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...

We consider a single stage inventory system with stochastic capacity. The manager receives forecasts from the upstream source about future capacity availability within an information horizon, referred to as "advance supply information". We study two main questions: (i) How can advance supply...