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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...
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作者：Seref, Onur; Ahuja, Ravindra K.; Orlin, James B.
作者单位：Virginia Polytechnic Institute & State University; State University System of Florida; University of Florida; Massachusetts Institute of Technology (MIT)
摘要：In an incremental optimization problem, we are given a feasible solution x(0) of an optimization problem P, and we want to make an incremental change in x(0) that will result in the greatest improvement in the objective function. In this paper, we study the incremental optimization versions of six well-known network problems. We present a strongly polynomial algorithm for the incremental minimum spanning tree problem. We show that the incremental minimum cost flow problem and the incremental m...
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作者：van Dam, Edwin R.; Rennen, Gijs; Husslage, Bart
作者单位：Tilburg University
摘要：Latin hypercube designs (LHDs) play an important role when approximating computer simulation models. To obtain good space-filling properties, the maximin criterion is frequently used. Unfortunately, constructing maximin LHDs can be quite time consuming when the number of dimensions and design points increase. In these cases, we can use heuristical maximin LHDs. In this paper, we construct bounds for the separation distance of certain classes of maximin LHDs. These bounds are useful for assessi...
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作者：Jarrah, Ahmad I.; Johnson, Ellis; Neubert, Lucas C.
作者单位：George Washington University; University System of Georgia; Georgia Institute of Technology
摘要：We present a novel formulation for the service network design problem in the context of large-scale, less-than-truckload (LTL) freight operations. The formulation captures the basic network design constraints; the load-planning requirement that all freight at a location, irrespective of the freight's origin, loads to the same next terminal; and other important LTL specific requirements. Our modeling scheme fragments the underlying massive network design model with up to 1.3 million 0-1 variabl...
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作者：Li, Qing; Wu, Xiaoli; Cheung, Ki Ling
作者单位：Hong Kong University of Science & Technology
摘要：Motivated by logistics practices, we consider a retailer that replenishes its inventory by making a delivery request without specifying a quantity, then deciding the quantity when the delivery vehicle arrives after one period. A fixed cost is incurred whenever a delivery request is made, regardless of the quantity ordered later. The new feature of this research relative to previous work is the separation of the delivery request and the quantity decision, or the postponement of ordering until o...
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作者：Topaloglu, Huseyin
作者单位：Cornell University
摘要：We propose a new method to compute bid prices in network revenue management problems. The novel aspect of our method is that it explicitly considers the temporal dynamics of the arrivals of the itinerary requests and generates bid prices that depend on the remaining leg capacities. Our method is based on relaxing certain constraints that link the decisions for different flight legs by associating Lagrange multipliers with them. In this case, the network revenue management problem decomposes by...
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作者：Bonami, P.; Lejeune, M. A.
作者单位：Aix-Marseille Universite; George Washington University
摘要：In this paper, we study extensions of the classical Markowitz mean-variance portfolio optimization model. First, we consider that the expected asset returns are stochastic by introducing a probabilistic constraint, which imposes that the expected return of the constructed portfolio must exceed a prescribed return threshold with a high confidence level. We study the deterministic equivalents of these models. In particular, we de. ne under which types of probability distributions the determinist...
