A capital allocation based on a solvency exchange option

In this paper we propose a new capital allocation method based on an idea of [Sherris, M., 2006. Solvency, capital allocation and fair rate of return in insurance. J. Risk Insurance 73 (1), 71-96]. The proposed method explicitly accommodates the notion of limited liability of the shareholders. We show how the allocated capital can be decomposed, so that each stakeholder can have a clearer understanding of their contribution. We also challenge the no undercut principle, one of the widely accepted allocation axioms, and assert that this axiom is merely a property that certain allocation methods may or may not meet.     

一类网络成本分配函数的规范性质

该文以数学方法论证了一类网络成本分配函数的性质,证明了成本分配函数具有规范形式的充要条件是它满足无记名性,可加性和等价性。并进一步论证了若成本分配函数还具有对成员数的单调递减性,它必是下游均等分配函数。     

Cost allocation and convex data envelopment

This paper considers allocation rules. First, we demonstrate that costs allocated by the Aumann–Shapley and the Friedman–Moulin cost allocation rules are easy to determine in practice using convex envelopment of registered cost data and parametric programming. Second, from the linear programming problems involved it becomes clear that the allocation rules, technically speaking, allocate the non-zero value of the dual variable for a convexity constraint on to the output vector. Hence, the allocation rules can also be used to allocate inefficiencies in non-parametric efficiency measurement models such as Data Envelopment Analysis (DEA). The convexity constraint of the BCC model introduces a non-zero slack in the objective function of the multiplier problem and we show that the cost allocation rules discussed in this paper can be used as candidates to allocate this slack value on to the input (or output) variables and hence enable a full allocation of the inefficiency on to the input (or output) variables as in the CCR model.     

缺货情形下轴辐式库存的纵横向协作调拨

电子商务发展要求缩短供需端距离,便于提高供应链柔性运作水平,以更好的响应市场需求,这使得仓配环节的纵横向库存协作调拨面临严峻挑战。为此,本文针对零售行业的轴辐式二级库存系统,考虑可用库存及调拨能力限制,以缺货情形下的额外履约成本及销量损失最小化为优化目标,构建纵向及横向综合库存调拨模型,优化每日库存调拨方案。在此基础上,利用改进的三层编码形式的遗传算法对模型进行求解,并通过算例验证了模型及算法的有效性。     

Allocation of jobs and identical resources with two pooling centers

We examine the resource allocation problem of partitioning identical servers into two parallel pooling centers, and simultaneously assigning job types to pooling centers. Each job type has a distinct Poisson arrival rate and a distinct holding cost per unit time. Each pooling center becomes a queueing system with an exponential service time distribution. The goal is to minimize the total holding cost. The problem is shown to be polynomial if a job type can be divided between the pooling centers, and NP-hard if dividing job types is not possible. When there are two servers and jobs cannot be divided, we demonstrate that the two pooling center configuration is rarely optimal. A heuristic which checks the single pooling center has an upper bound on the relative error of 4/3. The heuristic is extended for the multiple server problem, where relative error is bounded above by the number of servers.      

资源公平分配的遗传算法研究

文章对决策优化的经典问题席位公平分配进行了研究，提出应用遗传算法对该模型进行求解。两例资源公平分配决策实例研究表明，遗传算法优化结果较其它方法都更合理。     

博弈联盟模糊收益的分配

提出了联盟模糊收益合理分配的一种新方法.首先,在模糊收益α截集上定义了α合理分配集,分析了该分配集与模糊收益Shapley值的关系.接着,给出了模糊收益的α合理Shapley分配函数,对其性质进行了讨论.然后,构造了模糊合理Shapley分配,证明其连续性,得到了联盟模糊收益与模糊合理Shapley分配具有包含关系的结论.     

Almost exact risk budgeting with return forecasts for portfolio allocation

We revisit the portfolio allocation problem with designated risk-budget. We generalize the problem of arbitrary risk budgets with unequal correlations to one that includes return forecasts and transaction costs while keeping the no-shorting constraint. We offer a convex second order cone formulation that scales well with the number of assets and explore solutions to problem variants - on equity-bond asset allocation problems as well as formulating portfolios using index constituents from the NASDAQ100 index, illustrating the benefits of this approach.     

Fixed cost and resource allocation based on DEA cross-efficiency

In many managerial applications, situations frequently occur when a fixed cost is used in constructing the common platform of an organization, and needs to be shared by all related entities, or decision making units (DMUs). It is of vital importance to allocate such a cost across DMUs where there is competition for resources. Data envelopment analysis (DEA) has been successfully used in cost and resource allocation problems. Whether it is a cost or resource allocation issue, one needs to consider both the competitive and cooperative situation existing among DMUs in addition to maintaining or improving efficiency. The current paper uses the cross-efficiency concept in DEA to approach cost and resource allocation problems. Because DEA cross-efficiency uses the concept of peer appraisal, it is a very reasonable and appropriate mechanism for allocating a shared resource/cost. It is shown that our proposed iterative approach is always feasible, and ensures that all DMUs become efficient after the fixed cost is allocated as an additional input measure. The cross-efficiency DEA-based iterative method is further extended into a resource-allocation setting to achieve maximization in the aggregated output change by distributing available resources. Such allocations for fixed costs and resources are more acceptable to the players involved, because the allocation results are jointly determined by all DMUs rather than a specific one. The proposed approaches are demonstrated using an existing data set that has been applied in similar studies.     

线性可替代资源的多阶段分配模型与求解

可替代资源是指在产品生产过程中具有相同功能且能相互替代的资源。本文根据可替代资源之间通常具有的级性替代关系，建立了线性可替代资源的多阶段分配模型，并在产品生产水平与产品需求的加权相对偏最小的目标下，给出了求模型优解的方法．