Concepts for safety stock determination under stochastic demand and different types of random production yield

We consider a manufacturer’s stochastic production/inventory problem under periodic review and present methods for safety stock determination to cope with uncertainties that are caused by stochastic demand and different types of yield randomness. Following well-proven inventory control concepts for this problem type, we focus on a critical stock policy with a linear order release rule. A central parameter of this type of policy is given by the safety stock value. When non-zero manufacturing lead times are taken into account in the random yield context, it turns out that safety stocks have to be determined that vary from period to period. We present a simple approach for calculating these dynamic safety stocks for different yield models. Additionally, we suggest approaches for determining appropriate static safety stocks that are easier to apply in practice. In a simulation study we investigate the performance of the proposed safety stock variants.     

Managing inventory and service levels in a safety stock‐based inventory routing system with stochastic retailer demands

The inherent uncertainty in supply chain systems compels managers to be more perceptive to the stochastic nature of the systems' major parameters, such as suppliers' reliability, retailers' demands, and facility production capacities. To deal with the uncertainty inherent to the parameters of the stochastic supply chain optimization problems and to determine optimal or close to optimal policies, many approximate deterministic equivalent models are proposed. In this paper, we consider the stochastic periodic inventory routing problem modeled as chance‐constrained optimization problem. We then propose a safety stock‐based deterministic optimization model to determine near‐optimal solutions to this chance‐constrained optimization problem. We investigate the issue of adequately setting safety stocks at the supplier's warehouse and at the retailers so that the promised service levels to the retailers are guaranteed, while distribution costs as well as inventory throughout the system are optimized. The proposed deterministic models strive to optimize the safety stock levels in line with the planned service levels at the retailers. Different safety stock models are investigated and analyzed, and the results are illustrated on two comprehensively worked out cases. We conclude this analysis with some insights on how safety stocks are to be determined, allocated, and coordinated in stochastic periodic inventory routing problem. Copyright © 2017 John Wiley & Sons, Ltd.     

Safety stocks — an example of theory and practice in O.R.

The problem treated in this paper concerns the determination of safety stocks as a function of the degree of service. Approximative formulae are found for all the cases with non-negative reorder level and with standard deviation of the demand in the lead time not larger than the expected value of that demand. A flow diagram for determining safety stocks is given. In conclusion some remarks are made on the difference between theory and practice in OR, especially with respect to the problemshift triggered by the analysis.     

Buffering from material recovery uncertainty in a recoverable manufacturing environment

Remanufacturing is becoming an increasingly important alternative to firms as they develop environmentally sound strategies aimed at minimizing waste and resources. Remanufacturing helps minimize costs through such methods as extending product life cycles via refurbishments and technical upgrades which require only a fraction of the resources and energy associated with a new product. The remanufacturing environment is characterized by a far greater degree of uncertainty than new manufacturing, due to such factors as material recovery uncertainty and probabilistic routings. In this study the use of safety stocks, with a material requirement planning system, to deal with the high inherent uncertainty in the system is examined. It is shown that some safety stocks must be kept in the system but have limited applicability. Additional safety stocks do not provide the manager in this environment with any added benefit beyond that obtained by keeping a minimum recommended level. The results obtained are somewhat counter-intuitive, since adding additional levels of safety stock does not add additional coverage when lead times are greater than one planning period. This lead time effect is explained fully and recommendations as to safety stock level to invest in are made.     

The Safety Stock Syndrome

This paper investigates the role of safety stocks in fixed order quantity-reorder point inventory systems. A common confusion over the notion of a shortage probability is shown to lead to methods which encourage excessive safety stocks. An alternative approach, proposed by R. G. Brown, is validated under quite general demand conditions. When combined with a numerical example, it is shown that negative safety stocks may be the rational response to the problem of uncertain demands, even when high levels of service are required.     

Stock timing using genetic algorithms

In this paper, a genetic algorithm to search a set of technical trading rules which gives buying and selling advices about individual stocks is proposed. This approach is tested out of a sample of 24 French stocks among the most important stocks traded on the French market. We show that in most cases, the method outperforms a simple buy and hold strategy. However, we also illustrate the fact that the near‐optimal set of rules varies through time and across stocks. Copyright © 2002 John Wiley & Sons, Ltd.     

中国股市大公司与小公司股票动态价格关系研究——以钢铁行业为例

从中国上海和深圳股票市场选择了钢铁股票22家,根据差别信息集理论,探究了该行业内股票价格的长期协动关系以及收益的领先—滞后关系,发现钢铁大公司股票与其小公司股票价格的长期协动关系仅存在于牛市阶段.在熊市阶段,大公司股票的收益对小公司股票收益存在信息领先趋势.并给出了实际操作建议.     

