Simultaneous optimization of capacity and planned lead time in a two-stage production system with different customer due dates

We consider a two-stage make-to-order manufacturing system with random demands, processing times, and distributed customer due dates. The work to each stage is released based on a planned lead time. A general approach to minimize total inventory holding and customer order tardiness cost is presented to find the optimal manufacturing capacities and planned lead times for each manufacturing stage. Expressions are derived for work-in process inventories, finished-goods-inventory and expected backorders under the assumption of a series of M/M/1 queuing systems and exponentially distributed customer required lead times. We prove that the distribution of customer required lead time has no influence on the optimal planned lead times whenever capacity is predefined but it influences the optimal capacity to invest into. For the simultaneous optimization of capacity and planned lead times we present a numerical study that shows that only marginal cost decreases can be gained by setting a planned lead time for the upstream stage and that a considerable cost penalty is incurred if capacity and planned lead time optimization are performed sequentially.     

On the equivalence of quadratic optimization problems commonly used in portfolio theory

In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e., the Markowitz mean–variance problem as well as the problems based on the mean–variance utility function and the quadratic utility. Conditions are derived under which the solutions of these three optimization procedures coincide and are lying on the efficient frontier, the set of mean–variance optimal portfolios. It is shown that the solutions of the Markowitz optimization problem and the quadratic utility problem are not always mean–variance efficient.     

Risk analysis with contractual default. Does covenant breach matter?

Mergers and acquisitions (M&A), private equity and leveraged buyouts, securitization and project finance are characterized by the presence of contractual clauses (covenants). These covenants trigger the technical default of the borrower even in the absence of insolvency. Therefore, borrowers may default on loans even when they have sufficient available cash to repay outstanding debt. This condition is not captured by the net present value (NPV) distribution obtained through a standard Monte Carlo simulation. In this paper, we present a methodology for including the consequences of covenant breach in a Monte Carlo simulation, extending traditional risk analysis in investment planning. We introduce a conceptual framework for modeling technical and material breaches from the standpoint of both lenders and shareholders. We apply this framework to a real case study concerning the project financing of a 64-million euro biomass power plant. The simulation is carried out on the actual model developed by the financial advisor of the project and made available to the authors. Results show that both technical and material breaches have a statistically significant impact on the net present value distribution, and this impact is more relevant when leverage and cost of debt increase.     

Renewable energy investments under different support schemes: A real options approach

This paper adopts a real options approach to analyze investment timing and capacity choice for renewable energy projects under different support schemes. The main purpose is to examine investment behavior under the most extensively employed support schemes, namely, feed-in tariffs and renewable energy certificate trading. We consider both multiple sources of uncertainty under each support scheme and uncertainty with respect to any change of support scheme, and we obtain both analytical (when possible) and numerical solutions. In a Nordic case study based on wind power, we find that the feed-in tariff encourages earlier investment. Nevertheless, as investment has been undertaken, renewable energy certificate trading creates incentives for larger projects. In our baseline scenario and taking the fixed feed-in tariff as a base, the revenue required to trigger investments is 61% higher with renewable certificates. At the same time, investment capacity is 61% higher.     

Enhancement of equity portfolio performance using data envelopment analysis

This paper examines the applicability of data envelopment analysis (DEA) as a basis of selection criteria for equity portfolios. It is the first DEA application for constructing a combined equity investment strategy that aims to integrate the benefits of both value investing and momentum investing. The 3-quantile portfolios are composed of a comprehensive sample of Finnish non-financial stocks based on their DEA efficiency scores that are calculated using three variants of DEA models (the constant returns-to-scale, the super-efficiency, and the cross-efficiency models). The performance of portfolios is evaluated on the basis of the average return and several risk-adjusted performance metrics throughout the 1994–2010 sample period.     

Use of experiment and an inverse method to study interface heat transfer during solidification in the investment casting process

A technique to determine the thermal boundary conditions existing during the solidification of metallic alloys in the investment casting process is presented. Quantitative information about these conditions is needed so that numerical models of heat transfer in this process produce accurate results. In particular, the variation of the boundary conditions both spatially and temporally must be known. The method used involves the application of a new inverse heat conduction method to thermal data recorded during laboratory experiments of aluminium alloy solidification in investment casting shell moulds. The resultant heat transfer coefficient for the alloy/mould interface is calculated. An experimental programme to determine requisite mould thermal properties was also undertaken. It was observed that there is significant variation of the alloy/mould heat transfer coefficient during solidification. It is found to be highly dependent on the alloy type and on the vertical position below the initial free surface of the liquid metal. The aluminium casting alloys used in this study were 413, A356, 319 (Aluminum Association designations), and commercially pure aluminium. These alloys have significantly different freezing ranges. In particular, it was found that alloys with a high freezing range solidify with rates of heat transfer to the mould which are very sensitive to metallostatic head.     

投资与融资优化决策模型研究综述分析

本文对投资与融资优化模型及研究思路进行了分析,并对各类模型的改进或拓宽做了进一步讨论,为更深入研究组合投资和资本结构总体优化问题作准备。     

最优投资及最优消费策略

本文假设证券市场为有效竞争均衡市场，在文［１］的基础上，探讨最优投资及最优消费策略，得到最优投资与最优消费决策条件。     

第一类椭圆型方程组的Neumann边值问题

本文我们运用函数理论方法，讨论了具有光滑边界的有界区域的第一类椭圆型方程组的Neumann边值问题，这些结果不仅推广了文献Hua,Lin,Wu[1]的结果，而且有很好的理论和现实意义。     

Should you stop investing in a sinking fund when it is sinking?

Many people invest regularly in sinking funds that track stock market indices. When stock markets themselves sink significantly, as in the current credit crunch, investors face a decision as to whether they should continue paying into a falling fund, or switch payment to a risk-free deposit account until the market recovers. Most financial advice is to keep investing on the grounds that as the unit price falls more units can be purchased and that this is ultimately beneficial (dollar-cost averaging, DCA) However, most academic studies show that DCA is sub-optimal, at least to a lump sum strategy. In this paper we consider a specific, tax-free fund – the Individual Savings Account (ISA). We demonstrate, both analytically and numerically, that in a situation of perfect information a stop and restart policy can beat DCA. From these results we test some heuristics that could be used by an everyday investor under real-world conditions of uncertainty and volatility.