We customize factor attribution for quantitative equity portfolios to better align the measurement of factor returns with how factor tilts were taken on. Specifically, we provide a theoretical argument for including the absolute value of factor exposures in the attribution to account for the...

Deterministic mathematical programming models that capture network effects play a predominant role in the theory and practice of airline revenue management. These models do not address important issues like demand uncertainty, nesting, and the dynamic nature of the booking process....

Dynamic capacity management is the reassignment of aircraft to a flight schedule in response to the realisation of demand. Through better matching of the supply and demand for seats, airlines are able to carry more passengers, and the revenue management policy should be adjusted accordingly....

A periodical multi-product pricing and inventory control problem with applications to production planning and airline revenue management is studied. The objective function of the single-period model is shown to be convex for certain types of demand distributions, thus tractable for large...

We investigate a strategy of investing in diversified portfolios with a historically optimal factor profile, which we refer to as ‘factor tilting'. The proposed approach approximates the optimal strategy for risk-averse investors under the assumptions of Arbitrage Pricing Theory. Moving beyond...

We found that it is important to address currency risk to take full advantage of the benefits of minimum-volatility investing. In our backtest that extended back to 1979, we found that hedging currency risk would have led to a higher Sharpe ratio by decreasing risk while maintaining return at a...

We study the dynamic seat inventory control problem for a single-leg flight with multiple fare classes under imperfect market segmentation, when customers book the lowest available class whose restrictions they can meet and whose fare they are willing to pay. This is more realistic than the...

Mathematical programming models for airline seat inventory control provide booking limits and bid-prices for all itineraries and fare classes. E.L. Williamson [Airline network seat inventory control: methodologies and revenue impacts, Ph.D. thesis, Massachusetts Institute of Technology,...