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  • Articles  (64)
  • Oxford University Press  (64)
  • American Meteorological Society
  • Blackwell Publishing Ltd
  • De Gruyter
  • Hindawi
  • Institute of Electrical and Electronics Engineers
  • Molecular Diversity Preservation International
  • Springer Nature
  • 2020-2022
  • 2010-2014  (64)
  • 1990-1994
  • 1985-1989
  • 1960-1964
  • 2012  (64)
  • 1962
  • IMA Journal of Management Mathematics  (25)
  • 19057
  • Mathematics  (64)
  • Mechanical Engineering, Materials Science, Production Engineering, Mining and Metallurgy, Traffic Engineering, Precision Mechanics
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  • Articles  (64)
Source
Publisher
  • Oxford University Press  (64)
  • American Meteorological Society
  • Blackwell Publishing Ltd
  • De Gruyter
  • Hindawi
    • +
Years
  • 2020-2022
  • 2010-2014  (64)
  • 1990-1994
  • 1985-1989
  • 1960-1964
Year
Journal
Topic
  • Mathematics  (64)
  • Mechanical Engineering, Materials Science, Production Engineering, Mining and Metallurgy, Traffic Engineering, Precision Mechanics
  • 1
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    Part Special Issue on Quantitative Modelling in the Management of Health Care (2012)
    Oxford University Press
    Details
    Publication Date: 2012-03-13
    Print ISSN: 1471-678X
    Electronic ISSN: 1471-6798
    Topics: Mathematics
    Published by Oxford University Press
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  • 2
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    Adjusting supply chain forecasts for short-term temperature estimates: a case study in a Brewing company (2012)
    Oxford University Press
    Details
    Publication Date: 2012-12-15
    Description: One of the key drivers of seasonal behaviour in time series is weather, most notably temperature. Very often weather effects are inter-correlated with the impact of other one-off events like public holidays or promotional activity. Due to the uncertainty that comes with short-term weather forecasts, the exact effect of weather on weekly or daily sales has been given very little attention in the forecasting literature. The present study evaluates the impact of weather-driven adjustments to forecasts in a Brewing company. The forecasting team applies a decomposition approach, where: (a) an exponentially smoothing model is used in order to produce weekly sales forecasts; (b) an econometric model is built once a year in order to estimate the impact of 10-day ahead temperature changes in sales (as an input to this model, weekly weather forecasts from the Met office are used); (c) the sales forecasts from the former are adjusted based on the impacts from the latter, as well as for promotions, one-off events and regular seasonal behaviour. Empirical findings suggest that the weather adjustment mechanism improves the forecasting function in the company.
    Print ISSN: 1471-678X
    Electronic ISSN: 1471-6798
    Topics: Mathematics
    Published by Oxford University Press
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  • 3
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    A multistage stochastic programming approach for capital budgeting problems under uncertainty (2012)
    Oxford University Press
    Details
    Publication Date: 2012-12-15
    Description: This paper addresses the capital budgeting problem under uncertainty. In particular, we propose a multistage stochastic programming model aimed at selecting and managing a project portfolio. The dynamic uncertain evolution of each project value is modelled by a scenario tree over the planning horizon. The model allows the decision maker to revise decisions by decommitting from a given project if it shows a negative performance. Risk is explicitly assessed by defining a mean-risk objective function, where the conditional value at risk is used. A customized branch-and-bound method is also introduced for solving the proposed model. Extensive computational experiments have been carried out to validate the model effectiveness, also in comparison with other possible benchmark policies. The numerical results collected by solving randomly generated instances with the proposed branch-and-bound approach seems to be encouraging.
    Print ISSN: 1471-678X
    Electronic ISSN: 1471-6798
    Topics: Mathematics
    Published by Oxford University Press
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  • 4
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    Solving the Top-percentile traffic routing problem by Approximate Dynamic Programming (2012)
    Oxford University Press
    Details
    Publication Date: 2012-09-18
    Description: Internet Service Providers (ISPs) have the ability to route their traffic over different network providers. This study investigates the optimal routing strategy under multihoming in the case where network providers charge ISPs according to top-percentile pricing (i.e. based on the th highest volume of traffic shipped). We call this problem the Top-percentile Traffic Routing Problem (TpTRP). The TpTRP is a multistage stochastic optimization problem. Routing decision for every time period should be made before knowing the amount of traffic that is to be sent. The stochastic nature of the problem forms the critical difficulty of this study. Solution approaches based on Stochastic Integer Programming or Stochastic Dynamic Programming (SDP) suffer from the curse of dimensionality, which restricts their applicability. To overcome this, we suggest to use Approximate Dynamic Programming, which exploits the structure of the problem to construct continuous approximations of the value functions in SDP. Thus, the curse of dimensionality is largely avoided.
