考虑投资者异质信念和目标优先级的投资组合问题研究

考虑证券市场的模糊不确定性及投资者的模糊决策特征,以资产收益、下方风险及流动性为模糊投资目标,构建考虑投资者异质信念和目标优先级的多目标投资组合模型。进一步,以我国主板、中小板和创业板市场为背景,采用CPT-TOPSIS交互式算法进行实证分析。研究发现:乐观、理性和悲观投资者权衡收益、风险和流动性目标时偏好的优先顺序不同,导致资产配置结构、最优决策和绩效表现存在差别。结果表明模糊多目标模型能够满足不同投资者权衡多目标的差异化投资需求,取得优于基准随机投资组合的投资效果,可作为投资者投资决策的参考依据。     

Waiting and sojourn times in a multi-server queue with mixed priorities

We consider a multi-server queue with K priority classes. In this system, customers of the P highest priorities (P<K) can preempt customers with lower priorities, ejecting them from service and sending them back into the queue. Service times are assumed exponential with the same mean for all classes. The Laplace–Stieltjes transforms of waiting times are calculated explicitly and the Laplace–Stieltjes transforms of sojourn times are provided in an implicit form via a system of functional equations. In both cases, moments of any order can be easily calculated. Specifically, we provide formulae for the steady state means and the second moments of waiting times for all priority classes. We also study some approximations of sojourn-time distributions via their moments. In a practical part of our paper, we discuss the use of mixed priorities for different types of Service Level Agreements, including an example based on a real scheduling problem of IT support teams.      

An evaluation of value based dispatching rules in a flow shop

Although investment in inventory has been of primary concern in job shops, little attention has been paid to using value-based dispatching rules in an effort to attain satisfactory on-time performance while reducing inventory investment. This paper compares performance based on both time and value measures of three usual time-based rules with six rules which directly incorporate value information in setting priorities. The results indicate that the value-based rules perform their intended function quite well with only slight sacrifice in on-time performance in light to moderately loaded shops. In addition, some of these values rules outperform the best time-based rules on both dimensions in heavily loaded shops.     

Alternative characterizations of Boston mechanism

Kojima and Ünver (forthcoming) are the first to characterize the class of mechanisms coinciding with the Boston mechanism for some priority order. By mildly strengthening their central axiom, we are able to pin down the Boston mechanism outcome for every priority order. Our main result shows that a mechanism is outcome equivalent to the Boston mechanism at every priority if and only if it respects both preference rankings and priorities and satisfies individual rationality for schools. In environments where each student is acceptable to every school, respecting both preference rankings and priorities is enough to characterize the Boston mechanism.     

Controlling multi-indenture repairable inventories of multiple aircraft parts

This paper presents a model for determining stock levels of repairable items supporting a fleet of commercial aircraft operated by a transportation company in the Philippines. The items are characterised by infrequent demand, high cost and a hierarchical (or indentured) structure. The system has three re-supply sources of serviceable parts, namely, the in-house repair shop, the out-house repair shops, and the suppliers. Non-repairable items are scrapped and replaced with new items on a one-for-one basis. The model considers two levels of indenture represented by modules and components. The objective is to minimise the total expected steady-state annual cost of holding inventories and of aircraft delays. A minimum requirement on module availability is also applied. The formulation is such that the regular discrete optimisers available could not be readily used to solve it. The model is implemented on an illustrative problem, employing an integer search for the item stock levels within a limited range.     

Waiting time analysis of a two-stage queueing system with priorities

A two-stage queueing system with two types of customers and non-preemptive priorities is analyzed. There is no waiting space between stages and so the blocking phenomenon is observed. The arrivals follow a Poisson distribution for the high priority customers and a gamma distribution for the low priority customers, while all service times are arbitrarily distributed. We derive expressions for the Laplace transform of the waiting time density of a low priority customer both in the transient and the steady state.     

The impact of transportation delays on repairshop capacity pooling and spare part inventories

In this paper, to serve different fleets of machines at different locations, we study whether repair shop pooling is more cost effective than having dedicated on-site repair shops for each fleet. When modeling the former alternative, we take transportation delays and related costs into account and represent it as a closed queueing network. This allows us to include on-site spare-part inventories that operate according to a continuous-review base-stock policy. We obtain the steady-state distribution of components at each location and the cost of the system with a pooled repair shop by applying the Mean-Value Analysis technique. Our numerical findings indicate that when transportation costs are reasonable, repair shop pooling is a better alternative.     

