We study the problem of a retailer that maximizes profit through joint replenishment, pricing and removal decisions. This problem is motivated by the observation that retailers usually retain rights to remove inventory from their network either by returning it to the suppliers or through...

In this paper we study the application of the Black-Litterman model to an active fixed-income portfolio management. We present a rigorous derivation of the model in a general setting and then move on to apply it to active management. We derive the characteristics of the fixed-income portfolio we...

This study investigates the relationship between operational efficiency and stock performance. The analysis is conducted by building an efficiency-based stock selection strategy and assessing its performance over different investment horizons in a contextual and empirical setting provided by the...

Risk-based asset allocation models have received considerable attention in recent years. This increased popularity is due in part to the difficulty in estimating expected returns as well as the financial crisis of 2008 which has helped reinforce the key role of risk in asset allocation. In this...

This study develops a data-driven group variable selection method for data envelopment analysis (DEA), a non-parametric linear programming approach to the estimation of production frontiers. The proposed method extends the group Lasso (least absolute shrinkage and selection operator) designed...

Rosling (1989), one of the classic papers in inventory theory, studies an assembly system with stochastic demand. Under the condition that the initial state of the system possesses a certain property referred to as "long-run balance," the optimal policy is characterized as a balanced echelon...

We study an assembly system with stochastic demand. This is the model studied in Rosling (1989), one of the classic papers in inventory theory, where the optimal policy is characterized as a balanced echelon base-stock policy, assuming that the initial state of the system possesses a certain...

We consider a repeated newsvendor problem in which the decision-maker (DM) does not have access to the underlying demand distribution. The goal of the paper is to characterize the implications of demand censoring on performance. To that end, we compare the benchmark setting in which the DM has...