Practical Decision Rules for Risk-Averse Revenue Management Using Simulation-Based Optimization
Title | Practical Decision Rules for Risk-Averse Revenue Management Using Simulation-Based Optimization PDF eBook |
Author | Sebastian Koch |
Publisher | |
Pages | 28 |
Release | 2017 |
Genre | |
ISBN |
In practice, human-decision makers often feel uncomfortable with the risk-neutral revenue management systems' output. Reasons include a low number of repetitions of similar events, a critical impact of the achieved revenue for economic survival, or simply business constraints imposed by management. However, solving capacity control problems is a challenging task for many risk measures and the approaches are often not compatible with existing software systems.In this paper, we propose a flexible framework for risk-averse capacity control under customer choice behavior. Existing risk-neutral decision rules are augmented by the integration of adjustable parameters. Our key idea is the application of simulation-based optimization (SBO) to calibrate these parameters. This allows to easily tailor the resulting capacity control mechanism to almost every risk measure and customer choice behavior.In an extensive simulation study, we analyze the impact of our approach on expected utility, conditional value-at-risk (CVaR), and expected value. The results show a superior performance in comparison to risk-neutral approaches from literature.
Risk-Averse Dynamic Pricing Using Mean-Semivariance Optimization
Title | Risk-Averse Dynamic Pricing Using Mean-Semivariance Optimization PDF eBook |
Author | Rainer Schlosser |
Publisher | |
Pages | 0 |
Release | 2023 |
Genre | |
ISBN |
In many revenue management applications risk-averse decision-making is crucial. In dynamic settings, however, it is challenging to find the right balance between maximizing expected rewards and avoiding poor performances. In this paper, we consider time-consistent mean-semivariance (MSV) optimization for dynamic pricing problems within a discrete MDP framework, which are shown to be NP hard. We present a novel fixpoint-based dynamic programming approach to compute risk-sensitive feedback policies with Pareto-optimal combinations of mean and semivariance. We illustrate the effectiveness and the applicability of our concepts compared to state-of-the-art heuristics. For various numerical examples the results show that our approach clearly outperforms all other heuristics and obtains a performance guarantee with less then 0.2% optimality gap. Our approach is general and can be applied to MDPs beyond dynamic pricing.
Cruise Management
Title | Cruise Management PDF eBook |
Author | Alexis Papathanassis |
Publisher | Springer Science & Business Media |
Pages | 253 |
Release | 2011-11-03 |
Genre | Business & Economics |
ISBN | 3834971596 |
Increasingly, cruise operators are utilising information and communication technologies (ICTs) to improve service-effectiveness and process efficiency, both on- and off-board. Therefore, it is worth initiating a discussion on the potential and challenges ICTs entail for both cruise operators’ back-offices and for cruisers’ consumption experiences. This book documents the proceedings of the 1st e-Cruising Conference (Bremerhaven, Germany), which was aimed at discussing the possibilities and applicability of ICTs and mobile services in various aspects of cruise operations. Following a rigorous double-blind review, the best papers were chosen to be incorporated in this volume.
Probability Models for Economic Decisions, second edition
Title | Probability Models for Economic Decisions, second edition PDF eBook |
Author | Roger B. Myerson |
Publisher | MIT Press |
Pages | 569 |
Release | 2019-12-17 |
Genre | Business & Economics |
ISBN | 0262043122 |
An introduction to the use of probability models for analyzing risk and economic decisions, using spreadsheets to represent and simulate uncertainty. This textbook offers an introduction to the use of probability models for analyzing risks and economic decisions. It takes a learn-by-doing approach, teaching the student to use spreadsheets to represent and simulate uncertainty and to analyze the effect of such uncertainty on an economic decision. Students in applied business and economics can more easily grasp difficult analytical methods with Excel spreadsheets. The book covers the basic ideas of probability, how to simulate random variables, and how to compute conditional probabilities via Monte Carlo simulation. The first four chapters use a large collection of probability distributions to simulate a range of problems involving worker efficiency, market entry, oil exploration, repeated investment, and subjective belief elicitation. The book then covers correlation and multivariate normal random variables; conditional expectation; optimization of decision variables, with discussions of the strategic value of information, decision trees, game theory, and adverse selection; risk sharing and finance; dynamic models of growth; dynamic models of arrivals; and model risk. New material in this second edition includes two new chapters on additional dynamic models and model risk; new sections in every chapter; many new end-of-chapter exercises; and coverage of such topics as simulation model workflow, models of probabilistic electoral forecasting, and real options. The book comes equipped with Simtools, an open-source, free software used througout the book, which allows students to conduct Monte Carlo simulations seamlessly in Excel.
Dynamic Fleet Management
Title | Dynamic Fleet Management PDF eBook |
Author | Vasileios S. Zeimpekis |
Publisher | Springer Science & Business Media |
Pages | 249 |
Release | 2007-10-05 |
Genre | Business & Economics |
ISBN | 0387717226 |
This book focuses on real time management of distribution systems, integrating the latest results in system design, algorithm development and system implementation to capture the state-of-the art research and application trends. The book important topics such as goods dispatching, couriers, rescue and repair services, taxi cab services, and more. The book includes real-life case studies that describe the solution to actual distribution problems by combining systemic and algorithmic approaches.
INFORMS Conference Program
Title | INFORMS Conference Program PDF eBook |
Author | Institute for Operations Research and the Management Sciences. National Meeting |
Publisher | |
Pages | 290 |
Release | 1995 |
Genre | Industrial management |
ISBN |
Handbook of the Fundamentals of Financial Decision Making
Title | Handbook of the Fundamentals of Financial Decision Making PDF eBook |
Author | Leonard C. MacLean |
Publisher | World Scientific |
Pages | 941 |
Release | 2013 |
Genre | Business & Economics |
ISBN | 9814417351 |
This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).