The Repair Limit Replacement Method

In the repair limit replacement method when an item requires repair it is first inspected and the repair cost is estimated. Repair is only then undertaken if the estimated cost is less than the "repair limit". Dynamic programming methods are used in this paper as a general approach to the problem of determining optimum repair limits. Two problems are formulated and the cases of finite and infinite planning horizons and discounted and undiscounted costs are discussed. Methods are given for allowing for equipment availability and for the introduction of new types of equipment. An improved general formulation for finite time horizon, stochastic, dynamic programming problems is developed.     

New failure and minimal repair processes for repairable systems in a random environment

Most often, minimal repair is defined as a replacement of a failed item by an operable item that has the same distribution of the remaining lifetime as the failed one just prior a failure. This is the so‐called statistical minimal repair extensively explored in the literature. Another well‐known type of minimal repair takes into account the state of a system prior to a failure (the information‐based minimal repair). In this paper, we suggest the new type of minimal repair to be called conditional statistical minimal repair. Our approach goes further and deals with the corresponding minimal repair processes for systems operating in a random environment. Moreover, we also consider heterogeneous populations of items, which makes the model more realistic. Both of these aspects that affect the failure mechanism of items are studied. Environment is modeled by the nonhomogeneous Poisson shock process. Two models for the failure mechanism defined by the extreme shock model and the cumulative shock model, respectively, are considered. Some examples illustrating our findings are presented.     

An Exact Solution for the State Probabilities of the Multi-Class,Multi-Server Queue with Preemptive Priorities

We consider a multi-class, multi-server queueing system with preemptive priorities. We distinguish two groups of priority classes that consist of multiple customer types, each having their own arrival and service rate. We assume Poisson arrival processes and exponentially distributed service times. We derive an exact method to estimate the steady state probabilities. Because we need iterations to calculate the steady state probabilities, the only error arises from choosing a finite number of matrix iterations. Based on these probabilities, we can derive approximations for a wide range of relevant performance characteristics, such as the moments of the number of customers of a certain type in the system en the expected postponement time for each customer class. We illustrate our method with some numerical examples. Numerical results show that in most cases we need only a moderate number of matrix iterations (∼20) to obtain an error less than 1% when estimating key performance characteristics.This revised version was published online in June 2005 with corrected coverdate     

Joint optimization of level of repair analysis and spare parts stocks

In the field of after sales service logistics for capital goods, generally, METRIC type methods are used to decide where to stock spare parts in a multi-echelon repair network such that a target availability of the capital goods is achieved. These methods generate a trade-off curve of spares investment costs versus backorders. Backorders of spare parts lead to unavailability of the capital goods. Inputs in the spare parts stocking problem are decisions on (1) which components to repair upon failure and which to discard, and (2) at which locations in the repair network to perform the repairs and discards. The level of repair analysis (LORA) can be used to make such decisions in conjunction with the decisions (3) at which locations to deploy resources, such as test equipment that are required to repair, discard, or move components. Since these decisions significantly impact the spare parts investment costs, we propose to solve the LORA and spare parts stocking problems jointly. We design an algorithm that finds efficient solutions. In order for the algorithm to be exact and because of its computational complexity, we restrict ourselves to two-echelon, single-indenture problems. In a computational experiment, we show that solving the joint problem is worthwhile, since we achieve a cost reduction of over 43% at maximum (5.1% on average) compared with using a sequential approach of first solving a LORA and then the spare parts stocking problem.     

Analysis of nonpreemptive priority queues with multiple servers and two priority classes

In this paper, we model a priority multiserver queueing system with two priority classes. A high priority customer has nonpreemptive priority over low priority customers. The approaches for solving the problem are the state-reduction based variant of Kao, the modified boundary algorithm of Latouche, the logarithmic reduction algorithm of Latouche and Ramaswami, and the power-series method of Blanc. The objectives of this paper are to present a power-series implementation for the priority queue and to evaluate the relative efficiencies of alternative procedures to compute various performance characteristics. In the paper, we find that at times the logarithmic reduction algorithm may not perform as well as expected and the power-series approach can occasionally pose numerical difficulties.     

Stability and queueing time analysis of a reader-writer queue with alternating exhaustive priorities

This paper considers a reader-writer queue with alternating exhaustive priorities. The system can process an unlimited number of readers simultaneously. However, writers have to be processed one at a time. Both readers and writers arrive according to Poisson processes. Writer and reader service times are general iid random variables. There is infinite waiting room for both. The alternating exhaustive priority policy operates as follows. Assume the system is initially idle. The first arriving customer initiates service for the class (readers or writers) to which it belongs. Once processing begins for a given class of customers, this class is served exhaustively, i.e. until no members of that class are left in the system. At this point, if customers of the other class are in the queue, priority switches to this class, and it is served exhaustively. This system is analyzed to produce a stability condition and Laplace-Stieltjes transforms (LSTs) for the steady state queueing times of readers and writers. An example is also given.     

