[PDF] ALIO Back Matter

SB14
2 - A Solution to Distribution Network Design and Truck Load Problem
in the Surroundings of the Optimal
Roberto P. Castillo, President, Geogestión SA, Padilla 972,
Buenos Aires, Argentina, robertopcastillo@gmail.com
The strategy to diminish the logistic and transportation costs through lowering
tariffs or outsourcing services has a limit. At that point, we propose a deep revision
of the SCM and to develop mathematical models to support and integrate the
decision making process. The improvements in the management planning processes
bring about important savings and simultaneously increase the quality ratios. A
software tool prototype and the underlying metaheuristic model will be presented as
an example.
3 - Sustainable Supply Chain Network Design:
A Multicriteria Perspective
Anna Nagurney, John F. Smith Memorial Professor, University of
Massachusetts, Isenberg School of Management, Amherst, MA,
01003, United States of America, nagurney@gbfin.umass.edu,
Ladimer Nagurney
In this paper we develop a rigorous modeling and analytical framework for the
design of sustainable supply chain networks. We consider a firm that seeks to
minimize the total cost associated with design / construction and operation, and to
minimize the emissions generated, with an appropriate weight, associated with the
various supply chain network activities. We provide both the network optimization
model and an algorithm to illustrate the modeling and algorithmic approach.
4 - Modeling and Optimization in Supply Chains of Biomass
Tiago Gomes, Universidade do Minho, Escola de Engenharia,
Campus de Gualtar, Braga, 4710 - 057, Portugal,
tiago.gomes@dps.uminho.pt, Filipe Alvelos, Maria Sameiro Carvalho
An integer programming model to support tactical and operational decisions in a
biomass supply chain is proposed. The supply chain is a sequence of activities that
source (e.g. the harvest of forest residues), transform and deliver final products to
end costumers and may include intermediate warehouses. The model involves the
collection of raw material, wood chipping, facility location, transportation and
inventory decisions with the aim of minimizing total costs and to meet customer
demand.
■ SB14
Aula 365- Third Floor
Quantitative Finance
Cluster: Game Theory and its Applications
Invited Session
Chair: Nicolas Merener, Professor, Universidad Torcuato Di Tella, 1010
Saenz Valiente, Buenos Aires, 1426, Argentina, nmerener@utdt.edu
1 - Pricing Contingent Capital with a Book-value Trigger
Paul Glasserman, Professor, Columbia University, 403 Uris Hall,
New York, NY, 10028, United States of America,
pg20@columbia.edu, Behzad Nouri
Among the solutions proposed to the problem of banks “too big to fail” is contingent
capital in the form of debt that converts to equity when the firm’s capital ratio falls
below a threshold. We derive closed-form expressions to value such securities when
the firm’s assets are modeled as geometric Brownian motion and the conversion
trigger is based on a book-value capital ratio.
2 - The Cost of Latency
Ciamac Moallemi, Assistant Professor, Columbia University,
New York, NY, United States of America, ciamac@gsb.columbia.edu,
Mehmet Saglam
Electronic markets have experienced dramatic improvements in latency, or, the
delay between a trading decision and the resulting trade execution. We describe a
model that allows for the quantitative valuation of latency. Our model is
surprisingly simple and provides a closed-form expression for the cost of latency, in
terms of well-known parameters of the underlying traded asset. Our method
provides a useful “back-of-the-envelope” calculation to assess the importance of
latency.
3 - Optimal IPO Timing in an Exchange Economy
Jaime Casassus, Assistant Professor of Financial Economics, Pontificia
Universidad Católica de Chile, Av. Vicuna Mackenna 4860, Santiago,
Chile, jcasassu@ing.puc.cl, Mauro Villalon
We model the IPO decision of an entrepreneur in an exchange economy. The
entrepreneur holds a Lucas Tree, and when the IPO occurs, the market converges to
a Two Trees economy built on Cochrane, Longstaff, and Santa-Clara (2008). We
solve the optimal timing problem and study the diversification effects over the firm’s
value and entrepreneur’s consumption. The model predicts that IPOs should be
correlated with the firm’s size and explains why firms with lower betas are expected
to IPO first.
ALIO / INFORMS International – 2010
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4 - Efficient Valuation for Derivatives on Discrete Variance
Nicolas Merener, Professor, Universidad Torcuato Di Tella, 1010
Saenz Valiente, Buenos Aires, 1426, Argentina, nmerener@utdt.edu,
Leonardo Vicchi
We value derivative contracts written on discretely realized variance. We assume an
underlying driven by Gaussian shocks and modulated by an autonomous stochastic
volatility process. This formulation includes several standard models as special cases.
Prices are high dimensional integrals, which we compute efficiently through the
combination of numerical integration over privileged directions and Monte Carlo
simulation.
■ SB15
Aula 351- Third Floor
Rough Sets for Knowledge Discovery, Knowledge
Management and Decision Making
Sponsor: Data Mining:
Knowledge Discovery and Data Mining for Decision Making
Sponsored Session
Chair: Rafael Bello, Professor, UCLV, Universidad Central de Las Villas,
Santa Clara, Cuba, rbellop@uclv.edu.cu
1 - Compensatory Fuzzy Rough Sets
Rafael Bello, Professor, UCLV, Universidad Central de Las Villas,
Santa Clara, Cuba, rbellop@uclv.edu.cu, Rafael Espin
The basic concepts of RST are the lower and upper approximations of a concept
according to an indiscernibility relation. In this paper, the concept is defined by
using a logical predicate, and the relation is replaced by a logical expression. We
apply the rough set approach to approximate a logical predicate P according to fuzzy
values in the context of the compensatory fuzzy logic.
2 - Analysis of a Baseline Schedule in a International Project: Case
Study in the Sector of Oil and Gas
Rubiao Gomes Torres Júnior, Msc, Intertechma/Ibmec-RJ, Rua
Moura Brasil 74- 801 Laranjeiras, Rio de Janeiro, 22231200, Brazil,
rubtor@attglobal.net, Camila Torres
This paper aims to analyze a baseline schedule, in an international project in the
light of a methodology for project management. For it is taken as a base case of a
project undertaken by a bi-national association formed by a Brazilian company and
one of Ecuador for the implementation of a project in the oil and gas in Ecuador.
This work concludes presenting suggestions, where the more intensive use of a
methodology for project management, could help in meeting deadlines.
3 - A Model of Feature Selection Based on Rough Set Theory and Ant
Colony Optimization Applied to Climatic Forecasting
Yudel Gomez, Professor, UCLV, Sta Clara, 54830, Cuba,
ygomezd@uclv.edu.cu, Ann Nowe, Rafael Bello
This work deals with application of Machine Learning techniques to the climatic
forecasting. A novel algorithm of feature selection (FS) in distributed environment is
applied and it is tested for rain forecasting. The FS is based on the Rough Set Theory
and metaheuristic ACO with a multicolony variant. The data gathered in several
meteorological stations in the neighborhood are transformed in datasets in form of
decisions systems.
4 - Improving the k-NN Method for the Function Approximation
Problem using Similarity Relations
Yaima Filberto, Professor, Universidad de Camaguey, Circunvalacion
Norte km 4, Camaguey, Cuba, ayudier@uclv.edu.cu, Rafael Bello,
Yaile Caballero, Rafael Larrua
K-NN method is the most known lazy learning method. The weights assign to
features have an important role in the accuracy of the results. This improvement is
obtained due to by a more effective recovery of the similar cases. We propose a
method based on the extended RST that allows performing a feature selection
process by finding the weight for the predictive features. The method for calculating
the weights of the features improvement the k - NN method.