David B. Brown

Duke University - Decision Sciences

Assistant Professor

Durham, NC 27708-0120

United States

SCHOLARLY PAPERS

7

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SSRN CITATIONS
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Top 36,718

in Total Papers Citations

20

CROSSREF CITATIONS

1

Scholarly Papers (7)

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 1,005 (30,557)
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 104 (347,394)

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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 University of Chicago - Booth School of Business
Downloads 410 (98,609)
Citation 9

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

3.

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 Duke University - Decision Sciences
Downloads 171 (236,523)
Citation 1

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

4.

On the Strength of Relaxations of Weakly Coupled Stochastic Dynamic Programs

Number of pages: 46 Posted: 23 May 2021 Last Revised: 07 Feb 2022
David B. Brown and Jingwei Zhang
Duke University - Decision Sciences and Duke University - Decision Sciences
Downloads 138 (281,552)

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

5.
Downloads 80 (405,739)

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 51 (517,213)

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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: 10 Jan 2022
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 29 (637,793)

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6.

Sequential Search with Acquisition Uncertainty

Number of pages: 66 Posted: 28 Jan 2022
David B. Brown and Cagin Uru
Duke University - Decision Sciences and Duke University - Decision Sciences
Downloads 73 (427,138)

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sequential search, approximation algorithms, Lagrangian relaxations.

7.

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