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The tradeoff between maximizing expected profit and minimizing the maximum regret in the newsvendor problem 报贩问题中期望利润最大化与最大遗憾最小化之间的权衡
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-10-08 DOI: 10.1007/s10479-024-06276-y
Mark S. Daskin, Michael Redmond, Abigail Levin
{"title":"The tradeoff between maximizing expected profit and minimizing the maximum regret in the newsvendor problem","authors":"Mark S. Daskin,&nbsp;Michael Redmond,&nbsp;Abigail Levin","doi":"10.1007/s10479-024-06276-y","DOIUrl":"10.1007/s10479-024-06276-y","url":null,"abstract":"<div><p>We introduce a multi-objective variant of the newsvendor problem in which we maximize the expected profit and minimize the maximum regret associated with the decision of how many items to procure from a supplier in the face of unknown demand. When the demand distribution is bounded, the problem is relatively simple. With an unbounded demand distribution, the maximum regret is undefined. In that case, we introduce a chance-constrained variant of the model in which we minimize the maximum regret over a range of demand values whose probability is at least a user-specified value, <span>(gamma)</span>. We provide an algorithm for finding the tradeoff between the expected profit and the <span>(gamma)</span>-level maximum regret. We also show that, when operating near the optimal single-objective newsvendor solution, we can significantly reduce the <span>(gamma)</span>-level maximum regret with little degradation in the expected profit.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"153 - 174"},"PeriodicalIF":4.4,"publicationDate":"2024-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789222","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Enhancing Markowitz's portfolio selection paradigm with machine learning
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-10-07 DOI: 10.1007/s10479-024-06257-1
Marcos López de Prado, Joseph Simonian, Francesco A. Fabozzi, Frank J. Fabozzi
{"title":"Enhancing Markowitz's portfolio selection paradigm with machine learning","authors":"Marcos López de Prado,&nbsp;Joseph Simonian,&nbsp;Francesco A. Fabozzi,&nbsp;Frank J. Fabozzi","doi":"10.1007/s10479-024-06257-1","DOIUrl":"10.1007/s10479-024-06257-1","url":null,"abstract":"<div><p>In this paper we describe the integration of machine learning (ML) techniques into the framework of Markowitz's portfolio selection and show how they can help advance the robust mathematical strategies necessary for modern financial markets. By combining traditional econometrics with cutting-edge ML methodologies, we show how to enhance portfolio management processes including alpha generation, risk management, and optimization of risk metrics like conditional value at risk. ML's capacity to handle vast and complex datasets allows for more dynamic and informed decision-making in portfolio construction. Moreover, we discuss the practical applications of these techniques in real-world portfolio management, highlighting both the potential enhancements and the challenges faced by portfolio managers in implementing ML strategies.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"319 - 340"},"PeriodicalIF":4.4,"publicationDate":"2024-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638515","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dual dominance: how Harry Markowitz and William Ziemba impacted portfolio management
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-10-07 DOI: 10.1007/s10479-024-06281-1
Sébastien Lleo, Leonard C. MacLean
{"title":"Dual dominance: how Harry Markowitz and William Ziemba impacted portfolio management","authors":"Sébastien Lleo,&nbsp;Leonard C. MacLean","doi":"10.1007/s10479-024-06281-1","DOIUrl":"10.1007/s10479-024-06281-1","url":null,"abstract":"<div><p>Models for determining a portfolio of investment decisions in risky assets have been at the forefront of financial research for almost a century. Among the celebrated researchers are Harry Markowitz and William Ziemba. These titans devoted their working years to developing quantitative models and adapting the models to changes in financial markets and investor attitudes. This paper presents a general lens through which the Markowitz mean-variance model and the Ziemba capital growth model can be viewed. This lens is risk-sensitive stochastic control. The optimal control approach places the expected utility, mean-variance, and capital growth models in a common setting to elucidate their connection. In particular, benchmarking and risk factors, two standard refinements to control risk, are seamlessly incorporated into the stochastic control model. The solution to the risk-sensitive control problem isolates the effect of benchmarks and factors to provide insights into model-based portfolios.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"181 - 216"},"PeriodicalIF":4.4,"publicationDate":"2024-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638513","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Improving estimation of portfolio risk using new statistical factors
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-10-07 DOI: 10.1007/s10479-024-06307-8
Xialu Liu, John Guerard, Rong Chen, Ruey Tsay
