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作者：Chen, Shea D.; Lim, Andrew E. B.
作者单位：National University of Singapore; National University of Singapore
摘要：The Black-Litterman model provides a framework for combining the forecasts of a backward-looking equilibrium model with the views of (several) forward-looking experts in a portfolio allocation decision. The classical version uses the capital asset pricing model to specify expected returns, and assumes that expert views are unbiased noisy observations of future returns. It combines the two using Bayes' rule and the portfolio allocation decision is made on the basis of the updated forecast. The ...
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作者：Colini-Baldeschi, Riccardo; Cominetti, Roberto; Mertikopoulos, Panayotis; Scarsini, Marco
作者单位：Facebook Inc; Universidad Adolfo Ibanez; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Inria; Luiss Guido Carli University
摘要：This paper examines the behavior of the price of anarchy as a function of the traffic inflow in nonatomic congestion games with multiple origin/destination (O/D) pairs. Empirical studies in real-world networks show that the price of anarchy is close to 1 in both light and heavy traffic, thus raising the following question: can these observations be justified theoretically? We first show that this is not always the case: the price of anarchy may remain a positive distance away from 1 for all va...
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作者：Xiao, Shihong; Chen, Ying-Ju; Tang, Christopher
作者单位：Hong Kong University of Science & Technology; Hong Kong University of Science & Technology; University of California System; University of California Los Angeles
摘要：In developing economies, smallholders apply their own specialized knowledge and exert costly effort to manage their farms. To raise overall productivity, NGOs and governments are advocating various knowledge-sharing and learning platforms for farmers to exchange a variety of farming techniques. Putting altruism aside, we examine the overall economic implications for heterogeneous farmers sharing their private knowledge voluntarily with others under (implicit) competition. By analyzing a multip...
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作者：Wagner, Laura; Martinez-de-Albeniz, Victor
作者单位：Universidade Catolica Portuguesa; University of Navarra; IESE Business School
摘要：Lenient return policies enable consumers to return or exchange products they are unsatisfied with, which boosts sales. Unfortunately, they also increase retailer costs. We develop a search framework where consumers sequentially learn about products' true value and evaluate whether to keep, exchange, or return them. Our formulation results in a tractable attraction demand model that can be used for optimization. We show that when pricing is not a decision, the assortment problem does not have a...
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作者：Ashlagi, Itai; Saberi, Amin; Shameli, Ali
作者单位：Stanford University
摘要：We generalize the serial dictatorship (SD) and probabilistic serial (PS) mechanism for assigning indivisible objects (seats in a school) to agents (students) to accommodate distributional constraints. Such constraints are motivated by equity considerations. Our generalization of SD maintains several of its desirable properties, including strategyproofness, Pareto optimality, and computational tractability, while satisfying the distributional constraints with a small error. Our generalization o...
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作者：Azizan, Navid; Su, Yu; Dvijotham, Krishnamurthy; Wierman, Adam
作者单位：California Institute of Technology
摘要：We consider a market run by an operator who seeks to satisfy a given consumer demand for a commodity by purchasing the needed amount from a group of competing suppliers with nonconvex cost functions. The operator knows the suppliers' cost functions and announces a price/payment function for each supplier, which determines the payment to that supplier for producing different quantities. Each supplier then makes an individual decision about how much to produce, in order to maximize its own profi...
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作者：Xie, Weijun; Ahmed, Shabbir
作者单位：Virginia Polytechnic Institute & State University; University System of Georgia; Georgia Institute of Technology
摘要：A chance-constrained optimization problem involves constraints with random data that can be violated with probability bounded from above by a prespecified small risk parameter. Such constraints are used to model reliability requirements in a variety of application areas, such as finance, energy, service, and manufacturing. Except under very special conditions, chance-constrained problems are extremely difficult. There has been a great deal of elegant work on developing tractable approximations...
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作者：Zhao, Ming; Zhang, Minjiao
作者单位：University of Delaware; University System of Georgia; Kennesaw State University
摘要：We study a multiechelon lot-sizing problem for a serial supply chain that consists of a production level and several transportation levels, where the demands can exist in the production echelon as well as in any transportation echelons. With the presence of stationary production capacity and general cost functions, our model integrates production, inventory, and transportation decisions and generalizes existing literature on many multiechelon lot-sizing models. First, we answer an open questio...
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作者：Clarkson, Jake; Glazebrook, Kevin D.; Lin, Kyle Y.
作者单位：Lancaster University; Lancaster University; United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：An object is hidden in one of several discrete locations according to some known probability distribution, and the goal is to discover the object in the minimum expected time by successive searches of individual locations. If there is only one way to search each location, this search problem is solved using Gittins indices. Motivated by modern search technology, we extend earlier work to allow two modes-fast and slow-to search each location. The fast mode takes less time, but the slow mode is ...
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作者：Georghiou, Angelos; Tsoukalas, Angelos; Wiesemann, Wolfram
作者单位：McGill University; American University of Beirut; Imperial College London
摘要：Two-stage robust optimization problems, in which decisions are taken both in anticipation of and in response to the observation of an unknown parameter vector from within an uncertainty set, are notoriously challenging. In this paper, we develop convergent hierarchies of primal (conservative) and dual (progressive) bounds for these problems that trade off the competing goals of tractability and optimality: Although the coarsest bounds recover a tractable but suboptimal affine decision rule app...
