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作者：Huaman-Aguilar, Ricardo; Cadenillas, Abel
作者单位：University of Alberta; University of Alberta
摘要：Motivated by empirical facts, we develop a theoretical model for optimal currency government debt portfolio and debt payments, which allows both government debt aversion and jumps in the exchange rates. We obtain first a realistic stochastic differential equation for public debt and then solve explicitly the optimal currency debt problem. We show that higher debt aversion and jumps in the exchange rates lead to a lower proportion of optimal debt in foreign currencies. Furthermore, we show that...
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作者：Rhee, Chang-Han; Glynn, Peter W.
作者单位：University System of Georgia; Georgia Institute of Technology; Stanford University
摘要：In many settings in which Monte Carlo methods are applied, there may be no known algorithm for exactly generating the random object for which an expectation is to be computed. Frequently, however, one can generate arbitrarily close approximations to the random object. We introduce a simple randomization idea for creating unbiased estimators in such a setting based on a sequence of approximations. Applying this idea to computing expectations of path functionals associated with stochastic differ...
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作者：Siebert, Johannes; Keeney, Ralph L.
作者单位：University of Bayreuth; Duke University
摘要：The quality of alternatives is crucial for making good decisions. This research, based on five empirical studies of important personally relevant decisions, examines the ability of decision makers to create alternatives for their important decisions and the effectiveness of different stimuli for improving this ability. For decisions for which the full set of potentially desirable alternatives is not readily apparent, our first study indicates that decision makers identify less than half of the...
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作者：Luo, Wei; Shang, Kevin
作者单位：University of Navarra; IESE Business School; Duke University
摘要：This paper develops a centralized supply chain model that integrates material flows with cash flows. The supply chain is owned by a single firm with two divisions. The downstream division (headquarters), facing random customer demand, replenishes materials from the upstream division. The firm installs a financial services platform that pools the divisions' cash into a master account managed by the headquarters. In each period, cash is received from customers and paid to the outside vendor afte...
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作者：Xu, Kuang
作者单位：Stanford University
摘要：We study the necessity of predictive information in a class of queueing admission control problems, where a system manager is allowed to divert incoming jobs up to a fixed rate, in order to minimize the queueing delay experienced by the admitted jobs. Spencer et al. (2014) [Spencer J, Sudan M, Xu K (2014) Queuing with future information. Ann. Appl. Probab. 24(5): 2091-2142.] show that the system's delay performance can be significantly improved by having access to future information in the for...
