Nelder–Mead simplex method (NM), originally developed in deterministic optimization, is an efficient direct search method that optimizes the response function merely by comparing function values. While successful in deterministic settings, the application of NM to simulation optimization...

Integrated assessment models that combine geophysics and economics features are often used to evaluate and compare global warming policies. Because there are typically profound uncertainties in these models, a simulation approach is often used. This approach requires the distribution of the...

Conditional value at risk (CVaR) is both a coherent risk measure and a natural risk statistic. It is often used to measure the risk associated with large losses. In this paper, we study how to estimate the sensitivities of CVaR using Monte Carlo simulation. We first prove that the CVaR...

Estimating quantile sensitivities is important in many optimization applications, from hedging in financial engineering to service-level constraints in inventory control to more general chance constraints in stochastic programming. Recently, Hong (Hong, L. J. 2009. Estimating quantile...

Screening experiments are performed to eliminate unimportant factors efficiently so that the remaining important factors can be studied more thoroughly in later experiments. This paper proposes controlled sequential factorial design (CSFD) for discrete-event simulation experiments. It combines a...

Using a sample of listed Chinese firms between 2000 and 2010, the paper analyzes the stock market reaction to CEO succession. We document significantly positive cumulative abnormal returns when CEO succession is accompanied with increased political connections. We also show that the market...

Many outpatient clinics are experimenting with open access scheduling. Under open access, patients see their physicians within a day or two of making their appointment request, and long term patient booking is very limited. The hope is that these short appointment lead times will improve patient...

Previous studies document that the stock returns of bond-issuing firms significantly underperform matched peers over the three to five years following issuance. We revisit this phenomenon and show that the underperformance is the result of an omitted return factor (a "bad model problem"). Debt...