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作者：Mudrageda, Murthy; Murphy, Frederic H.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：We describe a model of the market for petroleum tank vessels used for planning by Maritrans, Inc. This model is an enhanced version of an earlier model and more closely approximates the market for transportation services. Because of the better representation, we found that the market, which is defined around an index for transportation services, has the potential for multiple equilibria. We present how the model has been used in making major decisions at Maritrans and show how the index design...
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作者：Chen, Zhiyong; Glasserman, Paul
作者单位：Columbia University
摘要：A basket default swap is a derivative security tied to an underlying basket of corporate bonds or other assets subject to credit risk. The value of the contract depends on the joint distribution of the default times of the underlying assets. Valuing a basket default swap often entails Monte Carlo simulation of these default times. For baskets of high-quality credits and for swaps that require multiple defaults to trigger payment, pricing the swap is a rare-event simulation problem. The Joshi-K...
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作者：Feng, Liming; Linetsky, Vadim
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Northwestern University
摘要：We propose a new computational method for the valuation of options in jump-diffusion models. The option value function for European and barrier options satisfies a partial integrodifferential equation (PIDE). This PIDE is commonly integrated in time by implicit-explicit (IMEX) time discretization schemes, where the differential (diffusion) term is treated implicitly, while the integral (jump) term is treated explicitly. In particular, the popular IMEX Euler scheme is first-order accurate in ti...
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作者：Levin, Yuri; McGill, Jeff; Nediak, Mikhail
作者单位：Queens University - Canada
摘要：We present a new model for optimal dynamic pricing of perishable services or products that incorporates a simple risk measure permitting control of the probability that total revenues fall below a minimum acceptable level. The formulation assumes that sales must occur within a finite time period, that there is a finite-possibly large-set of available prices, and that demand follows a price-dependent, nonhomogeneous Poisson process. This model is particularly appropriate for applications in whi...
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作者：Chen, Xin; Sim, Melvyn; Sun, Peng; Zhang, Jiawei
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; National University of Singapore; Duke University; New York University
摘要：Stochastic optimization, especially multistage models, is well known to be computationally excruciating. Moreover, such models require exact specifications of the probability distributions of the underlying uncertainties, which are often unavailable. In this paper, we propose tractable methods of addressing a general class of multistage stochastic optimization problems, which assume only limited information of the distributions of the underlying uncertainties, such as known mean, support, and ...
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作者：Cuoco, Domenico; He, Hua; Isaenko, Sergei
作者单位：University of Pennsylvania; Concordia University - Canada
摘要：Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk of trading portfolios. Yet, existing theoretical analysis of the optimal behavior of a trader subject to VaR limits has produced a negative view of VaR as a risk-control tool. In particular, VaR limits have been found to induce increased risk exposure in some states and an increased probability of extreme losses. However, these conclusions are based on models that are either static or dynamically...
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作者：Wilson, Robert
作者单位：Stanford University
摘要：This paper characterizes a supply function equilibrium in an auction market constrained by limited capacities of links in a transportation network and limited input/output capacities of participants. The formulation is adapted to a wholesale spot market for electricity managed by the operator of the transmission system. The results are derived using the calculus of variations to obtain the Euler conditions and the transversality conditions that characterize a Nash equilibrium in an auction in ...
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作者：Sherali, Hanif D.; Zhu, Xiaomei
作者单位：Virginia Polytechnic Institute & State University
摘要：An airline's fleet typically contains multiple aircraft families, each having a specific cockpit design and crew requirement. Each aircraft family contains multiple aircraft types having different capacities. Given a flight schedule network, the fleet assignment model is concerned with assigning aircraft to flight legs to maximize profits with respect to captured itinerary-based demand. However, because of related yield management and crew-scheduling regulations, in particular, this decision n...
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作者：Zhao, Hui; Ryan, Jennifer K.; Deshpande, Vinayak
作者单位：Purdue University System; Purdue University; University College Dublin
摘要：Inventory sharing through transshipment has attracted a great deal of attention from researchers and practitioners due to its potential for increasing service levels while simultaneously decreasing stock levels. In this paper, we analyze the optimal production and transshipment policy for a two-location make-to-stock queueing system with exponential production and interarrival times. A key feature of our model is that we allow transshipments to be triggered by both demand arrivals and producti...
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作者：Masin, Michael; Bukchin, Yossi
作者单位：Technion Israel Institute of Technology; Tel Aviv University
摘要：One of the most common approaches for multiobjective optimization is to generate the whole or partial efficient frontier and then decide about the preferred solution in a higher-level decision-making process. In this paper, a new method for generating the efficient frontier for multiobjective problems is developed, called the diversity maximization approach (DMA). This approach is capable of solving mixed-integer and combinatorial problems. The DMA finds Pareto optimal solutions by maximizing ...