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    Electronic ISSN: 1471-6798
    Topics: Mathematics
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  • 5
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    Operational planning of oil refineries under uncertainty Special issue: Applied Stochastic Optimization (2012)
    Oxford University Press
    Details
    Publication Date: 2012-09-18
    Description: In this paper, we describe a non-linear programming model for operational planning of oil refineries, considering exogenous (external) and endogenous (internal) uncertainties. Three mathematical models based on stochastic programming (two-stage stochastic model) and robust programming (min–max regret model and max–min model) are developed to address these uncertainties. The main purpose of this paper is to address the impact of uncertainty on the operational planning of oil refineries by using different risk profiles. The stochastic approach corresponds to a risk-neutral attitude and optimizes the expected value of the objective function. The robust approach, on the other hand, corresponds to a risk-averse attitude and hedges the decision-maker against the worst values of all possible scenarios, although it does not require the estimation of scenario probabilities. A study based on real data from a Brazilian refinery demonstrates the performance of various approaches. After analysing the oil purchase decisions, we identify a clear relationship between the adopted risk attitude and the quantity and quality of the purchased oil. We also show the strong influence of the product specification constraints on the model decisions.
    Print ISSN: 1471-678X
    Electronic ISSN: 1471-6798
    Topics: Mathematics
    Published by Oxford University Press
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  • 6
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    Universal confidence sets for the mode of a regression function (2012)
    Oxford University Press
    Details
    Publication Date: 2012-09-18
    Description: We consider the problem of mode estimation in a random design regression model. Confidence sets for the modes can be derived as suitable neighbourhoods for maximum points of a regression estimator. For each sample size n, the neighbourhoods are chosen in such a way that they cover the true modes at least with a prescribed probability. The approach relies on concentration-of-measure inequalities for the regression estimators. The aim of the paper is to derive appropriate assertions for the Nadaraya–Watson estimator and to show how these results can be used for the derivation of universal confidence sets.
    Print ISSN: 1471-678X
    Electronic ISSN: 1471-6798
    Topics: Mathematics
    Published by Oxford University Press
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  • 7
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    Maximum-loss, minimum-win and the Esscher pricing principle (2012)
    Oxford University Press
    Details
    Publication Date: 2012-09-18
    Description: Maximum-loss (Max-loss) was recently introduced as a valuation functional in the context of systematic stress testing. The basic idea is to value a (financial) random variable by its worst case expectation, where the most unfavourable probability measure—the ‘worst case distribution’—lies within a given Kullback–Leibler radius around a previously estimated distribution. The article gives an overview of the properties of this measure and analyses relations to other risk and acceptability measures and to the well-known Esscher pricing principle, used in insurance mathematics and option pricing. The main part of the article focuses then on optimal decision-making—in particular related to portfolio optimization—with Max-loss as the objective function to be minimized. A simple algorithm for dealing with the resulting saddle point problem is introduced and analysed.
    Print ISSN: 1471-678X
    Electronic ISSN: 1471-6798
    Topics: Mathematics
    Published by Oxford University Press
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  • 8
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    Scenario-based dynamic corporate bond portfolio management (2012)
    Oxford University Press
    Details
    Publication Date: 2012-09-18
    Description: The 2008 credit crisis has deeply affected the price of corporate liabilities in both equity and fixed income secondary markets leading to unprecedented portfolio losses by financial investors. A coordinated intervention by monetary institutions limited the systemic consequences of the crisis, without, however, avoiding a significant fall of corporate bond prices across international markets. In this article, we analyse alternative portfolio optimization approaches in the fixed income market over the 2008–2009 period, a time in which credit derivative markets became very illiquid. All policies are analysed relying on a unique set of market and credit scenarios generated by common and idiosyncratic risk factors on an extended investment universe. The crisis provides an interesting test period to analyse in particular the potential of dynamic versus static portfolio selection approaches. We also consider dynamic portfolio strategies based on multistage stochastic programming versus policy rule-based methods and analyse their relative performance against a corporate bond index widely adopted in practice as a market benchmark.
    Print ISSN: 1471-678X
    Electronic ISSN: 1471-6798
    Topics: Mathematics
    Published by Oxford University Press
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  • 9
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    Retirement planning in individual asset-liability management (2012)
    Oxford University Press
    Details
    Publication Date: 2012-09-18
    Description: Increasing financial pressure on State-controlled pension systems has caused, over the last two decades or so, an unprecedented effort by private pension funds (PFs) and insurance companies to issue new types of retirement vehicles. This article investigates the effects of such widespread phenomenon from the perspective of individual asset–liability management. A multistage stochastic programming problem has been formulated with investment opportunities including PFs, unit-linked contracts and variable life annuities. The introduction of a specific risk measure with respect to a desirable retirement income stream and a planning horizon spanning the entire individuals' working life helps to analyse the implications of observed market dynamics on retirement strategies. We present comparative results focusing on the retirement planning problem for three representative individuals carrying different time horizons but common retirement goals. The results show the benefits over traditional pension accumulation plans of dynamic strategies based on mixed portfolios of retirement products.
    Print ISSN: 1471-678X
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    Topics: Mathematics
    Published by Oxford University Press
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  • 10
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    Markovian regime-switching market completion using additional Markov jump assets (2012)
    Oxford University Press
    Details
    Publication Date: 2012-06-16
    Description: In this paper, we discuss the use of some representation results for double martingales to value and hedge contingent claims in a Markovian regime-switching market. A set of N Markov jump assets is introduced to complete the Markovian regime-switching market. Using a representation for double martingales, we justify the completeness of the enlarged market. An equivalent martingale measure, or price kernel, in the enlarged market is then identified by a measure change. The option pricing formula and the hedging portfolio in the enlarged market is also discussed.
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    Topics: Mathematics
    Published by Oxford University Press
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