Reliability analysis of a stand-by system with repair and intermediate stocks for failed and repaired units

In this paper we give a reliability analysis of a stand-by system with repair, consisting of N working and N^R stand-by units. Failed and repaired units are collected in intermediate stocks. Concerning the delivery from the intermediate stocks we consider two rules: (i) the collected units are delivered in fixed time intervals; (ii) the units will be delivered when there are k units accumulated. The system fails if a unit that has failed cannot be replaced by a stand-by unit. Using a point process approach we derive approximations for the stationary availability and mean time between failures of the system. Numerical results show that the proposed approximations, which can be handled easily, work well.     

Modeling financial asset returns with shot noise processes

We introduce a new class of continuous time processes for modeling the rate of returns of financial assets. The statistical characterization is based on the so-called shot noise processes. The probabilistic structure of the shot noise process provides a very realistic framework for asset returns modeling of the stock price processes. Our class of processes exhibits the natural phenomena well known in empirical financial studies:

1. (a) fat-tail distribution function for the asset returns,

2. (b) dependence of the returns,

3. (c) nonstationarity in time.

Financial asset returns in new emerging markets such as those of Eastern European countries exhibit a highly volatile behavior. Statistical investigations of the unconditional distribution of returns of stocks, commodities, exchange rates, etc., show extremely heavy tails and steep peaks around the expectation. We use a class of shot noise processes with Poissonian times and Brownian magnitudes for modeling this phenomenon.     

Optimal Investment in a Levy Market

In this paper we consider the optimal investment problem in a market where the stock price process is modeled by a geometric Levy process (taking into account jumps). Except for the geometric Brownian model and the geometric Poissonian model, the resulting models are incomplete and there are many equivalent martingale measures. However, the model can be completed by the so-called power-jump assets. By doing this we allow investment in these new assets and we can try to maximize the expected utility of these portfolios. As particular cases we obtain the optimal portfolios based in stocks and bonds, showing that the new assets are superfluous for certain martingale measures that depend on the utility function we use.     

An integrated production and inventory model to dampen upstream demand variability in the supply chain

We consider a two-echelon supply chain: a single retailer holds a finished goods inventory to meet an i.i.d. customer demand, and a single manufacturer produces the retailer’s replenishment orders on a make-to-order basis. In this setting the retailer’s order decision has a direct impact on the manufacturer’s production. It is a well known phenomenon that inventory control policies at the retailer level often propagate customer demand variability towards the manufacturer, sometimes even in an amplified form (known as the bullwhip effect). The manufacturer, however, prefers to smooth production, and thus he prefers a smooth order pattern from the retailer. At first sight a decrease in order variability comes at the cost of an increased variance of the retailer’s inventory levels, inflating the retailer’s safety stock requirements. However, integrating the impact of the retailer’s order decision on the manufacturer’s production leads to new insights. A smooth order pattern generates shorter and less variable (production/replenishment) lead times, introducing a compensating effect on the retailer’s safety stock. We show that by including the impact of the order decision on lead times, the order pattern can be smoothed to a considerable extent without increasing stock levels. This leads to a situation where both parties are better off.     

复杂网络视角下的我国股票之间信息溢出研究

理解股票市场内部股票间的信息溢出规律,对于股票定价、投资组合以及风险防范具有重要的意义。将传统计量经济方法与复杂网络的建模分析方法相结合,从复杂网络的视角出发,实证研究了我国股票市场内股票间的信息溢出关系及其影响因素、个股信息溢出能力分布及其影响因素。研究发现,股票间较长期收益的相互影响要强于较短期收益;股票收益率相关性较强的股票间存在更显著的信息溢出;市场因素显著增强了股票间的信息溢出效应;股票间的信息溢出效应会随着市场行情的上涨(下跌)而增强(减弱);股票的信息溢出能力呈现尖峰、厚右尾的分布;股票成交金额对个股的信息溢出能力具有显著的正向影响。最后,最小生成树能快速而准确有效地揭示股票间信息溢出规律。     

The multivariate non-homogeneous Markov manpower system in a departmental mobility framework

The present paper proposes a non-homogeneous multivariate Markov manpower system in the general category of mathematical human resource planning. More specifically, we suggest a model, which takes into account the divisions existing in an organization categorizing its employees into several groups (departments). In this context, it considers not only possible transitions within the departments (intra-department transitions), but also, transfers of personnel between departments (inter-department transitions). Additionally, the proposed modeling structure is accompanied by cost and stocks (personnel) objectives which are set and in the sequel could be achieved by controlling either the recruitment policy or the allocation policy of employees transferred to other departments (or both). We use a minmax fuzzy goal-programming approach, under different operating assumptions, in order to keep the operational cost below desired aspiration levels and reach desirable stock structures in the presence of system’s constraints and regulations. The paper concludes with a numerical illustration.     

