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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：Bertsimas, Dimitris; Ng, Yee Sian; Yan, Julia
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：Mass transit remains the most efficient way to service a densely packed commuter population. However, reliability issues and increasing competition in the transportation space have led to declining ridership across the United States, and transit agencies must also operate under tight budget constraints. Recent attempts at using bus network redesign to improve ridership have attracted attention from various transit authorities. However, the analysis seems to rely on ad hoc methods, for example,...
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作者：Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, Janos; Schmedders, Karl
作者单位：University of Zurich; International Institute for Management Development (IMD)
摘要：Replicating portfolios have emerged as an important tool in the life insurance industry, used for the valuation of companies' liabilities. This paper describes the replicating portfolio (RP) model used to approximate life insurance liabilities in a large global insurance company. We describe the challenges presented by the latest solvency regimes in Europe and how the RP model enables this company to comply with the Swiss Solvency Test. The model minimizes the L-1 error between the discounted ...
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作者：Rios, Ignacio; Larroucau, Tomas; Parra, Giorgiogiulio; Cominetti, Roberto
作者单位：University of Texas System; University of Texas Dallas; University of Pennsylvania; Universidad de Chile; Universidad Adolfo Ibanez
摘要：In this paper we present the design and implementation of a new system to solve the Chilean college admissions problem. We develop an algorithm that obtains all applicant/program pairs that can be part of a stable allocation when preferences are not strict and when all students tied in the last seat of a program (if any) must be allocated. We use this algorithm to identify which mechanism was used in the past to perform the allocation, and we propose a new method to incorporate the affirmative...
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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：Nam Ho-Nguyen; Kilinc-Karzan, Fatma
作者单位：University of Sydney; Carnegie Mellon University
摘要：We study nonparametric estimation of choice models, which was introduced to alleviate unreasonable assumptions in traditional parametric models and is prevalent in several application areas. Existing literature focuses only on the static observational setting where all of the observations are given up front and lacks algorithms that provide explicit convergence rate guarantees or an a priori analysis for the model accuracy versus sparsity trade-off on the actual estimated model returned. As op...
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作者：Aravena, Ignacio; Lete, Quentin; Papavasiliou, Anthony; Smeers, Yves
作者单位：United States Department of Energy (DOE); Lawrence Livermore National Laboratory; Universite Catholique Louvain
摘要：We propose a novel framework for modeling zonal electricity markets, based on projecting the constraints of the nodal network onto the space of the zonal aggregation of the network. The framework avoids circular definitions and discretionary parameters, which are recurrent in the implementation and study of zonal markets. Using this framework, we model and analyze two zonal market designs currently present in Europe: flow-based market coupling (FBMC) and available-transfer-capacity market coup...
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作者：Ding, Yichuan; McCormick, S. Thomas; Nagarajan, Mahesh
作者单位：McGill University; University of British Columbia
摘要：We consider a one-sided bipartite matching queueing system (OBMQ) with customers and resources of multiple types, where different customer-resource combinations can generate different rewards. Each resource is allocated on arrival to the customer with the highest score (or index), which is the sum of the customer's waiting score and matching score, so we call it an M+W index. We assume that the waiting score is an increasing function of a customer's waiting time and that the matching score is ...
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作者：Khaleghei, Akram; Kim, Michael Jong
作者单位：University of Toronto; University of British Columbia
摘要：We formulate a maintenance control model as an optimal stopping problem under partial observations. The key challenge in our formulation is that the underlying state process is not restricted to be Markovian but rather is allowed to follow a semi-Markov process, which is more realistic in practice. Consequently, the stopping problem is not representable as a partially observable Markov decision process (POMDP) with finite state space, a commonly adopted modeling framework in the maintenance op...
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作者：Ahn, Hyun-Soo; Wang, Derek D.; Wu, Owen Q.
作者单位：University of Michigan System; University of Michigan; Capital University of Economics & Business; McGill University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We extend the classical asset-selling problem to include debt repayment obligation, selling capacity constraint, and Markov price evolution. Specifically, we consider the problem of selling a divisible asset that is acquired through debt financing. The amount of asset that can be sold per period may be limited by physical constraints. The seller uses part of the sales revenue to repay the debt. If unable to pay off the debt, the seller must go bankrupt and liquidate the remaining asset. Our an...
