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作者：Mehrotra, Sanjay; Ozevin, M. Gokhan
作者单位：Northwestern University
摘要：Zhao showed that the log barrier associated with the recourse function of two-stage stochastic linear programs behaves as a strongly self-concordant barrier and forms a self-concordant family on the first-stage solutions. In this paper, we show that the recourse function is also strongly self-concordant and forms a self-concordant family for the two-stage stochastic convex quadratic programs with recourse. This allows us to develop Bender's decomposition based linearly convergent interior poin...
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作者：Glazebrook, K. D.; Kirkbride, C.; Ouenniche, J.
作者单位：Lancaster University; Lancaster University; University of Edinburgh
摘要：We propose a general Markovian model for the optimal control of admissions and subsequent routing of customers for service provided by a collection of heterogeneous stations. Queue-length information is available to inform all decisions. Admitted customers will abandon the system if required to wait too long for service. The optimisation goal is the maximisation of reward rate earned from service completions, net of the penalties paid whenever admission is denied, and the costs incurred upon e...
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作者：Ding, Xiaowei; Giesecke, Kay; Tomecek, Pascal I.
作者单位：Stanford University; JP Morgan Chase & Company
摘要：A credit investor such as a bank granting loans to firms or an asset manager buying corporate bonds is exposed to correlated corporate default risk. A multiname credit derivative is a financial security that allows the investor to transfer this risk to the credit market. In this paper, we study the valuation and risk analysis of multiname derivatives. To capture the complex economic phenomena that drive the pricing of these securities, we introduce a time-changed birth process as a probabilist...
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作者：Erlebach, Thomas; Moonen, Linda S.; Spieksma, Frits C. R.; Vukadinovic, Danica
作者单位：University of Leicester; KU Leuven; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：Classical measures of network connectivity are the number of disjoint paths between a pair of nodes and the size of a minimum cut. For standard graphs, these measures can be computed efficiently using network flow techniques. However, in the Internet on the level of autonomous systems (ASs), referred to as AS-level Internet, routing policies impose restrictions on the paths that traffic can take in the network. These restrictions can be captured by the valley-free path model, which assumes a s...
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作者：Mannino, Carlo; Mascis, Alessandro
作者单位：Sapienza University Rome
摘要：Train movements across railway stations are still operated by human dispatchers. Motivated by an application provided by Azienda Trasporti Milanesi (ATM), the major Italian municipal transport company, we developed a real-time automated traffic control system to operate trains in metro stations. The system optimally controls the trains in a metro station by identifying a suitable routing and by establishing an optimum schedule of the performed operations. For each candidate routing an instance...
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作者：Chen, Youhua (Frank); Xu, Minghui; Zhang, Zhe George
作者单位：Chinese University of Hong Kong; Wuhan University; Western Washington University; Simon Fraser University
摘要：The classical risk-neutral newsvendor problem is to decide the order quantity that maximizes the one-period expected profit. In this note, we consider a risk-averse newsvendor with stochastic price-dependent demand. We adopt Conditional Value-at-Risk (CVaR), a risk measure commonly used in finance, as the decision criterion. The aim of our study is to investigate the optimal pricing and ordering decisions in such a setting. For both additive and multiplicative demand models, we provide suffici...
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作者：Fisher, Marshall
作者单位：University of Pennsylvania
摘要：Retailing is a huge industry. In the United States, retail business represents about 40% of the economy and is the largest employer. Retail supply chain management is still more art than science, but this is changing rapidly as retailers begin to apply analytic models to the huge volume of data they are collecting on consumer purchases and preferences. This industry-wide movement resembles the transformation of Wall Street that occurred in the 1970s when physicists and other rocket scientists ...
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作者：Kennedy, J. S.; Forsyth, P. A.; Vetzal, K. R.
作者单位：University of Waterloo; Morgan Stanley; University of Waterloo; University of Waterloo
摘要：If the price of an asset follows a jump diffusion process, the market is in general incomplete. In this case, hedging a contingent claim written on the asset is not a trivial matter, and other instruments besides the underlying must be used to hedge in order to provide adequate protection against jump risk. We devise a dynamic hedging strategy that uses a hedge portfolio consisting of the underlying asset and liquidly traded options, where transaction costs are assumed present due to a relativ...
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作者：DeMiguel, Victor; Nogales, Francisco J.
作者单位：University of London; London Business School; Universidad Carlos III de Madrid
摘要：Mean-variance portfolios constructed using the sample mean and covariance matrix of asset returns perform poorly out of sample due to estimation error. Moreover, it is commonly accepted that estimation error in the sample mean is much larger than in the sample covariance matrix. For this reason, researchers have recently focused on the minimum-variance portfolio, which relies solely on estimates of the covariance matrix, and thus usually performs better out of sample. However, even the minimum...
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作者：Kress, Moshe; Szechtman, Roberto
作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：In insurgency situations, the government-organized force is confronted by a small guerrilla group that is dispersed in the general population with no or a very small signature. Effective counterinsurgency operations require good intelligence. Absent intelligence, not only might the insurgents escape unharmed and continue their violent actions, but collateral damage caused to the general population from poor targeting may generate adverse response against the government and create popular suppo...
