Annals of Operations Research最新文献_第8页

Portfolio insurance, portfolio theory, market simulation, and risks of portfolio leverage 投资组合保险、投资组合理论、市场模拟和投资组合杠杆风险

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-16 DOI: 10.1007/s10479-024-06248-2

Bruce I. Jacobs, Kenneth N. Levy

{"title":"Portfolio insurance, portfolio theory, market simulation, and risks of portfolio leverage","authors":"Bruce I. Jacobs, Kenneth N. Levy","doi":"10.1007/s10479-024-06248-2","DOIUrl":"10.1007/s10479-024-06248-2","url":null,"abstract":"<div><p>Bruce Jacobs, Ken Levy, and Harry Markowitz shared similar interests and did comple- mentary work. This led to collaboration, debate, and building upon each other’s ideas and research. They had a prodigious relationship of over 30 years, bridging the gap between theory and practice. Bruce individually, and then with Harry, distinguished between portfolio insurance and portfolio theory. Bruce and Ken estimated security expected returns using cross-sectional analysis, and Harry used that methodology for portfolio management. Bruce and Ken used Harry’s methods for portfolio construction, and they jointly explored the value of using constraints in portfolio optimization and addressed the optimality and optimization of long–short portfolios. Bruce, Ken, and Harry jointly developed an asynchronous, discrete-time, dynamic market simulator, JLMSim, to explain the behavior of security prices and to find equilibrium expected returns. Bruce and Ken extended portfolio theory to account for the unique risks of leverage and applied investor volatility aversion and leverage aversion to portfolio choice. The optimal portfolio lies within an efficient region and on a three-dimensional efficient surface. Harry concurred that the mean–variance model is a special case of the mean–variance–leverage model. Bruce and Ken used the mean–variance–leverage model to address the optimal amount of leverage in 130–30-type portfolio strategies. Bruce and Ken would challenge Harry, and Harry would challenge Bruce and Ken, and out of that would often come something interesting and useful.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"67 - 97"},"PeriodicalIF":4.4,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638598","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

Another puzzle: the growth in actively managed mutual funds 另一个难题：主动管理型共同基金的增长

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-16 DOI: 10.1007/s10479-024-06247-3

Martin J. Gruber

引用次数: 0

Optimization problems with uncertain objective coefficients using capacities 目标系数不确定的容量优化问题

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-10 DOI: 10.1007/s10479-024-06331-8

Tuan-Anh Vu, Sohaib Afifi, Eric Lefèvre, Frédéric Pichon

{"title":"Optimization problems with uncertain objective coefficients using capacities","authors":"Tuan-Anh Vu, Sohaib Afifi, Eric Lefèvre, Frédéric Pichon","doi":"10.1007/s10479-024-06331-8","DOIUrl":"10.1007/s10479-024-06331-8","url":null,"abstract":"<div><p>We study a general optimization problem in which coefficients in the objective are uncertain. We use capacities (lower probabilities) to model such uncertainty. Two popular criteria in imprecise probability, namely maximality and E-admissibility, are employed to compare solutions. We characterize non-dominated solutions with respect to these criteria in terms of well-known notions in multi-objective optimization. These characterizations are novel and make it possible to derive several interesting results. Specially, for convex problems, maximality and E-admissibility are equivalent for <i>any</i> capacities even though the set of associated acts is <i>not</i> convex, and in case of 2-monotone capacities, finding an <i>arbitrary</i> non-dominated solution and checking if a given solution is non-dominated are both tractable. For combinatorial problems, we show a general result: in case of 2-monotone capacities, if the deterministic version of the problem can be solved in polynomial time, checking E-admissibility can also be done in polynomial time. Lastly, for the matroid optimization problem, more refined results are also obtained thanks to these characterizations, namely the connectedness of E-admissible solutions and an outer approximation based on the greedy algorithm for non-dominated solutions with respect to maximality.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 1","pages":"383 - 412"},"PeriodicalIF":4.4,"publicationDate":"2024-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06331-8.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142912925","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

Reliability modeling and optimal maintenance strategies for stochastically deteriorating systems with random degradation latency 具有随机退化延迟的随机退化系统的可靠性建模与最优维护策略

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-09 DOI: 10.1007/s10479-024-06334-5

Wenjie Dong, Yingsai Cao, Jingru Zhang

{"title":"Reliability modeling and optimal maintenance strategies for stochastically deteriorating systems with random degradation latency","authors":"Wenjie Dong, Yingsai Cao, Jingru Zhang","doi":"10.1007/s10479-024-06334-5","DOIUrl":"10.1007/s10479-024-06334-5","url":null,"abstract":"<div><p>This paper mainly deals with the reliability modeling and optimal preventive replacement policies for a stochastically deteriorating system with random shocks. Specifically, the system is subject to stochastic performance deterioration, in which it is described with a Gamma process and degrades after a random degradation latency period. At the same time, a random shock process with a non-homogenous Poisson process is incorporated into system degradation modeling, where two kinds of shock effectiveness are formed upon arrival. The dependence between the degradation-induced failure and the shock-induced failure is bidirectional in this research. Based on system survival function, a periodic replacement policy and an inspection replacement policy are respectively investigated. The optimal solutions to the two preventive replacement policies are sought analytically and their resulting long-run average cost rates are compared to decide which one is more profitable. Finally, an illustrative example of the gas insulated transmission line is surveyed to validate the theoretical results, demonstrating that the random degradation onset time and two kinds of shocks are significant factors to system reliability evaluation and maintenance decisions.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"345 1","pages":"105 - 124"},"PeriodicalIF":4.4,"publicationDate":"2024-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143108687","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