{"title":"Improving estimation of portfolio risk using new statistical factors","authors":"Xialu Liu,&nbsp;John Guerard,&nbsp;Rong Chen,&nbsp;Ruey Tsay","doi":"10.1007/s10479-024-06307-8","DOIUrl":"10.1007/s10479-024-06307-8","url":null,"abstract":"<div><p>Searching for new effective risk factors on stock returns is an important research topic in asset pricing. Factor modeling is an active research topic in statistics and econometrics, with many new advances. However, these new methods have not been fully utilized in asset pricing application. In this paper, we adopt the factor models, especially matrix factor models in various forms, to construct new statistical factors that explain the variation of stock returns. Furthermore, we evaluate the contribution of these statistical factors beyond the existing factors available in the asset pricing literature. To demonstrate the power of the new factors, U.S. monthly stock data are analyzed, and the partial <i>F</i> test and double selection LASSO method are conducted. The results show that the new statistical factors bring additional information and add explanatory power in asset pricing. Our method opens a new direction for portfolio managers to seek additional risk factors to improve the estimation of portfolio returns.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"245 - 261"},"PeriodicalIF":4.4,"publicationDate":"2024-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Israeli queue with a capacitated server: modeling and approximations 有容量服务器的以色列队列：建模和近似
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-10-06 DOI: 10.1007/s10479-024-06298-6
Nir Perel, Efrat Perel, Mor Kaspi
{"title":"The Israeli queue with a capacitated server: modeling and approximations","authors":"Nir Perel,&nbsp;Efrat Perel,&nbsp;Mor Kaspi","doi":"10.1007/s10479-024-06298-6","DOIUrl":"10.1007/s10479-024-06298-6","url":null,"abstract":"<div><p>The Israeli Queue is a batch service polling system where a single server attends to multiple queues based on seniority. Each arriving customer belongs to one of several classes. Upon arrival, a customer either joins an existing queue for their class or initiates a new queue if they are the first of their class to arrive. Customers from the class with the most senior member are served together as a batch, with the service time remaining constant regardless of the batch size. This service model is found in applications like advanced elevator systems and on-demand shared mobility, where passengers heading to the same destination can share a ride. However, in many real-world scenarios, the vehicle capacities are small and constraining, which calls for a deeper exploration of the Israeli queue with a capacitated server (IQCS). In this paper, we formally define the IQCS and address the challenges of creating a mathematically tractable model to represent it. To approximate the IQCS, we develop a quasi-birth-death process and derive approximations for key performance measures. To validate our approach, we implement a simulation model and use it to compare the IQCS, the approximate model, and the original Israeli Queue. Our results across various scenarios demonstrate the accuracy of the approximate model. Nonetheless, the presence of a remaining gap underscores the ongoing challenge of precisely and efficiently modeling the IQCS, posing an open question for the research community.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 1","pages":"267 - 285"},"PeriodicalIF":4.4,"publicationDate":"2024-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06298-6.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142912808","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Parallel shifting bottleneck algorithms for non-permutation flow shop scheduling 非排列流水车间调度的并行移动瓶颈算法
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-10-06 DOI: 10.1007/s10479-024-06329-2
Hossein Badri, Tayebeh Bahreini, Daniel Grosu
{"title":"Parallel shifting bottleneck algorithms for non-permutation flow shop scheduling","authors":"Hossein Badri,&nbsp;Tayebeh Bahreini,&nbsp;Daniel Grosu","doi":"10.1007/s10479-024-06329-2","DOIUrl":"10.1007/s10479-024-06329-2","url":null,"abstract":"<div><p>The flow shop scheduling problem is one of the most complex and widely applicable scheduling problem. In this paper, we design efficient parallel algorithms for solving large-size non-permutation flow shop scheduling problems by leveraging the huge amount of computing power of the current multi-core computing systems. We design two parallel algorithms based on the Shifting Bottleneck heuristic. The first one is a coarse-grained parallel algorithm that is suitable for execution on multi-core systems with a small number of cores, while the second one is a fine-grained parallel algorithm suitable for multi-core systems with a large number of cores. We perform an extensive experimental analysis to evaluate the performance of the proposed algorithms for instances of various sizes. The results show that the proposed algorithms can solve large-size instances of the problem in a reasonable amount of time and obtain solutions that are within acceptable distance from the lower bounds. The proposed parallel algorithms achieve good speedup with respect to the serial variants of the algorithms.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"39 - 65"},"PeriodicalIF":4.4,"publicationDate":"2024-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789270","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Mitigating the risk of tanking in multi-stage tournaments 减少在多阶段比赛中出现坦克的风险
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-10-05 DOI: 10.1007/s10479-024-06311-y
László Csató
