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作者：Lodi, Andrea; Martello, Silvano; Monaci, Michele; Cicconetti, Claudio; Lenzini, Luciano; Mingozzi, Enzo; Eklund, Carl; Moilanen, Jani
作者单位：University of Bologna; University of Padua; University of Pisa; Nokia Corporation; Siemens AG; Nokia Siemens Networks
摘要：We present the result of research, developed within Nokia Siemens Networks, to solve the downlink subframe allocation problem in Mobile WiMAX (IEEE 802.16) technology in its full complexity, while simultaneously fulfilling real-life constraints on processing power and delay. We describe the IEEE 802.16 standard, and introduce two system models. A theoretical analysis of the two-dimensional packing problems originated by such models shows that they are both NP-hard in the strong sense. From a p...
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作者：Boyabatli, Onur; Toktay, L. Beril
作者单位：Singapore Management University; University System of Georgia; Georgia Institute of Technology
摘要：This paper analyzes the impact of endogenous credit terms under capital market imperfections in a capacity investment setting. We model a monopolist firm that decides on its technology choice (flexible versus dedicated) and capacity level under demand uncertainty. Differing from the majority of the stochastic capacity investment literature, we assume that the firm is budget constrained and can relax its budget constraint by borrowing from a creditor. The creditor offers technology-specific loa...
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作者：Hankins, Kristine Watson
作者单位：University of Kentucky
摘要：This paper investigates how firms manage risk by examining the relationship between financial and operational hedging using a sample of bank holding companies. Risk management theory holds that capital market imperfections make cash flow volatility costly. I investigate whether financial firms consider this cost or focus exclusively on managing tradable exposures. After documenting that acquisitions provide operational hedging by reducing potentially costly volatility, I find that postacquisit...
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作者：Berkowitz, Jeremy; Christoffersen, Peter; Pelletier, Denis
作者单位：University of Houston System; University of Houston; McGill University; Aarhus University; CREATES; North Carolina State University
摘要：We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in securities trading and each is observed daily for a period of at least two years. Given this unique data set, we provide an integrated, unifying framework for assessing the accuracy of VaR forecasts. We use...
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作者：Giesecke, Kay; Kim, Baeho; Zhu, Shilin
作者单位：Stanford University; Korea University; Stanford University
摘要：Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing computations in these models. This paper develops, analyzes, and evaluates two simulation algorithms for intensity-based point process models. The algorithms extend the conventional thinning scheme to the case where the event intensity is unbounded, a ...
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作者：Goel, Ankur; Gutierrez, Genaro J.
作者单位：University System of Ohio; Case Western Reserve University; University of Texas System; University of Texas Austin
摘要：We consider a firm that procures and distributes a commodity from spot and forward markets under randomly fluctuating prices; the commodity is distributed downstream to a set of nonhomogeneous retailers to satisfy random demand. We formulate a model that allows one to compute approximate, but near optimal, procurement and distribution policies for this system, and we explore the value of the commodity's market in providing managers with (a) additional flexibility in procurement and (b) informa...
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作者：Graham, John R.; Hazarika, Sonali; Narasimhan, Krishnamoorthy
作者单位：Duke University; National Bureau of Economic Research; City University of New York (CUNY) System; Baruch College (CUNY); Pacific Investment Management Company, LLC
摘要：We study a period of severe disequilibrium to investigate whether board characteristics are related to corporate investment, debt usage, and firm value. During the 1930-1938 Depression era, when the corporate sector was shocked by an unprecedented downturn, we document a relation between board characteristics and firm performance that varies in economically sensible ways: Complex firms (that would benefit more from board advice) exhibit a positive relation between board size and firm value, an...
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作者：Angelus, Alexandar
作者单位：Singapore Management University
摘要：We consider a finite-horizon, multiechelon inventory system in which the surplus of stock can be sold (i.e., disposed) in the secondary markets at each stage in the system. What are called nested echelon order-up-to policies are shown to be optimal for jointly managing inventory replenishments and secondary market sales. Under a general restriction on model parameters, we establish that it is optimal not to both sell off excess stock and replenish inventory. Secondary market sales complicate t...
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作者：Gaur, Vishal; Seshadri, Sridhar; Subrahmanyam, Marti G.
作者单位：Cornell University; University of Texas System; University of Texas Austin; New York University
摘要：We study the impact of financial innovations on real investment decisions within the framework of an incomplete market economy comprised of firms, investors, and an intermediary. The firms face unique investment opportunities that arise in their business operations and can be undertaken at given reservation prices. The cash flows thus generated are not spanned by the securities traded in the financial market and cannot be valued uniquely. The intermediary purchases claims against these cash fl...
