We consider a make-to-order production system where two major components, one nonperishable (referred to as part 1) and one perishable (part 2), are needed to fulfill a customer order. In each period, replenishment decisions for both parts need to be made jointly before demand is realized and a...

In this article, we consider a classic dynamic inventory control problem of a self-financing retailer who periodically replenishes its stock from a supplier and sells it to the market. The replenishment decisions of the retailer are constrained by cash flow, which is updated periodically...

In this article we address an important class of supply contracts called the Rolling Horizon Flexibility (RHF) contracts. Under such a contract, at the beginning of the horizon a buyer has to commit requirements for components for each period into the future. Usually, a supplier provides limited...

Microbial risk assessment (MRA) is a process that evaluates the likelihood of adverse human health effects following exposure to a medium in which pathogens are present. Several different classes of models are available to quantitatively characterize risks to human health from exposure to...

Unlike mutual funds, hedge funds are reluctant to provide detailed information on their investment portfolios. Since hedge funds may use niche investment strategies in narrow market segments, fund managers portend that thorough disclosure of their portfolio holdings—which are important to...

The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. Although this is a well-discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this study we are concerned with describing the joint return...

In this paper we provide a framework that explains how the market risk premium, defined as the difference between forward prices and spot forecasts, depends on the risk preferences of market players and the interaction between buyers and sellers. In commodities markets this premium is an...

We propose a model where wholesale electricity prices are explained by two state variables: demand and capacity. We derive analytical expressions to price forward contracts and to calculate the forward premium. We apply our model to the PJM, England and Wales, and Nord Pool markets. Our...

If entrepreneurs have private information about factors influencing the outcome of an investment, individual lending is inefficient. The literature typically offers solutions based on the assumption of full peer information to solve adverse selection problems and peer monitoring to solve moral...

A popular account for the demise of the U.K.’s monetary targeting regime in the 1980s blames the fluctuating predictive relationships between broad money and inflation and real output growth. Yet ex post policy analysis based on heavily revised data suggests no fluctuations in the predictive...