http://hdl.handle.net/2451/14093 Wed, 19 Jun 2013 22:32:39 GMT 2013-06-19T22:32:39Z http://hdl.handle.net/2451/27726 Title: A Column Generation Algorithm for Choice-Based Network Revenue Management Authors: Bront, Juan Jose Miranda Abstract: In the last few years, there has been a trend to enrich traditional revenue management models built upon the independent demand paradigm by accounting for customer choice behavior. This extension involves both modeling and computational challenges. One way to describe choice behavior is to assume that each customer belongs to a segment, which is characterized by a consideration set, i.e., a subset of the products provided by the firm that a customer views as options. Customers choose a particular product according to a multinomial-logit criterion, a model widely used in the marketing literature. In this paper, we consider the choice-based, deterministic, linear programming model (CDLP) of Gallego et al. [6], and the follow-up dynamic programming (DP) decomposition heuristic of van Ryzin and Liu [16], and focus on the more general version of these models, where customers belong to overlapping segments. To solve the CDLP for real-size networks, we need to develop a column generation algorithm. We prove that the associated column generation subproblem is indeed NP-Complete, and propose a simple, greedy heuristic to overcome the complexity of an exact algorithm. Our computational results show that the heuristic is quite effective, and that the overall approach has good practical potential and leads to high quality solutions. Mon, 13 Oct 2008 20:26:02 GMT http://hdl.handle.net/2451/27726 2008-10-13T20:26:02Z http://hdl.handle.net/2451/27725 Title: Dynamic Pricing for an M/M1 Make-To-Stock System with Controllable Backlog Authors: Vulcano, Gustavo Mon, 13 Oct 2008 20:19:47 GMT http://hdl.handle.net/2451/27725 2008-10-13T20:19:47Z http://hdl.handle.net/2451/26284 Title: Market Incompleteness and Super Value Additivity: Implications for Securitization Authors: Gaur, Vishal; Seshadri, Sridhar; Subrahmanyam, Marti Abstract: In an incomplete market economy, all claims cannot be priced uniquely based on arbitrage. The prices of attainable claims (those that are spanned by traded claims) can be determined uniquely, whereas the prices of those that are unattainable can only be bounded. We first show that tighter price bounds can be determined by considering all possible portfolios of unattainable claims for which there are bid/offer prices. We provide an algorithm to establish these bounds. We then examine how a price-taking agent can “package” new assets in order to take advantage of the incompleteness since the market places a premium on claims that improve its spanning. In particular, we prove that a firm with a new investment opportunity can maximize its value by “stripping away” the maximal attainable portion of the cash flow, for which prices are determined uniquely, and selling the balance to investors at prices that preclude arbitrage. Our framework has several applications in financial economics to problems ranging from securitization to the valuation of real options. Sat, 01 Nov 2003 00:00:00 GMT http://hdl.handle.net/2451/26284 2003-11-01T00:00:00Z http://hdl.handle.net/2451/26282 Title: Supply Contracts with Financial Hedging Authors: Caldentey, Ren'e; Haugh, Martin B. Abstract: We study the performance of a stylized supply chain where two firms, a retailer and a producer, compete in a Stackelberg game. The retailer purchases a single product from the producer and afterwards sells it in the retail market at a stochastic clearance price. The retailer, however, is budget-constrained and is therefore limited in the number of units that he may purchase from the producer. We also assume that the retailer's profit depends in part on the realized path or terminal value of some observable stochastic process. We interpret this process as a financial process such as a foreign exchange rate or interest rate. More generally the process may be interpreted as any relevant economic index. We consider a variation (the flexible contract) of the traditional wholesale price contract that is offered by the producer to the retailer. Under this flexible contract, at t = 0 the producer offers a menu of wholesale prices to the retailer, one for each realization of the financial process up to a future time . The retailer then commits to purchasing at time a variable number of units, with the specific quantity depending on the realization of the process up to time. Because of the retailer's budget constraint, the supply chain might be more profitable if the retailer was able to shift some of the budget from states where the constraint is not binding to states where it is binding. We therefore consider a variation of the flexible contract where we assume that the retailer is able to trade dynamically between 0 and in the financial market. We refer to this variation as the flexible contract with hedging. We compare the decentralized competitive solution for the two contracts with the solutions obtained by a central planner. We also compare the supply chain's performance across the two contracts. We find, for example, that the producer always prefers the flexible contract with hedging to the flexible contract without hedging. Depending on model parameters, however, the retailer may or may not prefer the flexible contract with hedging. Finally, we study the problem of choosing the optimal timing, of the contract, and formulate this as an optimal stopping problem. Sat, 01 Jan 2005 00:00:00 GMT http://hdl.handle.net/2451/26282 2005-01-01T00:00:00Z