2015 Informs Annual Meeting

WE65

INFORMS Philadelphia – 2015

WE63 63-Room 112B, CC Operations/Finance Interface Contributed Session Chair: Bo Li, Doctoral Candidate, Texas A&M University, 4217 TAMU, College Station, TX, 77843, United States of America, bli@mays.tamu.edu 1 - A Change-of-Variables Approach to Simulating Conditional Expectations Guiyun Feng, University of Minnesota, 1006 27th Avenue SE,, Minneapolis, MN, 55414, United States of America, fengx421@umn.edu, Guangwu Liu We introduce a change-of-variables approach to simulating conditional expectations. A key of the proposed approach is the construction of a one-to-one mapping such that a conditional expectation can be represented as an ordinary expectation by using change-of-variables technique. This new representation leads to an efficient estimator of the conditional expectation. Application to Greek estimation for financial options will be discussed. 2 - Optimal Procurement, Pricing, and Hedging under Cost and Demand Uncertainty Commodity price volatility is an important factor to consider in corporate risk management. In this article, we study the joint pricing, inventory control, and hedging problem of a risk-averse industrial firm, facing uncertain commodity prices and stochastic demand. We solve the firm’s decision problem under realistic commodity price dynamics using regression-based Monte Carlo methods. Our findings show that optimal pricing, procurement, and hedging decisions are interconnected. 3 - Lead-Time Reduction, Capital Structure, and Optimal Investment Policies We consider a manufacturing firm that places a production order in the face of demand uncertainty. It also has an option to raise capital and invest in reducing lead times. We analyze the optimal investment policy and derive closed-form expressions that quantify the impact of lead time on the firm value, the optimal leverage ratio, and the cost of capital. We show that firms can significantly increase their profits by using external funds and capitalizing on the value of lead- time reduction. 4 - Inventory, Random Capacity, and Firm Valuation by the Financial Market Bo Li, Doctoral Candidate, Texas A&M University, 4217 TAMU, College Station, TX, 77843, United States of America, bli@mays.tamu.edu, Antonio Arreola-Risa Companies want to maximize their value on the financial market; however, their inventory decisions may dis-serve this goal. We consider a firm that purchases from a supplier with random available capacity, faces a newsvendor-type decision and aims to maximize its own value. Employing the Capital Asset Pricing Model, we explore how randomness in both customer demand and supplier capacity impacts the optimal inventory decision and firm value. WE64 64-Room 113A, CC Advances in Decision Analysis Sponsor: Decision Analysis Sponsored Session Chair: Manel Baucells, Darden School of Business, P.O. Box 6550, Charlottesville, VA, 22906-6500, United States of America, BaucellsM@darden.virginia.edu 1 - Measuring Discounting Without Measuring Utility Han Bleichrodt, Erasmus University, P.O. Box 1738, Rotterdam, 3000DR, Netherlands, bleichrodt@ese.eur.nl, Peter P. Wakker, Arthur E. Attema, Zhenxing Huang, Yu Gao We introduce a new method for measuring the temporal discounting of money. Unlike preceding methods, our method requires neither knowledge nor measurement of utility. It is easier to implement and clearer to subjects, and requires fewer measurements than preceding methods did. Max Friedrich Schoene, WHU - Otto Beisheim School of Management, Burgplatz 2, Vallendar, 56179, Germany, max.schoene@whu.edu, Stefan Spinler, John Birge Isik Bicer, Post Doctoral Researcher, Ecole Polytechnique Fédérale de Lausanne, Lausanne, Vaud, 1015, Switzerland, isik.bicer@epfl.ch, Ralf W. Seifert

2 - Do We Discount Time As We Discount Money? Cédric Gutierrez, HEC Paris, 1 Rue de la Libération, Jouy en Josas, 78351, France, cedric.gutierrez-moreno@hec.edu, Mohammed Abdellaoui, Emmanuel Kemel While intertemporal choice of money has been studied extensively, very few studies have analyzed the way people discount time, despite the fact that it is a scarce and valuable resource. We investigate this issue in a laboratory experiment where consequences are measured in units of money or time. We report significant differences between discounting of time and of money. For instance, there is a higher heterogeneity in discounting behaviors and a stronger present- bias for time than for money. 3 - Multiperson Utility Without The Appearance of Dictatorship Manel Baucells, Darden School of Business, P.O. Box 6550, We take the multiperson utility setup (coalitions are endowed with incomplete VNM preferences satisfying the extended Pareto rule) and assume a mild condition on individual preferences (avoiding the appearance of dictatorship). We proof that whenever certain smaller but overlapping coalitions have complete preferences, then the group necessarily has complete preferences. The smaller coalitions are not restricted to be pairs, thus generalizing previous results. WE65 65-Room 113B, CC Rail Transportation Contributed Session Chair: Bahar Zarin, PhD Candidate, University of Maryland, College Park, MD, United States of America, bzarin@umd.edu 1 - Integration of Passenger and Freight Rail Scheduling with Minimal Tardiness Liang Liu, University of Southern California, Los Angeles, CA, United States of AmericaUnited States of America, liangliu@usc.edu, Maged Dessouky We present a the methodology to integrate passenger and freight train scheduling to reduce train tardiness when they travel on the same trackage. The research highlights the control policy of resource allocation in a complex railway network. We develop a dual objective optimization model which minimizes the freight train flow time and passenger train tardiness. Simulation of the railway system is conducted given the control policy from the optimization model solution. 2 - A Multi-Period Multi-Class High Speed Rail Passenger Revenue Management Problem Ying Qin, Doctoral Student, Tongji University, No. 1239, Siping Road, Shanghai, 200092, China, qinying915@139.com, Zhe Liang We study a multi-period multi-class rail passenger revenue management problem in which the unsatisfied demand can be recaptured by the alternative product. To formulate the problem, we first propose a basic model (BM), but it suffers from the intractable computation complexity. Therefore, we propose a two-stage heuristic by solving a restricted BM based on the solutions of a leg-based decomposition model and the heuristic provides nearer optimal solutions than the BM in much shorter time. 3 - Capacity Allocation in Vertically Integrated Railway Systems: A Sequential Bargaining Game Approach Bo Zou, University of Illinois at Chicago, 2095 Engineering Research Facility, 842 W. Taylor Street (M/C 246), Chicago, IL, 60607-7023, United States of America, bzou@uic.edu, Ahmadreza Talebian We propose a game-theoretic approach to model the bargaining process for rail line capacity allocation. A public passenger rail agency negotiates on schedule and price with a host freight railroad to obtain train paths. Each side alternately offers schedule/price and decides whether to accept or reject the other side’s offer. Both perfect and incomplete information cases are investigated analytically with numerical analysis offering further insights. 4 - Investigating the Trade-off Between Level of Service and Capacity Parameters in Train Scheduling Hamed Pouryousef, Michigan Technical University, 819 Dow, CEE Dept., 1400 Townsend DR, Houghton, MI, 49931, United States of America, hpouryou@mtu.edu, Pasi Lautala Maximizing the capacity utilization while maintaining adequate level of service (LOS) are important for any railroad. This research investigates the use of an analytic model called “hybrid optimization of train schedules” (HOTS) for train rescheduling and for evaluating its impact on train stop patterns and maximum and total dwell times. One research finding revealed that changes in max dwell time (especially within the spectrum of 6-15 min) have high impact on other LOS and capacity parameters. Charlottesville, VA, 22906-6500, United States of America, BaucellsM@darden.virginia.edu, Lloyd Shapley, Dov Samet

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