If you get to San Diego, let’s do lunch or dinner… 如果你去了圣地亚哥，我们一起吃午餐或晚餐……

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-09 DOI: 10.1007/s10479-024-06328-3

Panos Xidonas

引用次数: 0

CMSA based on set covering models for packing and routing problems 基于集合覆盖模型的包装和路由问题的CMSA

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-08 DOI: 10.1007/s10479-024-06295-9

Mehmet Anıl Akbay, Christian Blum, Can Berk Kalayci

{"title":"CMSA based on set covering models for packing and routing problems","authors":"Mehmet Anıl Akbay, Christian Blum, Can Berk Kalayci","doi":"10.1007/s10479-024-06295-9","DOIUrl":"10.1007/s10479-024-06295-9","url":null,"abstract":"<div><p>Many packing, routing, and knapsack problems can be expressed in terms of integer linear programming models based on set covering. These models have been exploited in a range of successful heuristics and exact techniques for tackling such problems. In this paper, we show that integer linear programming models based on set covering can be very useful for their use within an algorithm called “Construct, Merge, Solve & Adapt”(CMSA), which is a recent hybrid metaheuristic for solving combinatorial optimization problems. This is because most existing applications of CMSA are characterized by the use of an integer programming solver for solving reduced problem instances at each iteration. We present applications of CMSA to the variable-sized bin packing problem and to the electric vehicle routing problem with time windows and simultaneous pickups and deliveries. In both applications, CMSA based on a set covering model strongly outperforms CMSA when using an assignment-type model. Moreover, state-of-the-art results are obtained for both considered optimization problems.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"1 - 38"},"PeriodicalIF":4.4,"publicationDate":"2024-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06295-9.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789220","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

A Bayesian learning and pricing model with multiple unknown demand parameters 具有多个未知需求参数的贝叶斯学习与定价模型

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-08 DOI: 10.1007/s10479-024-06279-9

Baichun Xiao, Wei Yang

{"title":"A Bayesian learning and pricing model with multiple unknown demand parameters","authors":"Baichun Xiao, Wei Yang","doi":"10.1007/s10479-024-06279-9","DOIUrl":"10.1007/s10479-024-06279-9","url":null,"abstract":"<div><p>This article presents a Bayesian learning model for demand estimation in revenue management. Different from most existing models in the literature, our discussion centers on demand functions with an arbitrary number of unknown and correlated parameters, and estimating them simultaneously. We formulate the problem as a Dirichlet learning model and show the search process converges to the true parameter values. As the observed data does not unambiguously reveal the underlying demand curve, the exploration scheme is notably different from conventional Dirichlet sampling process. We apply a partially observable Markov decision process to ensure the true demand curve surfaces as a favorite. Our pricing policy during the learning phase also differs from myopic heuristics by taking both the remaining time and unsold items into consideration. As incomplete learning remains a concern for all existing learning models, we show that the occurrence of uninformative prices is rooted in the dynamics of pricing, and prove that the proposed model is immune from incomplete learning. For revenue performance, the regret bounds established are comparable to the benchmark in the literature under similar conditions. Overall, the proposed model integrates the learning process with earning goals and offers a promising tool to achieve both targets.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"493 - 513"},"PeriodicalIF":4.4,"publicationDate":"2024-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789221","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

Catastrophic risk: indication, quantitative assessment and management of rare extreme events using a non-expected utility framework 灾难性风险：使用非预期效用框架对罕见极端事件进行指示、定量评估和管理

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-08 DOI: 10.1007/s10479-024-06259-z

Gebhard Geiger

{"title":"Catastrophic risk: indication, quantitative assessment and management of rare extreme events using a non-expected utility framework","authors":"Gebhard Geiger","doi":"10.1007/s10479-024-06259-z","DOIUrl":"10.1007/s10479-024-06259-z","url":null,"abstract":"<div><p>The paper develops a conceptual framework for the analysis and management of catastrophic risk. The framework serves to assess rare extreme events in systematic, quantitative and consistent ways. It dispenses with probabilistic extreme value theory, concentrating on descriptive statistics and simple probability distributions. Risk assessment is based on a recently developed axiomatic approach to non-expected utility preferences defined on the set of risky alternative courses of action available to an agent. The utility values of catastrophic risks are given an explicit algebraic representation, which shows them to be highly unstable (“elastic”) in the sense that they respond disproportionately to small perturbations of the decision outcomes and their probabilities. Various elasticity coefficients are defined for the outcome variables and utility preferences attached to them. They indicate whether a variable possibly takes on large negative values. The coefficients can also be defined as sample statistics and, thus, computed from observed data. The approach admits various applications to practical problems of disaster risk management. The applications include estimations of the effectiveness and cost-efficiency of risk management, the specification of limits of acceptance of catastrophic risk for regulatory purposes, and safety and security systems design and dimensioning.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 1","pages":"223 - 261"},"PeriodicalIF":4.4,"publicationDate":"2024-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06259-z.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142789223","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 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

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Enhancing Markowitz's portfolio selection paradigm with machine learning 用机器学习增强马科维茨的投资组合选择范式

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

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