An exact algorithm for the Capacitated Total Quantity Discount Problem

In this paper we analyze the procurement problem of a company that needs to purchase a number of products from a set of suppliers to satisfy demand. The suppliers offer total quantity discounts and the company aims at selecting a set of suppliers so to satisfy product demand at minimum purchasing cost. The problem, known as Total Quantity Discount Problem (TQDP), is strongly NP-hard. We study different families of valid inequalities and provide a branch-and-cut approach to solve the capacitated variant of the problem (Capacitated TQDP) where the quantity available for a product from a supplier is limited. A hybrid algorithm, called HELP (Heuristic Enhancement from LP), is used to provide an initial feasible solution to the exact approach. HELP exploits information provided by the continuous relaxation problem to construct neighborhoods optimally searched through the solution of mixed integer subproblems. A streamlined version of the proposed exact method can optimally solve in a reasonable amount of time instances with up to 100 suppliers and 500 products, and largely outperforms an existing approach available in the literature and CPLEX 12.2 that frequently runs out of memory before completing the search.     

Multi-objective possibilistic model for portfolio selection with transaction cost

In this paper, we introduce the possibilistic mean value and variance of continuous distribution, rather than probability distributions. We propose a multi-objective Portfolio based model and added another entropy objective function to generate a well diversified asset portfolio within optimal asset allocation. For quantifying any potential return and risk, portfolio liquidity is taken into account and a multi-objective non-linear programming model for portfolio rebalancing with transaction cost is proposed. The models are illustrated with numerical examples.     

生产成本信息不对称下差异Bertrand结构中的许可

建立了差异Bertrand结构市场中,成本降低型厂商创新者在关于生产厂商的生产成本信息不对称条件下,与生产厂商之间的技术许可博奕模型,并分析了从厂商创新者角度出发的最佳许可策略.研究表明,最佳许可方式依赖于创新规模和市场差异程度,具体地说,当创新规模较大或者产品差异程度较大时,固定费用许可最优,反之,固定费用和提成相组合的方式最优.     

有交易费和连续红利时的期权定价公式

期权定价模型为期权等金融衍生工具定价问题的研究带来了创新,但是该模型的一些基本假设与现实情况不符,使得由此计算出来的期权价格和实际金融市场上的期权价格有较大出入.作者通过改变无交易成本和无红利支付这2个条件改进了B-S模型,使其更具有现实意义,并利用偏微分方程基本解的方法,获得了修正后B-S模型的看涨-看跌期权的定价公式.     

分形布朗运动下有交易成本的外汇期权定价

研究了有交易成本的分形Black-Scholes外汇期权定价问题.基于汇率的分形布朗运动分布假设,运用分形布朗运动的性质和随机微积分方法,得到了欧式外汇期权价格所满足的偏微分方程.最后,建立离散时间条件下的非线性期权定价模型,并且通过解期权价格的偏微分方程给出了有交易成本的欧式外汇期权定价公式.     

基于偏度的多期组合投资调整模型

由于不同时期资产收益率以及投资者对风险和收益偏好的变化，加之资金等条件的限制，大多数组合投资问题具有明显的动态特征。本文把单期投资组合拓展到多期，引入偏度和风险度量工具VaR，并考虑交易费用的影响，建立了多期投资组合调整模型。最后，给出实证分析对模型进行分析研究，这对投资者的连续投资行为具有一定的指导作用。     

Perturbation solution of optimal portfolio theory with transaction costs for any utility function

The solution to the optimal portfolio selection and consumptionrule with small transaction costs is derived via the use ofperturbation analysis for the case when one risky and one risklessasset are available for investment. This methodology allowsus to apply a broader specification for the utility function.     

Multiple feedback at a single-server station

A single server facility is equipped to perform a collection of operations. The service rendered to a customer is a branching process of operations. While the performance of an operation may not be interrupted before its completion, once completed, the required follow-up work may be delayed, at a cost per unit time of waiting that depends on the type and load of work being delayed. Under some probabilistic assumptions on the nature of the required service and on the stream of customers, the problem is to find service schedules that minimize expected costs. The authors generalize results of Bruno [2], Chazan, Konheim and B. Weiss [4], Harrison [8], Klimov [10], Konheim [11], and Meilijson and G. Weiss [13], using a dynamic programming approach.     

有交易费的未定权益无套利定价区间

本文首先给出了有交易费资产模型下套利机会的定义,利用辅助鞅和资产折算函数等方法,讨论了该模型下未定权益无套利定价问题,得到的结果是有交易费的未定权益无套利定价区间.