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作者：Bakshi, Gurdip; Crosby, John; Gao, Xiaohui
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Old Dominion University
摘要：Emphasizing the statistics of jumps crossing the strike and local time, we develop a decomposition of equity option risk premiums. Operationalizing this theoretical treatment, we equip the pricing kernel process with unspanned risks, embed (unspanned) jump risks, and allow equity return volatility to contain unspanned risks. Unspanned risks are consistent with negative risk premiums for jumps crossing the strike and local time and imply negative risk premiums for out-of-the-money call options ...
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作者：Lin, Meichun; Huh, Woonghee Tim; Krishnan, Harish; Uichanco, Joline
作者单位：University of British Columbia; University of Michigan System; University of Michigan
摘要：We consider the data-driven newsvendor problem in which a manager makes inventory decisions sequentially and learns the unknown demand distribution based on observed samples of continuous demand (no truncation). We study the widely used sample average approximation (SAA) approach and analyze its performance with respect to regret, which is the difference between its expected cost and the optimal cost of the clairvoyant who knows the underlying demand distribution. We characterize how the regre...
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作者：Furini, Fabio; Ljubic, Ivana; Malaguti, Enrico; Paronuzzi, Paolo
作者单位：Consiglio Nazionale delle Ricerche (CNR); Istituto di Analisi dei Sistemi ed Informatica Antonio Ruberti (IASI-CNR); ESSEC Business School; University of Bologna
摘要：Given an undirected graph, we study the capacitated vertex separator problem that asks to find a subset of vertices of minimum cardinality, the removal of which induces a graph having a bounded number of pairwise disconnected shores (subsets of vertices) of limited cardinality. The problem is of great importance in the analysis and protection of communication or social networks against possible viral attacks and for matrix decomposition algorithms. In this article, we provide a new bilevel int...
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作者：Bruce, Norris I.; Krishnamoorthy, Anand; Prasad, Ashutosh
作者单位：University of North Carolina; University of North Carolina Chapel Hill; State University System of Florida; University of Central Florida; University of California System; University of California Riverside
摘要：This paper uses dynamic optimization to study the optimal advertising of fash-ion products over time. For fashion products, brand advertising and exclusivity are impor-tant sales drivers. Therefore, we propose a dynamic model of the sales of multiple styles of a fashion brand based on these variables. The model is estimated using a particle filter method on data from two fashion categories (handbags and sunglasses) and has good fit and prediction. We also derive explicit analytical solutions o...
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作者：Yildiz, Baris; Boland, Natashia; Savelsbergh, Martin
作者单位：Koc University; University System of Georgia; Georgia Institute of Technology
摘要：We introduce a novel and powerful approach for solving certain classes of mixed integer programs (MIPs): decomposition branching. Two seminal and widely used techniques for solving MIPs, branch-and-bound and decomposition, form its foundation. Computational experiments with instances of a weighted set covering problem and a regionalized p-median facility location problem with assignment range constraints demonstrate its efficacy: it explores far fewer nodes and can be orders of magnitude faste...
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作者：Zhang, Mengzhenyu; Ahn, Hyun-Soo; Uichanco, Joline
作者单位：University of Michigan System; University of Michigan
摘要：Decisions regarding new products are often difficult to make, and mistakes can have grave consequences for a firm's bottom line. Often, firms lack important information about a new product, such as its potential market size and the speed of its adoption by consumers. One of the most popular frameworks that has been used for modeling new product adoption is the Bass model. Although the Bass model and its many variants are used to study dynamic pricing of new products, the vast majority of these...
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作者：Balakrishnan, Anantaram; Mirchandani, Prakash; Lin, Sifeng
作者单位：University of Texas System; University of Texas Austin; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Texas System; University of Texas Austin
摘要：Crew costs account for a significant portion of the operating expenses for transportation service providers, and so utilizing crews effectively is an important priority for these organizations. This paper addresses the core problem of assigning crews to urban transit and other scheduled transportation services at minimum total cost for crew usage, assignment, and transfers, taking into account crew work rules that limit their duty and working times. We propose a new multicommodity flow model w...
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作者：El Hajj, Hussein; Bish, Douglas R.; Bish, Ebru K.
作者单位：Virginia Polytechnic Institute & State University; University of Alabama System; University of Alabama Tuscaloosa
摘要：Cystic fibrosis (CF) is a life-threatening genetic disorder. Early treatment of CF-positive newborns can extend life span, improve quality of life, and reduce healthcare expenditures. As a result, newborns are screened for CF throughout the United States. Genetic testing is costly; therefore, CF screening processes start with a relatively inexpensive but not highly accurate biomarker test. Newborns with elevated biomarker levels are further screened via genetic testing for a panel of variants ...
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作者：Feldman, Jacob; Zhang, Dennis J.; Liu, Xiaofei; Zhang, Nannan
作者单位：Washington University (WUSTL); Alibaba Group
摘要：We compare the performance of two approaches for finding the optimal set of products to display to customers landing on Alibaba's two online marketplaces, Tmall and Taobao. We conducted a large-scale field experiment, in which we randomly assigned 10,421,649 customer visits during a one-week-long period to one of the two approaches and measured the revenue generated per customer visit. The first approach we tested was Alibaba's current practice, which embeds product and customer features withi...
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作者：Kapuscinski, Roman; Parker, Rodney P.
作者单位：University of Michigan System; University of Michigan; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：For serial multiechelon systems subject to production capacity limits at every stage, we consider a class of modified echelon base stock (MEBS) policies. To evaluate information requirements of such systems, we consider two separate inventory management mechanisms operated in a decentralized manner. For ordering decisions, these mechanisms utilize local knowledge only and are distinguished by the timing of the orders being conveyed upstream from installation to installation. We demonstrate tha...
