ANOR
2010
13 years 4 months ago
2010
We study some mathematical programming formulations for the origin-destination model in airline revenue management. In particular, we focus on the traditional probabilistic model ...
ANOR
2010
13 years 4 months ago
2010
Abstract The paper provides a condition for differentiability as well as an equivalent criterion for Lipschitz continuity of singular normal distributions. Such distributions are o...
ANOR
2010
13 years 4 months ago
2010
We consider mixed-integer recourse (MIR) models with a single recourse constraint. We relate the second-stage value function of such problems to the expected simple integer recour...
ANOR
2010
13 years 4 months ago
2010
Abstract In this paper we provide a survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio selection. Our sur...
ANOR
2010
13 years 4 months ago
2010
Abstract The problem of portfolio risk estimation in volatile markets requires employing fat-tailed models for financial instrument returns combined with copula functions to captur...
ANOR
2010
13 years 4 months ago
2010
ANOR
2010
13 years 4 months ago
2010
This paper provides a new framework for the derivation and estimation of consumption and the equity premium functions. The novelty in our approach is that it does not require the ...
ANOR
2010
13 years 4 months ago
2010
ANOR
2010
13 years 4 months ago
2010
: The application and estimation of expected utility based decision models would benefit from having additional simple and flexible functional forms to represent risk preferences. ...
ANOR
2010
13 years 4 months ago
2010
Abstract. We consider a continuous-time model for inventory management with Markov modulated non-stationary demands. We introduce active learning by assuming that the state of the ...