Channel rebates and returns policies are common mechanisms for manufacturers to entice retailers to increase their order quantities and sales ultimately. However, when the underlying demand depends on the retail price, it has been known that channel coordination cannot be achieved if only one of...

We consider a joint inventory-pricing control problem in a single-product, periodic-review, dual-supplier inventory system. The two suppliers have different lead times. One expedited supplier offers instantaneous replenishment, and one regular supplier requires an L-period lead time for...

This paper considers a multi-period news-vendor problem with partially observed supply-capacity information which evolves as a Markovian Process. The supply capacity is fully observed by the buyer when the capacity is smaller than the buyer's ordering quantity. Otherwise, the buyer knows that...

This paper considers a multiperiod inventory model in which a supplier provides alternative lead-time choices to customers: a short or a long lead time. The supplier operates in a batch-production mode. Orders from slow customers can be taken by the supplier and included in the next production...

We propose a model where customers are classified into two groups: short lead-time customers who require the product immediately and long lead-time customers to whom the supplier may deliver either immediately or in the next cycle. Unmet orders are backlogged with associated costs. Specifically,...

Different risk measures emphasize different aspects of a random loss. If we examine the investment performance according to different spectra of the risk measures, any policy generated from a mean-risk portfolio model with a sole risk measure may not be a good choice. We study in this paper the...

We propose a counter-cyclical initial margin model for option portfolios. Our model explores the intrinsic netting within a given portfolio of European options and outputs a constant upper bound of the maximum possible loss. This feature would allow option clearinghouses and regulators to gauge...

Since Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literature in the past half century adhere their investigation to a binding budget spending assumption on this classical investment issue. In the mean-variance world for a market of all risky...

We investigate a discrete-time mean-risk portfolio selection problem, where risk is measured by the conditional value-at-risk (CVaR). By embedding this time-inconsistent problem into a family of expected utility maximization problems with a piecewise linear utility function, we solve the problem...

The current literature on behavioral portfolio optimization with reference point updating assumes that the decision maker foresees how the reference point will evolve and thus solves a time-consistent problem formulation. Empirical findings on the other hand suggest that decision makers often...