential search, approximation algorithms, Lagrangian relaxations.

5.

Dynamic Programs with Shared Resources and Signals: Dynamic Fluid Policies and Asymptotic Optimality

Number of pages: 73 Posted: 17 Dec 2020 Last Revised: 29 Jul 2021
David B. Brown and Jingwei Zhang
Duke University - Decision Sciences and The Chinese University of Hong Kong, Shenzhen
Downloads 206 (253,474)
Citation 3

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Weakly coupled stochastic dynamic programs, Lagrangian relaxations, approximate dynamic programming, capital budgeting, inventory control.

6.

Fluid Policies, Reoptimization, and Performance Guarantees in Dynamic Resource Allocation

Operations Research, to appear.
Number of pages: 53 Posted: 17 Nov 2022 Last Revised: 23 Oct 2023
David B. Brown and Jingwei Zhang
Duke University - Decision Sciences and The Chinese University of Hong Kong, Shenzhen
Downloads 146 (341,359)

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weakly coupled stochastic dynamic programs, fluid relaxations, restless bandits, asymptotic optimality

7.

On the Scholes Liquidation Problem

Downloads 121 (394,329)

On the Scholes Liquidation Problem

INSEAD Working Paper No. 2009/57/DS
Number of pages: 41 Posted: 07 Nov 2009
David B. Brown, Miguel Sousa Lobo and Bruce I. Carlin
Duke University - Decision Sciences, INSEAD - Decision Sciences and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 72 (559,565)

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Portfolio Choice, Liquidity, Distressed Liquidation, Deleveraging

On the Scholes Liquidation Problem

NBER Working Paper No. w15381
Number of pages: 39 Posted: 28 Sep 2009 Last Revised: 13 Jul 2023
David B. Brown, Bruce I. Carlin and Miguel Sousa Lobo
Duke University - Decision Sciences, University of California, Los Angeles (UCLA) - Anderson School of Management and INSEAD - Decision Sciences
Downloads 49 (680,678)

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8.

Unit Commitment without Commitment: A Dynamic Framework for Managing an Integrated Energy System Under Uncertainty

Number of pages: 48 Posted: 07 Nov 2023
David B. Brown and James Smith
Duke University - Decision Sciences and Dartmouth College
Downloads 107 (434,028)

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Energy, weakly coupled stochastic dynamic programs, unit commitment problems

9.

Satisficing Measures for Analysis of Risky Positions

Posted: 22 Jun 2007 Last Revised: 21 Sep 2008
David B. Brown and Melvyn Sim
Duke University - Decision Sciences and National University of Singapore (NUS) - NUS Business School

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satisficing, aspiration levels, risk measures, coherent risk measures, convex risk measures, targets, portfolio optimization