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We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal...
Persistent link: https://www.econbiz.de/10011097768
stochastic efficient frontier of the mean-risk trade-off. A realistic exercise stresses the importance of controlling leverage …
Persistent link: https://www.econbiz.de/10011097820
This article analyzes the fleet management problem faced by a firm when deciding which vehicles to add to its fleet. Such a decision depends not only on the expected mileage and tasks to be assigned to the vehicle but also on the evolution of fuel and CO2 emission prices and on fuel efficiency....
Persistent link: https://www.econbiz.de/10011097824
Firms maintain a capital charge to manage the risk of low-frequency, high-impact operational disruptions. The loss distribution approach (LDA) measures the capital charge using two inputs: the frequency and severity of operational disruptions. In this study, we investigate whether or not capital...
Persistent link: https://www.econbiz.de/10011264290
Operations management aims to match the supply with demand of material flows, whereas corporate finance seeks to match the supply with demand of monetary flows. These two supply–demand matching processes are connected by real investment and revenue management in a “closed-loop” of...
Persistent link: https://www.econbiz.de/10011264293
Businesses are increasingly subject to disruptions. It is almost impossible to predict their nature, time and extent. Therefore, organizations need a proactive approach equipped with a decision support framework to protect themselves against the outcomes of disruptive events. In this paper, a...
Persistent link: https://www.econbiz.de/10011117497
In this paper we consider characterizations of the robust uncertainty sets associated with coherent and distortion risk measures. In this context we show that if we are willing to enforce the coherent or distortion axioms only on random variables that are affine or linear functions of the vector...
Persistent link: https://www.econbiz.de/10011117499
There are numerous examples of supply chain disruptions that have occurred which have had devastating impacts not only on a single firm but also on various other firms in the supply network. We utilize a Bayesian Network (BN) approach and develop a model of risk propagation in a supply network....
Persistent link: https://www.econbiz.de/10011209301
In this paper we define a new problem, the aim of which is to find a set of k dissimilar solutions for a vehicle routing problem (VRP) on a single instance. This problem has several practical applications in the cash-in-transit sector and in the transportation of hazardous materials. A min–max...
Persistent link: https://www.econbiz.de/10011209302
We introduce and study the range contract, which allows a buyer to procure from a supplier at a prescribed price any amount within a specified range. In return, the supplier is compensated up front for the width of the range with a range fee. This fee can be viewed as the buyer trading monetary...
Persistent link: https://www.econbiz.de/10011209334