ScholarBank@NUShttps://scholarbank.nus.edu.sgThe DSpace digital repository system captures, stores, indexes, preserves, and distributes digital research material.Sun, 24 Sep 2023 13:23:38 GMT2023-09-24T13:23:38Z5041- Dynamic stochastic programming for asset allocation problemhttps://scholarbank.nus.edu.sg/handle/10635/72320Title: Dynamic stochastic programming for asset allocation problem
Authors: Song, H.; Huang, H.-C.
Abstract: Asset allocation is an important decision problem in financial planning. In this paper, we study the multistage dynamic asset allocation problem which an investor is allowed to reallocate its wealth among a set of assets over finite discrete decision points, in which the stochastic return rates of the assets follow a Markov chain with nonstationary transition probabilities. The objective is to maximize the utility of the wealth at the end of the planning horizon where the utility of the wealth follows a general piecewise linear and concave function. Transaction costs are considered. We formulate the problem with a dynamic stochastic programming model and develop a method that decomposes the problem into stage-based subproblems to solve it. The main advantage of this method is that it provides a computationally tractable tool to deal with the dynamic asset allocation problem of long planning horizon. © 2007 IEEE.
Mon, 01 Jan 2007 00:00:00 GMThttps://scholarbank.nus.edu.sg/handle/10635/723202007-01-01T00:00:00Z
- Minimum cost delivery problem in intermodal transportation networkshttps://scholarbank.nus.edu.sg/handle/10635/87345Title: Minimum cost delivery problem in intermodal transportation networks
Authors: Song, H.; Chen, G.
Abstract: Intermodal movements are those in which two or more different transportation modes are linked end-to-end in order to move freight and/or people from point of origin to point of destination. In the intermodal transportation network, the departure times of the transportation modes are pre-scheduled and there is a list of departure times associated with each transportation mode. This paper considers the problem of finding the minimum cost delivery route for an origin-destination pair where the total cost of a delivery consists of the transportation cost, the transition cost and the holding cost of possible transshipping. We provide a method which expends the intermodal transportation network on time-space into a general network in which each arc only associates with one attribute, namely, the arc cost. We show that given a release time at the origin and a due date at the destination, the minimum cost delivery problem is equivalent with a shortest path problem in the time-space network. Hence, the problem can be solved efficiently. © 2007 IEEE.
Mon, 01 Jan 2007 00:00:00 GMThttps://scholarbank.nus.edu.sg/handle/10635/873452007-01-01T00:00:00Z
- A successive convex approximation method for multistage workforce capacity planning problem with turnoverhttps://scholarbank.nus.edu.sg/handle/10635/62973Title: A successive convex approximation method for multistage workforce capacity planning problem with turnover
Authors: Song, H.; Huang, H.-C.
Abstract: Workforce capacity planning in human resource management is a critical and essential component of the services supply chain management. In this paper, we consider the planning problem of transferring, hiring, or firing employees among different departments or branches of an organization under an environment of uncertain workforce demands and turnover, with the objective of minimizing the expected cost over a finite planning horizon. We model the problem as a multistage stochastic program and propose a successive convex approximation method which solves the problem in stages and iteratively. An advantage of the method is that it can handle problems of large size where normally solving the problems by equivalent deterministic linear programs is considered to be computationally infeasible. Numerical experiments indicate that solutions obtained by the proposed method have expected costs near optimal. © 2007 Elsevier B.V. All rights reserved.
Tue, 01 Jul 2008 00:00:00 GMThttps://scholarbank.nus.edu.sg/handle/10635/629732008-07-01T00:00:00Z
- Minimum cost delivery problem in intermodal transportation networkshttps://scholarbank.nus.edu.sg/handle/10635/72349Title: Minimum cost delivery problem in intermodal transportation networks
Authors: Song, H.; Chen, G.
Abstract: Intermodal movements are those in which two or more different transportation modes are linked end-to-end in order to move freight and/or people from point of origin to point of destination. In the intermodal transportation network, the departure times of the transportation modes are pre-scheduled and there is a list of departure times associated with each transportation mode. This paper considers the problem of finding the minimum cost delivery route for an origin-destination pair where the total cost of a delivery consists of the transportation cost, the transition cost and the holding cost of possible transshipping. We provide a method which expends the intermodal transportation network on time-space into a general network in which each arc only associates with one attribute, namely, the arc cost. We show that given a release time at the origin and a due date at the destination, the minimum cost delivery problem is equivalent with a shortest path problem in the time-space network. Hence, the problem can be solved efficiently. © 2007 IEEE.
Mon, 01 Jan 2007 00:00:00 GMThttps://scholarbank.nus.edu.sg/handle/10635/723492007-01-01T00:00:00Z