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117
Foreign Exchange Transaction Exposure in a Newsvendor Setting
"... Abstract In the global supply chain where there is a time lag between arrival of the shipment and the sale, the purchase price to the buyer may, on the day of settlement be different from that on the day of the order if the buyer is to pay in the supplier's currency. Either the supplier or the ..."
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newsvendor setting where the supplier has full information, the optimal policies are independent of which one of the two bears the risk. Numerical examples are presented to highlight model. This paper provides good scenarios in the case of risk management for manufacturer and retailer.
A Robust Conjecture on the Relationship among the Expected Profits of Various Newsvendor Models
"... The present study provides some extensions over a recent work in Won (2011) which investigates properties of the static newsvendor problem under a schedule involving progressive multiple discounts under the assumption that demand is given exogenously. Khouja (1995, 1996) formulated the extended vers ..."
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the newsvendor facing quantity discounts to safely implement her own discounts policy to customer or accept quantity discounts offered by the supplier even if the optimal order quantity cannot be ordered due to additional restrictions such as budget or warehouse capacity constraints because the newsvendor models
Inventory Control Involving Unknown Demand of Discrete Nonperishable Items—Analysis of a Newsvendor-based Policy
, 2015
"... Inventory control with unknown demand distribution is considered, with emphasis placed on the case involving discrete nonperishable items. We focus on an adaptive policy which in every period uses, as much as possible, the optimal newsvendor ordering quantity for the empirical distribution learned u ..."
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up to that period. The policy is assessed using the regret criterion, which measures the price paid for ambiguity on demand distribution over T periods. When there are guarantees on the latter’s separation from the critical newsvendor parameter β = b/(h+b), a constant upper bound on regret can
Asset and Liability Modeling for Participating Policies with Guarantees
, 2000
"... We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management, analyze the tradeo#s in structuring such policies, and study alternative choices in funding them. T ..."
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We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management, analyze the tradeo#s in structuring such policies, and study alternative choices in funding them
JOURNAL OF LATEX CLASS FILES, VOL. *, NO. **, ****** * *** * 1 Optimal Inventory Decisions in the Multi-period News-vendor Problem with Partial-Observed Markovian Supply Capacities
"... Abstract — This paper considers a multi-period news-vendor problem with partially observed supply capacity information which evolves as a Markovian Process. The supply capacity is fully observed by the buyer when the capacity is smaller than buyer’s ordering quantity. With a dynamic programming form ..."
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Abstract — This paper considers a multi-period news-vendor problem with partially observed supply capacity information which evolves as a Markovian Process. The supply capacity is fully observed by the buyer when the capacity is smaller than buyer’s ordering quantity. With a dynamic programming
Provably near-optimal sampling-based policies for stochastic inventory control models
- Proceedings, 38th Annual ACM Symposium on Theory of Computing
, 2006
"... In this paper, we consider two fundamental inventory models, the single-period newsvendor problem and its multi-period extension, but under the assumption that the explicit demand distributions are not known and that the only information available is a set of independent samples drawn from the true ..."
Abstract
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Cited by 16 (2 self)
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bounds on the number of samples required to guarantee that with high probability, the expected cost of the sampling-based policies is arbitrarily close (i.e., with arbitrarily small relative error) compared to the expected cost of the optimal policies which have full access to the demand distributions
Virtual Synchrony Guarantees for Cyber-Physical Systems
"... Abstract—By integrating computational and physical elements through feedback loops, CPSs implement a wide range of safetycritical applications, from high-confidence medical systems to critical infrastructure control. Deployed systems must therefore provide highly dependable operation against unpredi ..."
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unpredictable realworld dynamics. However, common CPS hardware—comprising battery-powered and severely resource-constrained devices interconnected via low-power wireless—greatly complicates attaining the required communication guarantees. VIRTUS fills this gap by providing atomic multicast and view management
Optimal Response to a Transitory Demographic Shock in Social Security Financing
- Pension Strategies in Europe and the United
"... The authors consider a transitory demographic shock that affects negatively the financing of retirement pensions—that is, workers either would have to pay more or retirees would receive less. In contrast to the existing literature, the authors endogenously determine optimal policies rather than expl ..."
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Cited by 10 (9 self)
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The authors consider a transitory demographic shock that affects negatively the financing of retirement pensions—that is, workers either would have to pay more or retirees would receive less. In contrast to the existing literature, the authors endogenously determine optimal policies rather than
Numerical methods for controlled Hamilton-JacobiBellman PDEs in finance
- Journal of Computational Finance
"... Many nonlinear option pricing problems can be formulated as optimal control problems, leading to Hamilton-Jacobi-Bellman (HJB) or Hamilton-Jacobi-Bellman-Isaacs (HJBI) equations. We show that such formulations are very convenient for developing monotone discretization methods which ensure convergenc ..."
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Cited by 31 (13 self)
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convergence to the financially relevant solution, which in this case is the viscosity solution. In addition, for the HJB type equations, we can guarantee convergence of a Newton-type (Policy) iteration scheme for the nonlinear discretized algebraic equations. However, in some cases, the Newton-type iteration
Guaranteeing Communication Quality in Real World WSN Deployments
"... April 29, 2011Für UnsShe had never before seen a rabbit with either a waistcoat-pocket, or a watch to take out of it, and burning with curiosity, she ran across the field after it Lewis CarrollThe following document, written under the supervision of Dr. reviewed by: ..."
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April 29, 2011Für UnsShe had never before seen a rabbit with either a waistcoat-pocket, or a watch to take out of it, and burning with curiosity, she ran across the field after it Lewis CarrollThe following document, written under the supervision of Dr. reviewed by:
Results 1 - 10
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117
