We consider a problem of managing a system of spatially distributed markets under capacity and balance constraints and show that solutions of a variational inequality enjoy auction principle properties implicitly. This enables us to develop efficient tools both for derivation of existence and uniqueness results and for creation of solution methods. CitationKazan University, Kazan, March … Read more
The central objective of this paper is to develop a transparent, consistent, self-contained, and stable country risk rating model, closely approximating the country risk ratings provided by Standard and Poor’s (S&P). The models should be non-recursive, i.e., they should not rely on the previous years’ S&P ratings. The selected set of variables includes not only … Read more
In this paper, we study the pricing problem for the class of multiasset European options with piecewise linear convex payoff in the asset prices. We derive a simple upper bound on the price of this option by constructing a static super-replicating portfolio using cash and options on smaller subsets of assets. The best upper bound … Read more
In order to achieve stable and sustainable systems for recycling post-consumer goods, frequently it is necessary to concentrate the flows from many collection points of suppliers to meet the volume requirements for the recycler. The collection network must be grown over time to maximize the collection volume while keeping costs as low as possible. This … Read more
In this paper a covering model for locating facilities with time-dependent demand is introduced. Not only the facility locations, but also the instants at which such facilities become operative, are considered as decision variables in order to determine the maximal-profit decision. Expressed as a mixed nonlinear integer program, structural properties are derived for particular demand … Read more
This paper deals with the so-called transportation problem of linear stochastic fractional programming, and emphasizes the wide applicability of LSFP. The transportation problem, received this name because many of its applications involve in determining how to optimally transport goods. However, some of its applications (e.g., production scheduling) actually have nothing to do with transportation. The … Read more
This paper describes a problem of interdicting/jamming wireless communication networks in uncertain environments. Jamming communication networks is an important problem with many applications, but has received relatively little attention in the literature. Most of the work on network interdiction is focused on preventing jamming and analyzing network vulnerabilities. Here, we consider the case where there … Read more
The block layout problem for a multi-floor facility is an important sub class of the facility layout problem with practical applications when the price of land is high or when a compact building allows for more efficient environmental control. Several alternative formulations for the block layout problem of a multi-floor facility are presented, where the … Read more
We present experimental results on portfolio optimization problems with return errors under the robust optimization framework. We use several a histogram-like model for return deviations, and a model that allows correlation among errors, together with a cutting-plane algorithm which proves effective for large, real-life data sets. CitationColumbia Center for Financial Engineering Report 2007-01 Columbia University, … Read more
In this paper, we study extensions of the classical Markowitz mean-variance portfolio optimization model. First, we consider that the expected asset returns are stochastic by introducing a probabilistic constraint which imposes that the expected return of the constructed portfolio must exceed a prescribed return threshold with a high confidence level. We study the deterministic equivalents … Read more