Repair systems with exchangeable items and the longest queue mechanism

We consider a repair facility consisting of one repairman and two arrival streams of failed items, from bases 1 and 2. The arrival processes are independent Poisson processes, and the repair times are independent and identically exponentially distributed. The item types are exchangeable, and a failed item from base 1 could just as well be returned to base 2, and vice versa. The rule according to which backorders are satisfied by repaired items is the longest queue rule: At the completion of a service (repair), the repaired item is delivered to the base that has the largest number of failed items. We point out a direct relation between our model and the classical longer queue model. We obtain simple expressions for several probabilities of interest, and show how all two-dimensional queue length probabilities may be obtained. Finally, we derive the sojourn time distributions.     

MAP/(PH/PH)/c Queue with Self-Generation of Priorities and Non-Preemptive Service

Abstract

Customers arriving according to a Markovian arrival process are served at a c server facility. Waiting customers generate into priority while waiting in the system (self-generation of priorities), at a constant rate γ; such a customer is immediately taken for service, if at least one of the servers is free. Else it waits at a waiting space of capacity c exclusively for priority generated customers, provided there is vacancy. A customer in service is not preempted to accommodate a priority generated customer. The service times of ordinary and priority generated customers follow distinct PH-distributions. It is proved that the system is always stable. We provide a numerical procedure to compute the optimal number of servers to be employed to minimize the loss to the system. Several performance measures are evaluated.     

可修C(2,3:F)系统的可靠性分析

考虑了由三个部件和一个维修工组成的线形可修系统.假定可修系统中的三个部件是相互独立的,每个部件的工作时间和维修时间均服从负指数分布.部件故障后不能修复如新以及关键部件具有优先维修权的情形下,利用几何过程与广义马尔可夫过程等数学工具对该系统的可靠性指标进行了深入的研究.我们得到了该系统的瞬时可用度,可靠度的L ap lace变换表达式.从而得到系统的稳态可用度及首次故障前的平均时间.为进一步探索线形可修系统、复杂串并联和复杂并串联系统提供了一条新途径.     

Evaluation of time-varying availability in multi-echelon spare parts systems with passivation

The popular models for repairable item inventory, both in the literature as well as practical applications, assume that the demands for items are independent of the number of working systems. However this assumption can introduce a serious underestimation of availability when the number of working systems is small, the failure rate is high or the repair time is long. In this paper, we study a multi-echelon repairable item inventory system under the phenomenon of passivation, i.e. serviceable items are passivated (“switched off”) upon system failure. This work is motivated by corrective maintenance of high-cost technical equipment in the miltary. We propose an efficient approximation model to compute time-varying availability. Experiments show that our analytical model agrees well with Monte Carlo simulation.     

Scheduling policies for a repair shop problem

In this paper, we analyze a repair shop serving several fleets of machines that fail from time to time. To reduce downtime costs, a continuous-review spare machine inventory is kept for each fleet. A spare machine, if available on stock, is installed instantaneously in place of a broken machine. When a repaired machine is returned from the repair shop, it is placed in inventory for future use if the fleet has the required number of machines operating. Since the repair shop is shared by different fleets, choosing which type of broken machine to repair is crucial to minimize downtime and holding costs. The optimal policy of this problem is difficult to characterize, and, therefore, is only formulated as a Markov Decision Process to numerically compute the optimal cost and base-stock level for each spare machine inventory. As an alternative, we propose the dynamic Myopic(R) policy, which is easy to implement, yielding costs very close to the optimal. Most of the time it outperforms the static first-come-first-served, and preemptive-resume priority policies. Additionally, via our numerical study, we demonstrate that repair shop pooling is better than reserving a repair shop for each fleet.     

Tandem Queues with Dynamic Priorities

In a line production system, if the sequencing at each work station is done according to the times that the jobs are due out of the system then the sequencing is according to what is called the dynamic priority rule. The priorities are dynamic because the longer a job waits in a queue for service, the less the likelihood that a later arrival will precede it. In this paper interest is focused on the equilibrium probability distribution of the time that a job spends in such a system (called the flow time). Reported here are results of simulation studies which suggest a technique for locating these distributions graphically from theoretically derived flow time distributions for a similar system, but in which queue discipline is governed by a first-come, first-served rule.     

Optimal Repair Limit Replacement Policies with Imperfect Repair

This paper considers the repair limit replacement policies with imperfect repair. The repair is imperfect in the sense that the mean life of a repaired system is less than the mean life of a new system. Furthermore, we examine the repair limit replacement policy for the case in which there are two types of repair-local and central repair. The local repair is imperfect whilst the central repair is perfect (i.e. the system is as good as new after central repair). The optimal policies are derived to minimize the expected cost per unit of time for an infinite time span. Analytical results are presented along with numerical examples.