相关论文: Optimal Dynamic Procurement Policies for a Storabl…

We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…

In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit…

This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…

We consider the single-item single-stocking location stochastic inventory system under a fixed ordering cost component. A long-standing problem is that of determining the structure of the optimal control policy when this system is subject…

We consider the following two deterministic inventory optimization problems over a finite planning horizon $T$ with non-stationary demands. (a) Submodular Joint Replenishment Problem: This involves multiple item types and a single retailer…

Assortment optimization concerns the problem of selling items with fixed prices to a buyer who will purchase at most one. Typically, retailers select a subset of items, corresponding to an "assortment" of brands to carry, and make each…

Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification, various forms of distributionally robust optimization have been applied. Although many of these…

In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…

We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow…

We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…

We study a problem of an online retailer who observes the unit sales of a product, and dynamically changes the retail price, in order to maximize the expected revenue. Assuming the demand of the product is price sensitive, we are interested…

We consider a multi-stage stochastic lot-sizing problem with service level constraints and supplier-driven product substitution. A firm has multiple products and it has the option to meet demand from substitutable products at a cost.…

We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…

Service platforms must determine rules for matching heterogeneous demand (customers) and supply (workers) that arrive randomly over time and may be lost if forced to wait too long for a match. Our objective is to maximize the cumulative…

We present a new microscopic stochastic model for an ensemble of interacting investors that buy and sell stocks in discrete time steps via limit orders based on individual forecasts about the price of the stock. These orders determine the…

This paper studies the problem of optimally extracting nonrenewable natural resources. Taking into account the fact that the market values of the main natural resources i.e. oil, natural gas, copper,..., etc, fluctuate randomly following…

The global markets provide enterprises with selling opportunities and challenges in stabilizing operational strategies. From the perspective of production management, it is important to improve the profitability of an enterprise by…

This paper extends the single-item single-stocking location non-stationary stochastic inventory problem to relax the assumption of independent demand. We present a mathematical programming-based solution method that relaxes the assumption…

Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…

We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…