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作者：de Vericourt, Francis; Lobo, Miguel Sousa
作者单位：European School of Management & Technology; INSEAD Business School
摘要：Nonprofit firms sometimes engage in for-profit activities for the purpose of generating revenue to subsidize their mission activities. The organization is then confronted with a consumption versus investment trade-off, where investment corresponds to providing capacity for revenue customers, and consumption corresponds to serving mission customers. Exemplary of this approach are the Aravind Eye Hospitals in India, where profitable paying hospitals are used to subsidize care at free hospitals. ...
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作者：Natarajan, Karthik; Pachamanova, Dessislava; Sim, Melvyn
作者单位：National University of Singapore; National University of Singapore; Babson College; National University of Singapore
摘要：We illustrate the correspondence between uncertainty sets in robust optimization and some popular risk measures in finance and show how robust optimization can be used to generalize the concepts of these risk measures. We also show that by using properly defined uncertainty sets in robust optimization models, one can construct coherent risk measures and address the issue of the computational tractability of the resulting formulations. Our results have implications for efficient portfolio optim...
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作者：Eichner, Thomas; Wagener, Andreas
作者单位：University of Bielefeld; Leibniz University Hannover
摘要：We analyze comparative static effects under uncertainty when a decision maker has mean-variance preferences and faces a generic, quasi-linear decision problem with both an endogenous risk and a background risk. In terms of mean-variance preferences, we fully characterize the effects of changes in the location, scale, and concordance parameters of the stochastic environment on optimal risk taking. Presupposing compatibility between the mean-variance and the expected-utility approach, we then tr...
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作者：Zhu, Shushang; Fukushima, Masao
作者单位：Fudan University; Kyoto University
摘要：This paper considers the worst-case Conditional Value-at-Risk (CVaR) in the situation where only partial information on the underlying probability distribution is available. The minimization of the worst-case CVaR under mixture distribution uncertainty, box uncertainty, and ellipsoidal uncertainty are investigated. The application of the worst-case CVaR to robust portfolio optimization is proposed, and the corresponding problems are cast as linear programs and second-order cone programs that c...
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作者：Araman, Victor F.; Caldentey, Rene
作者单位：New York University; American University of Beirut
摘要：A retailer is endowed with a finite inventory of a nonperishable product. Demand for this product is driven by a price-sensitive Poisson process that depends on an unknown parameter that is a proxy for the market size. The retailer has a prior belief on the value of this parameter that he updates as time and available information (prices and sales) evolve. The retailer's objective is to maximize the discounted long-term average profits of his operation using dynamic pricing policies. We consid...
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作者：Mandelbaum, Avishai; Zeltyn, Sergey
作者单位：Technion Israel Institute of Technology; International Business Machines (IBM); IBM ISRAEL
摘要：Motivated by call center practice, we study asymptotically optimal staffing of many-server queues with abandonment. A call center is modelled as an M/M/n+G queue, which is characterized by Poisson arrivals, exponential service times, n servers, and generally distributed patience times of customers. Our asymptotic analysis is performed as the arrival rate, and hence the number of servers n, increases indefinitely. We consider a constraint satisfaction problem, where one chooses the minimal staf...