{"title":"Mitigating the risk of tanking in multi-stage tournaments","authors":"László Csató","doi":"10.1007/s10479-024-06311-y","DOIUrl":"10.1007/s10479-024-06311-y","url":null,"abstract":"<div><p>Multi-stage tournaments consisting of a round-robin group stage followed by a knockout phase are ubiquitous in sports. However, this format is incentive incompatible if at least 2 teams from a group advance to the knockout stage where the brackets are predetermined. A model is developed to quantify the risk of tanking in these contests. The suggested approach is applied to the 2022 FIFA World Cup to uncover how its design could have been improved by changing group labelling (a reform that has received no attention before) and the schedule of group matches. Scheduling is found to be a surprisingly weak intervention compared to previous results on the risk of collusion in a group. The probability of tanking, which is disturbingly high around 25%, cannot be reduced by more than 3 percentage points via these policies. Tournament organisers need to consider more fundamental changes against tanking.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 1","pages":"135 - 151"},"PeriodicalIF":4.4,"publicationDate":"2024-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06311-y.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142912755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The minmax due-date assignment problem with acceptable lead-times 具有可接受交货期的最大最小交货期分配问题
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-10-04 DOI: 10.1007/s10479-024-06290-0
Gur Mosheiov, Assaf Sarig
{"title":"The minmax due-date assignment problem with acceptable lead-times","authors":"Gur Mosheiov,&nbsp;Assaf Sarig","doi":"10.1007/s10479-024-06290-0","DOIUrl":"10.1007/s10479-024-06290-0","url":null,"abstract":"<div><p>We study a single machine scheduling and due-date assignment problem with acceptable lead-times. The setting combines elements of the classical common due-date model and the DIF model, where job-dependent due-dates need to be determined. The objective function, which is of a minmax type, consists of four cost components: (1) job-earliness cost, (2) job-tardiness cost, (3) due-date cost, (4) due-date tardiness cost. We present a simple procedure for identifying the different job-types, and consequently, a polynomial-time solution is introduced. The case of due-windows for acceptable lead-times is also discussed.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"401 - 410"},"PeriodicalIF":4.4,"publicationDate":"2024-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789260","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Expected return, realized return and asset pricing tests
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-10-03 DOI: 10.1007/s10479-024-06246-4
Edwin J. Elton
{"title":"Expected return, realized return and asset pricing tests","authors":"Edwin J. Elton","doi":"10.1007/s10479-024-06246-4","DOIUrl":"10.1007/s10479-024-06246-4","url":null,"abstract":"","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"43 - 61"},"PeriodicalIF":4.4,"publicationDate":"2024-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638272","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Designing a robust logistics model for perishable emergency commodities in an epidemic outbreak using Lagrangian relaxation: a case of COVID-19 利用拉格朗日松弛设计流行病暴发中易腐紧急商品的鲁棒物流模型：以COVID-19为例
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-10-02 DOI: 10.1007/s10479-024-06116-z
Mahnaz Sheikholeslami, Naeme Zarrinpoor
{"title":"Designing a robust logistics model for perishable emergency commodities in an epidemic outbreak using Lagrangian relaxation: a case of COVID-19","authors":"Mahnaz Sheikholeslami,&nbsp;Naeme Zarrinpoor","doi":"10.1007/s10479-024-06116-z","DOIUrl":"10.1007/s10479-024-06116-z","url":null,"abstract":"<div><p>This paper proposes a three-echelon emergency commodities supply chain that considers location, allocation, distribution, and resource management planning to minimize the total cost when an epidemic occurs. The model takes into account some key aspects of the emergency distribution network in the event of an outbreak, such as the possibility of quarantining epidemic areas and delays in emergency commodity distribution, commodity storage due to panic buying, demand uncertainty, distribution time, and periodic review and updating of emergency commodity inventories. The model controls the remaining lifetime of the goods while taking into account their perishability. Various types of vehicles with differing capacities, transportation speeds, and costs are studied in order to achieve a suitable balance between cost and speed of delivering commodities. A robust possibilistic programming approach is used to deal with parameter uncertainty and a Lagrangian relaxation approach is used to solve the proposed model. A real case study on COVID-19 is presented in order to illustrate the validity of the suggested model as well as the effectiveness of the developed solution method, and a sensitivity analysis is performed. Based on the findings of this study, considering the uncertainties of system costs, demand, quarantine probability, and delays in the distribution of commodities have a significant impact on network costs during an epidemic outbreak and ignoring them leads to inaccurate estimates of system costs.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"459 - 491"},"PeriodicalIF":4.4,"publicationDate":"2024-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789191","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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