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作者：Giesecke, Kay; Kim, Baeho
作者单位：Stanford University; Korea University
摘要：Collateralized debt obligations, which are securities with payoffs that are tied to the cash flows in a portfolio of defaultable assets such as corporate bonds, play a significant role in the financial crisis that has spread throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. This paper develops stochastic methods to measure the risk of positions in collateralized debt obligations and related instruments ...
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作者：Berling, Peter; Martinez-de-Albeniz, Victor
作者单位：Lund University; University of Navarra; IESE Business School
摘要：In this paper we consider the problem of a firm that faces a stochastic (Poisson) demand and must replenish from a market in which prices fluctuate, such as a commodity market. We describe the price evolution as a continuous stochastic process and we focus on commonly used processes suggested by the financial literature, such as the geometric Brownian motion and the Ornstein-Uhlenbeck process. It is well known that under variable purchase price, a price-dependent base-stock policy is optimal. ...
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作者：Amaldi, Edoardo; Bosio, Sandro; Malucelli, Federico; Yuan, Di
作者单位：Polytechnic University of Milan; Swiss Federal Institutes of Technology Domain; ETH Zurich; Linkoping University
摘要：Wireless local area networks (WLANs) are widely used for cable replacement and wireless Internet access. Because the medium access control (MAC) scheme of WLANs has a strong influence on network performance, it should be accounted for in WLAN design. This paper presents AP location models that optimize a network performance measure specifically for the MAC scheme of WLANs that represents the efficiency in sharing the wireless medium. For these models, we propose a solution framework based on a...
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作者：Ryzhov, Ilya O.; Powell, Warren B.
作者单位：Princeton University
摘要：We derive a knowledge gradient policy for an optimal learning problem on a graph, in which we use sequential measurements to refine Bayesian estimates of individual edge values in order to learn about the best path. This problem differs from traditional ranking and selection in that the implementation decision (the path we choose) is distinct from the measurement decision (the edge we measure). Our decision rule is easy to compute and performs competitively against other learning policies, inc...
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作者：Liu, Guangwu; Hong, L. Jeff
作者单位：City University of Hong Kong; Hong Kong University of Science & Technology
摘要：The Greeks are the derivatives (also known as sensitivities) of the option prices with respect to market parameters. They play an important role in financial risk management. Among many Monte Carlo methods of estimating the Greeks, the classical pathwise method requires only the pathwise information that is directly observable from simulation and is generally easier to implement than many other methods. However, the classical pathwise method is generally not applicable to the Greeks of options...
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作者：Bertsimas, Dimitris; Lulli, Guglielmo; Odoni, Amedeo
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Milano-Bicocca; Massachusetts Institute of Technology (MIT)
摘要：This paper presents a new integer programming (IP) model for large-scale instances of the air traffic flow management (ATFM) problem. The model covers all the phases of each flight-i.e., takeoff, en route cruising, and landing-and solves for an optimal combination of flow management actions, including ground-holding, rerouting, speed control, and airborne holding on a flight-by-flight basis. A distinguishing feature of the model is that it allows for rerouting decisions. This is achieved throu...
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作者：Armony, Mor; Mandelbaum, Avishai
作者单位：New York University; Technion Israel Institute of Technology
摘要：Motivated by call centers, we study large-scale service systems with homogeneous impatient customers and heterogeneous servers; the servers differ with respect to their speed of service. For this model, we propose staffing and routing rules that are jointly asymptotically optimal in the heavy-traffic many-server QED, ED, and ED + QED regimes, respectively. For the QED regime, our proposed routing rule is FSF, that assigns customers to the fastest server available first. In the ED and ED + QED ...
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作者：Balasundaram, Balabhaskar; Butenko, Sergiy; Hicks, Illya V.
作者单位：Oklahoma State University System; Oklahoma State University - Stillwater; Texas A&M University System; Texas A&M University College Station; Rice University
摘要：This paper introduces and studies the maximum k-plex problem, which arises in social network analysis and has wider applicability in several important areas employing graph-based data mining. After establishing NP-completeness of the decision version of the problem on arbitrary graphs, an integer programming formulation is presented, followed by a polyhedral study to identify combinatorial valid inequalities and facets. A branch-and-cut algorithm is implemented and tested on proposed benchmark...
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作者：Miller, Naomi; Ruszczynski, Andrzej
作者单位：Rutgers University System; Rutgers University New Brunswick; Rutgers University System; Rutgers University New Brunswick
摘要：We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as a composition of conditional risk measures. We analyze properties of the problem and derive necessary and sufficient optimality conditions. Next, we construct a new decomposition method for solving the problem that exploits the composite structure of the objective function. We illustrate its performance on a portfolio...
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作者：Adida, Elodie; DeMiguel, Victor
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of London; London Business School
摘要：We study competition in a supply chain where multiple manufacturers compete in quantities to supply a set of products to multiple risk-averse retailers who compete in quantities to satisfy the uncertain consumer demand. For the symmetric supply chain, we give closed-form expressions for the unique equilibrium. We find that, provided there is a sufficiently large number of manufacturers and retailers, the supply chain efficiency (the ratio of the aggregate utility in the decentralized and centr...
