We extend the linear programming (LP) model of deterministic supply-chain planning to take demand uncertainty and cash flows into account for the medium term. The resulting stochastic LP model is similar to that of Asset-Liability Management (ALM), for which the literature using stochastic...

We investigate whether the returns of some industry portfolios predict the returns of other industry portfolios. We find a strong lead-lag structure which is statistically and economically significant. These findings suggest that information diffuses only gradually across industries. Moreover,...

Background and target:The optimization of single assets or a portfolio of assets is a ubiquitous task in energy and commodity trading. Assets may be of various types, such as storage facilities (e.g. batteries or water reservoirs for power, heat or gas storage), decentralized or large power...

The extant supply chain management literature has not addressed the issue of coordination in supply chains involving risk-averse agents. We take up this issue and begin with defining a coordinating contract as one that results in a Pareto-optimal solution acceptable to each agent. Our definition...

In this paper, we develop a supply chain/logistics network model for critical needs in the case of disruptions. The objective is to minimize the total network costs, which are generalized costs that may include the monetary, risk, time, and social costs. The model assumes that disruptions may...

We study a closed-loop supply chain in which used products can be collected by a manufacturer, a retailer, or a third-party for the purpose of recycling. Since the collection process can be noisy, the system dynamic is modeled by a stochastic differential equation. We formulate stochastic...

We introduce a novel measure to study the relationship between portfolio concentration in vertically related firms and the performance of actively managed U.S. mutual funds. We find a strong positive relationship between our supply chain concentration measure and fund performance. While funds'...