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作者：Kovacova, Gabriela; Rudloff, Birgit
作者单位：Vienna University of Economics & Business
摘要：Choosing a portfolio of risky assets over time that maximizes the expected return at the same time as it minimizes portfolio risk is a classical problem in mathematical finance and is referred to as the dynamicMarkowitz problem (when the risk is measured by variance) or, more generally, the dynamic mean-risk problem. In most of the literature, the mean-risk problem is scalarized, and it is well known that this scalarized problem does not satisfy the (scalar) Bellman's principle. Thus, the clas...
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作者：Chen, Ningyuan; Gallego, Guillermo
作者单位：University of Toronto; Hong Kong University of Science & Technology
摘要：Personalized pricing analytics is becoming an essential tool in retailing. Upon observing the personalized information of each arriving customer, the firm needs to set a price accordingly based on the covariates, such as income, education background, and past purchasing history, to extract more revenue. For new entrants of the business, the lack of historical data may severely limit the power and profitability of personalized pricing. We propose a nonparametric pricing policy to simultaneously...
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作者：Dyson, Robert G.; O'Brien, Frances A.; Shah, Devan B.
作者单位：University of Warwick
摘要：This paper explores the work of some 43 founders of operations research. In particular, it considers the links between soft operations research (OR) and these founders. Several of the founders were direct influencers of the soft OR proponents, whereas others related to the context, process, and content of soft OR. Coupled with the deductive and inductive reasoning approaches of soft OR, it is argued that soft OR is a legitimate branch of OR. The paper also focuses on the embeddedness of the fo...
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作者：Russ, Matthias; Gust, Gunther; Neumann, Dirk
作者单位：University of Freiburg
摘要：The constrained reliable shortest path problem in stochastic time-dependent networks (CRSP-STD) extends the reliable, the time-dependent, and the constrained shortest path problem. In the CRSP-STD, shortest paths need to ensure on-time arrival with a given probability and additionally satisfy constraints on time-dependent weights. Examples of such time-dependent weights in transport networks include time-varying congestion charges or dynamic fees for shared vehicles. If weights decrease over t...
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作者：Tian, Feng; Sun, Peng; Duenyas, Izak
作者单位：University of Michigan System; University of Michigan; Duke University
摘要：A principal hires an agent to repair a machine when it is down and maintain it when it is up and earns a revenue flow when the machine is up. Both the up- and downtimes follow exponential distributions. If the agent exerts effort, the downtime is shortened, and uptime is prolonged. Effort, however, is costly to the agent and unobservable to the principal. We study optimal dynamic contracts that always induce the agent to exert effort while maximizing the principal's profits. We formulate the c...
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作者：Zenios, Stavros A.; Consiglio, Andrea; Athanasopoulou, Marialena; Moshammer, Edmund; Gavilan, Angel; Erce, Aitor
作者单位：University of Cyprus; University of Pennsylvania; University of Palermo; Banco de Espana; Universidad Publica de Navarra
摘要：We model sovereign debt sustainability with optimal financing decisions under macroeconomic, financial, and fiscal uncertainty, with endogenous risk and term premia. Using a coherent risk measure we trade off debt stock and flow risks subject to sustainability constraints. We optimize static and dynamic financing strategies and demonstrate economically significant savings from optimal financing compared with simple rules and consols, and find that optimizing the trade-offs can be critical for ...
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作者：Araman, Victor F.; Fayad, Bassam
作者单位：American University of Beirut; Sorbonne Universite; Universite Paris Cite
摘要：A firm that sells a nonperishable product considers intertemporal price discrimination in the objective of maximizing its long-run average revenue. We consider a general model of patient customers with changing valuations. Arriving customers wait for a random but bounded length of time and purchase the product when its price falls below their valuation, which varies following a stochastic process. We show the optimality of a class of cyclic strategies and obtain an algorithm that yields them. ...
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作者：Desir, Antoine; Goyal, Vineet; Jagabathula, Srikanth; Segev, Danny
作者单位：INSEAD Business School; Columbia University; New York University; Tel Aviv University
摘要：Assortment optimization is an important problem arising in many applications, including retailing and online advertising. The goal in such problems is to determine a revenue-/profit-maximizing subset of products to offer from a large universe of products when customers exhibit stochastic substitution behavior. We consider a mixture of Mallows model for demand, which can be viewed as a smoothed generalization of sparse, rank-based choice models, designed to overcome some of their key limitation...
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作者：Wang, Ruxian
作者单位：Johns Hopkins University
摘要：Market size, measured by the number of people who are interested in products from the same category, may be largely influenced by assortment planning and pricing decisions. This effect is referred to as market expansion. In this paper, I incorporate the market expansion effects into consumer choice models and investigate various operations problems. In particular, I take the widely used multinomial logit model as a showcase to examine the market expansion effects on assortment planning and pri...
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作者：Shi, Pengyi; Helm, Jonathan E.; Deglise-Hawkinson, Jivan; Pan, Julian
作者单位：Purdue University System; Purdue University; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：When to discharge a patient plays an important role in hospital patient flow management and the quality of care and patient outcomes. In this work, we develop and implement a data-integrated decision support framework to aid hospitals in managing the delicate balance between readmission risk at discharge and ward congestion. We formulate a large-scale Markov decision process (MDP) that integrates a personalized readmission prediction model to dynamically prescribe both how many and which patie...
