{"title":"Cascading failures in the global financial system: A dynamical model","authors":"Leonardo Stella , Dario Bauso , Franco Blanchini , Patrizio Colaneri","doi":"10.1016/j.orl.2024.107122","DOIUrl":"10.1016/j.orl.2024.107122","url":null,"abstract":"<div><p>In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system and develop a framework to investigate under which conditions organizations remain healthy. The contribution of this paper is threefold: i) we develop a dynamical model that describes the time evolution of the organizations' equity values given nonequilibrium initial conditions; ii) we characterize the equilibria for this model; and iii) we provide a computational method to anticipate potential propagation of failures.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107122"},"PeriodicalIF":1.1,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000580/pdfft?md5=53790818d995d2d7ca3c575cb65776fc&pid=1-s2.0-S0167637724000580-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141165832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Elnaz Bajoori , Lisa Maria Kreusser , Ronald Peeters , Leonard Wolk
{"title":"Risk aversion in first-price security-bid auctions","authors":"Elnaz Bajoori , Lisa Maria Kreusser , Ronald Peeters , Leonard Wolk","doi":"10.1016/j.orl.2024.107121","DOIUrl":"10.1016/j.orl.2024.107121","url":null,"abstract":"<div><p>We study how risk aversion affects equilibrium bidding strategies in a first-price security-bid auction. We show that if the bidder's expected utility is concave and their marginal expected utility decreases as the degree of risk aversion increases – conditions that are shown to be satisfied under some conditions for four prominent securities (cash, equity, debt, and call option) –, the increase in the degree of risk aversion leads to lower bids in equilibrium.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"55 ","pages":"Article 107121"},"PeriodicalIF":1.1,"publicationDate":"2024-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000579/pdfft?md5=dbecec91db5f1c7bfdc6d3a7f193263b&pid=1-s2.0-S0167637724000579-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141052048","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"On the complexity of a maintenance problem for hierarchical systems","authors":"Andreas S. Schulz , Claudio Telha","doi":"10.1016/j.orl.2024.107117","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107117","url":null,"abstract":"<div><p>We prove that a maintenance problem on frequency-constrained maintenance jobs with a hierarchical structure is integer-factorization hard. This result holds even on simple systems with just two components to maintain. As a corollary, we provide a first hardness result for Levi et al.'s modular maintenance scheduling problem (Levi et al. 2014).</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107117"},"PeriodicalIF":1.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140918028","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Generalization of weighted-egalitarian Shapley values","authors":"Hyungkyu Cheon, Dong Gu Choi","doi":"10.1016/j.orl.2024.107118","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107118","url":null,"abstract":"<div><p>In this study, we provide a new class of solutions that generalize the weighted-egalitarian Shapley values by permitting heterogeneity of players in both the Shapley value and equal division value. To derive the proposed value, we present axioms of weak monotonicity, weak differential null player out, efficiency, null game, ratio invariance for null players, and weak superweak differential marginality.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107118"},"PeriodicalIF":1.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140948489","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Guessing a random function and repeated games in continuous time","authors":"Catherine Rainer , Eilon Solan","doi":"10.1016/j.orl.2024.107120","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107120","url":null,"abstract":"<div><p>We study a game where one player selects a random function and the other guesses that function, and show that with high probability the second player can correctly guess most of the random function. We apply this analysis to continuous-time repeated games played with mixed strategies with delay, identify good responses of a player to any strategy profile of her opponents, and show that each player's minmax value coincides with her minmax value in pure strategies of the one-shot game.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107120"},"PeriodicalIF":1.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141072942","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Reducing the Chvátal rank through binarization","authors":"Gérard Cornuéjols, Vrishabh Patil","doi":"10.1016/j.orl.2024.107119","DOIUrl":"10.1016/j.orl.2024.107119","url":null,"abstract":"<div><p>In a classical paper, Chvátal introduced a rounding procedure for strengthening the polyhedral relaxation <em>P</em> of an integer program; applied recursively, the number of iterations needed to obtain the convex hull of the integer solutions in <em>P</em> is known as the Chvátal rank. Chvátal showed that this rank can be exponential in the input size <em>L</em> needed to describe <em>P</em>. We give a compact extended formulation of <em>P</em>, described by introducing binary variables, whose rank is polynomial in <em>L</em>.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107119"},"PeriodicalIF":1.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0167637724000555/pdfft?md5=31547e69830dd0795992e92a3c7a822a&pid=1-s2.0-S0167637724000555-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141052446","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Some asymptotic properties of the Erlang-C formula in many-server limiting regimes","authors":"Ragavendran Gopalakrishnan , Yueyang Zhong","doi":"10.1016/j.orl.2024.107116","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107116","url":null,"abstract":"<div><p>This paper presents asymptotic properties of the Erlang-C formula in a spectrum of many-server limiting regimes. Specifically, we address an important gap in the literature regarding its limiting value in critically loaded regimes by studying extensions of the well-known square-root safety staffing rule used in the Quality-and-Efficiency-Driven (QED) regime.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107116"},"PeriodicalIF":1.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S016763772400052X/pdfft?md5=4eebe7acf63a930d3a0551a1b0e70e7c&pid=1-s2.0-S016763772400052X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140948488","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Convergence and complexity guarantees for a wide class of descent algorithms in nonconvex multi-objective optimization","authors":"Matteo Lapucci","doi":"10.1016/j.orl.2024.107115","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107115","url":null,"abstract":"<div><p>We address conditions for global convergence and worst-case complexity bounds of descent algorithms in nonconvex multi-objective optimization. Specifically, we define the concept of steepest-descent-related directions. We consider iterative algorithms taking steps along such directions, selecting the stepsize according to a standard Armijo-type rule. We prove that methods fitting this framework automatically enjoy global convergence properties. Moreover, we show that a slightly stricter property, satisfied by most known algorithms, guarantees the same complexity bound of <span><math><mi>O</mi><mo>(</mo><msup><mrow><mi>ϵ</mi></mrow><mrow><mo>−</mo><mn>2</mn></mrow></msup><mo>)</mo></math></span> as the steepest descent method.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107115"},"PeriodicalIF":1.1,"publicationDate":"2024-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140643913","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Dynamic capital allocation with reallocation cost","authors":"Ermo Chen, Lan Wu, Jingyi He","doi":"10.1016/j.orl.2024.107114","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107114","url":null,"abstract":"<div><p>Traditional static capital allocation incurs significant reallocation costs over periods due to drastic fluctuations. We propose a new framework for dynamic capital allocation with time-varying capital constraints that incorporates reallocation costs. We obtain an analytical solution in a recursive form and demonstrate its admirable performance through simulations. The solution compromises between static allocation and expected future risk structure and strikes a balance between addressing current risk profiles and adjustment costs. It successfully provides an effective allocation tool while preserving stability.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107114"},"PeriodicalIF":1.1,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140555651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Partially observable discrete-time discounted Markov games with general utility","authors":"Arnab Bhabak , Subhamay Saha","doi":"10.1016/j.orl.2024.107113","DOIUrl":"https://doi.org/10.1016/j.orl.2024.107113","url":null,"abstract":"<div><p>In this paper, we investigate partially observable zero sum games where the state process is a discrete time Markov chain. We consider a general utility function in the optimization criterion. We show the existence of value for both finite and infinite horizon games and also establish the existence of optimal polices. The main step involves converting the partially observable game into a completely observable game which also keeps track of the total discounted accumulated reward/cost.</p></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"54 ","pages":"Article 107113"},"PeriodicalIF":1.1,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140350457","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}