Dynamic pricing when customers strategically time their purchase: Asymptotic optimality of a two-price policy

被引：10

作者：

Bansal M. ^{[1
]}

Maglaras C. ^{[2
]}

机构：

[1] Quantitative Research, JPMorgan

[2] Graduate School of Business, Columbia University, New York, NY 10027

来源：

Journal of Revenue and Pricing Management | 2009年 / 8卷 / 1期

关键词：

Asymptotic ptimality; Mechanism design; Nonlinear programming; Revenue optimisation; Riskaversion; Strategic behaviour;

D O I：

10.1057/rpm.2008.48

中图分类号：

学科分类号：

摘要：

We study the dynamic pricing problem of a monopolist firm in presence of strategic customers that differ in their valuations and risk preferences. We show that this problem can be formulated as a static mechanism design problem, which is more amenable to analysis. We highlight several structural properties of the optimal solution, and solve the problem for several special cases. Focusing on settings with low risk-aversion, we show through an asymptotic analysis that the two-price point strategy is near-optimal, offering partial validation for its wide use in practice, but also highlighting when it is indeed suitable to adopt it. © 2009 Palgrave Macmillan.

引用

页码：42 / 66

页数：24

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