Many carriers, such as airlines and ocean carriers, collaborate through the formation of alliances. The detailed alliance design is clearly important for both the stability of the alliance and profitability of the alliance members. This work is motivated by a real-life liner shipping "resource...

In a recent article Jennrich and Satorra (Psychometrika 78: 545–552, <CitationRef CitationID="CR2">2013</CitationRef>) showed that a proof by Browne (British Journal of Mathematical and Statistical Psychology 37: 62–83, <CitationRef CitationID="CR1">1984</CitationRef>) of the asymptotic distribution of a goodness of fit test statistic is incomplete because it fails to prove...</citationref></citationref>

We take advantage of the interpretation of stochastic capacity expansion problems as stochastic equilibrium models for assessing the risk exposure of new equipment in a competitive electricity economy. We develop our analysis on a standard multistage generation capacity expansion problem. We...

We take advantage of the interpretation of stochastic capacity expansion problems as stochastic equilibrium models for assessing the risk exposure of new equipment in a competitive electricity economy. We develop our analysis on a standard multistage generation capacity expansion problem. We...

In this paper we study relations between the minimax, risk averse and nested formulations of multistage stochastic programming problems. In particular, we discuss conditions for time consistency of such formulations of stochastic problems. We also describe a connection between law invariant...

We discuss in this paper statistical inference of sample average approximations of multistage stochastic programming problems. We show that any random sampling scheme provides a valid statistical lower bound for the optimal (minimum) value of the true problem. However, in order for such lower...

In this paper we show how an optimization problem involving the expected performance of a stochastic system can be estimated using a single simulation experiment. The proposed method is based on a probability measure transformation and generation of a stochastic counterpart to the deterministic...

This article investigates a fund manager's risk-taking incentives induced by an increasing and convex relationship of fund flows to relative performance. In a dynamic portfolio choice framework, we show that the ensuing convexities in the manager's objective give rise to a finite risk-shifting...

We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk models, and optimality and duality theory for problems involving risk...