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作者：Geyer, Alois; Ziemba, William T.
作者单位：Vienna University of Economics & Business; University of British Columbia; University of Reading
摘要：This paper describes the financial planning model InnoALM we developed at Innovest for the Austrian pension fund of the electronics firm Siemens. The model uses a multiperiod stochastic linear programming framework with a flexible number of time periods of varying length. Uncertainty is modeled using multiperiod discrete probability scenarios for random return and other model parameters. The correlations across asset classes, of bonds, stocks, cash, and other financial instruments, are state d...
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作者：Kaniel, Ron; Tompaidis, Stathis; Zemlianov, Alexander
作者单位：Duke University; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
摘要：We propose an algorithm to calculate confidence intervals for the values of hedging parameters of discretely exercisable options using Monte Carlo simulation. The algorithm is based on a combination of the duality formulation of the optimal stopping problem for pricing discretely exercisable options and Monte Carlo estimation of hedging parameters for European options. We show that the width of the confidence interval for a hedging parameter decreases, with an increase in the computer budget, ...
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作者：Allon, Gad; Federgruen, Awi
作者单位：Northwestern University; Columbia University
摘要：In many service industries, companies compete with each other on the basis of the waiting time their customers experience, along with the price they charge for their service. A firm's waiting-time standard may either be defined in terms of the expected value or a given, for example 95%, percentile of the steady state waiting-time distribution. We investigate how a service industry's competitive behavior depends on the characteristics of the service providers' queueing systems. We provide a uni...
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作者：Veeraraghavan, Senthil; Scheller-Wolf, Alan
作者单位：University of Pennsylvania; Carnegie Mellon University
摘要：We examine a possibly capacitated, periodically reviewed, single-stage inventory system where replenishment can be obtained either through a regular fixed lead time channel, or, for a premium, via a channel with a smaller fixed lead time. We consider the case when the unsatisfied demands are backordered over an infinite horizon, introducing the easily implementable, yet informationally rich dual-index policy. We show very general separability results for the optimal parameter values, providing...
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作者：van Ryzin, Garrett; Vulcano, Gustavo
作者单位：Columbia University; New York University
摘要：Virtual nesting is a popular capacity control strategy in network revenue management. In virtual nesting, products (itinerary-fare-class combinations) are mapped (indexed) into a relatively small number of virtual classes on each resource (flight leg) of the network. Nested protection levels are then used to control the availability of these virtual classes; specifically, a product request is accepted if and only if its corresponding virtual class is available on each resource required. Bertsi...
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作者：Hu, Xinxin; Duenyas, Izak; Kapuscinski, Roman
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：In this paper, we address the optimal joint control of inventory and transshipment for a firm that produces in two locations and faces capacity uncertainty. Capacity uncertainty (e. g., due to downtime, quality problems, yield, etc.) is a common feature of many production systems, but its effects have not been explored in the context of a firm that has multiple production facilities. We first characterize the optimal production and transshipment policies and show that uncertain capacity leads ...
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作者：Lutze, Holly; Ozer, Ozalp
作者单位：University of Texas System; University of Texas Dallas; Columbia University
摘要：We study the important problem of how a supplier should optimally share the consequences of demand uncertainty (i.e., the cost of inventory excesses and shortages) with a retailer in a two-level supply chain facing a finite planning horizon. In particular, we characterize a multiperiod contract form, the promised lead-time contract, that reduces the supplier's risk from demand uncertainty and the retailer's risk from uncertain inventory availability. Under the contract terms, the supplier guar...
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作者：Federgruen, Awi; Yang, Nan
作者单位：Columbia University; Cornell University
摘要：We analyze a planning model for a firm or public organization that needs to cover uncertain demand for a given item by procuring supplies from multiple sources. Each source faces a random yield factor with a general probability distribution. The model considers a single demand season. All supplies need to be ordered before the start of the season. The planning problem amounts to selecting which of the given set of suppliers to retain, and how much to order from each, so as to minimize total pr...
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作者：Zipkin, Paul
作者单位：Duke University
摘要：We provide a new approach to the structural analysis of the standard lost-sales inventory system. This approach is, we think, easier to work with than the original one. We also derive new bounds on the optimal policy. Then, we show that more variable demand leads to higher cost. Finally, we extend the analysis to several important variations of the basic model.
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作者：Lin, Grace Y.; Lu, Yingdong; Yao, David D.
作者单位：International Business Machines (IBM); IBM USA; Columbia University
摘要：The stochastic knapsack has been used as a model in wide-ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems that arise in revenue management and dynamic/flexible pricing, and it is in this context that our study is undertaken. Based on a dynamic programming formulation and associated properties of the value function, we study in this paper a class of control that...