中国市场行业内反转收益研究

研究我国A股市场更广泛存在的短期反转收益——月度行业内反转收益.行业内反转收益是传统的非条件反转收益在行业维度上的分解收益.非条件反转被定义为没有加入行业风格的反转策略,它是指单纯的买入基本面输家组合与卖出基本面赢家组合的反转策略.相对于非条件反转策略,行业内反转策略收益表现更加良好,甚至在高流动性,大市值股票样本中仍然能获得显著的α收益.从投资者对公开信息的反应以及订单流不平衡两个角度探究月度行业内反转收益的来源,发现行业内反转主要受到订单流不平衡的驱使,而不是由于投资者对公开信息的过度反应.     

Approximate Stock Formulae for Use in Conjunction with the Assortment Problem

This paper considers the calculation of the total stocks which must be held in order to maintain a given service level when the assortment problem approach of dynamic programming is used to select the standard stock sizes. Approximate formulae are derived to calculate the safety and working stocks for any number of standard sizes, assuming that the value of the demand for each stock size is approximately equal. It is shown that even very large reductions in the number of stock lines do not produce correspondingly large reductions in stock levels.     

保险赔付中的最优对冲策略

本文对带有付费过程$A_t$的保险公司在金融市场$(S_t,Q_t,B_t)$上通过购买股票$S_t$、兑换外币$Q_t$以及购买无风险资产$B_t$的投资过程而采取的最优投资策略, 使保险公司所面临的风险最小进行探讨. 利用Galtchouk-Kunita-Watanabe分解定理将风险表达式重新表达, 从而找到保险公司所能采取的风险最小的最优对冲策略. 文中举出一个具有现实性意义的例子将文章的重要结论加以应用, 使本文更具有应用价值.     

Using parallel & distributed computing for real-time solving of vehicle routing problems with stochastic demands

This paper focuses on the Vehicle Routing Problem with Stochastic Demands (VRPSD) and discusses how Parallel and Distributed Computing Systems can be employed to efficiently solve the VRPSD. Our approach deals with uncertainty in the customer demands by considering safety stocks, i.e. when designing the routes, part of the vehicle capacity is reserved to deal with potential emergency situations caused by unexpected demands. Thus, for a given VRPSD instance, our algorithm considers different levels of safety stocks. For each of these levels, a different scenario is defined. Then, the algorithm solves each scenario by integrating Monte Carlo simulation inside a heuristic-randomization process. This way, expected variable costs due to route failures can be naturally estimated even when customers’ demands follow a non-normal probability distribution. Use of parallelization strategies is then considered to run multiple instances of the algorithm in a concurrent way. The resulting concurrent solutions are then compared and the one with the minimum total costs is selected. Two numerical experiments allow analyzing the algorithm’s performance under different parallelization schemas.     

我国基金博彩型股票交易是博彩偏好的结果吗？——基于信息挖掘视角

本文从信息挖掘入手,利用基金持股数据分析基金持有博彩型股票背后的原因。结果表明:基金博彩型股票持股显著提高了股价同步性,基金博彩型股票交易在整体上关注非基本面信息,仅在市场情绪低落时关注基本面信息,表明基金博彩型股票交易中存在信息交易,并不是纯粹的博彩偏好的结果。本文的研究一定程度上解释了基金持有博彩型股票的动机,并为监管当局深入了解基金择股能力和投资行为提供了参考依据。     

Mixed-integer programming approaches for index tracking and enhanced indexation

We consider the problem of reproducing the performance of a stock market index, but without purchasing all of the stocks that make up the index, index tracking. We also consider the problem of out-performing the index, enhanced indexation. We present mixed-integer linear programming formulations of these problems. Our formulations include transaction costs, a constraint limiting the number of stocks that can be purchased and a limit on the total transaction cost that can be incurred. As our formulations of these problems are mixed-integer linear programs we can use a standard solver (Cplex). Numeric results are presented for eight data sets drawn from major markets. The largest of these data sets involves over 2000 stocks.     

Quantile regression for index tracking and enhanced indexation

Quantile regression differs from traditional least-squares regression in that one constructs regression lines for the quantiles of the dependent variable in terms of the independent variable. In this paper we apply quantile regression to two problems in financial portfolio construction, index tracking and enhanced indexation. Index tracking is the problem of reproducing the performance of a stock market index, but without purchasing all of the stocks that make up the index. Enhanced indexation deals with the problem of out-performing the index. We present a mixed-integer linear programming formulation of these problems based on quantile regression. Our formulation includes transaction costs, a constraint limiting the number of stocks that can be in the portfolio and a limit on the total transaction cost that can be incurred. Numeric results are presented for eight test problems drawn from major world markets, where the largest of these test problems involves over 2000 stocks.