The main objective of this research is to optimize the stock portfolio of investment companies operating in the field of petrochemical and refining industries through minimizing risk with respect to the expected return. In this regard, first of all, the compositions of sample firm's portfolios were investigated during 2013 to 2016 and high-weight industries were selected. Then, the risk of retu...

In this paper, we conduct a simulation study to evaluate the impact of using imperfect advance demand information (ADI) in a single stage production/inventory system. We mean by ADI the fact that the production system receives customer orders in advance of their due-dates. We consider four types of ADI: 1) Perfect ADI, 2) ADI with imperfect due-dates, 3) ADI with imperfect demand quantities and...

We consider an optimization problem for a multiclass queueing model of a decentralized production-distribution system: A single server can produce a variety of products, and completed units pass through an infinite server delay node on their way to a warehouse inventory. Each product has its own warehouse, demand for each product is satisfied by its associated inventory, and unsatisfied demand ...

We consider a two-stage production-inventory system with demand at the downstream stage and returns at each stage. We characterize the structure of the optimal policy which is a complex state-dependent Base-stock policy. We also investigate four classes of policies : Fixed buffer, Base-stock echelon, Kanban and Half-optimal. We compare the performances of these policies and exhibit that the max...

One of the main concerns of investors is the evaluation of the return on investment, which is conducted using various models such as the CAPM (single-factor model), Fama-French three/five-factor models, and Roy and Shijin’s six-factor model and other models known as multi-factor models. Despite the widespread use of these models, their major drawbacks include sensitivity to unexpected changes, ...

This paper presents a comparative cost performance study of four inventory models. One of them, referred as Requirement Planning, operates using demand forecast to quantify the acquisition decisions. The other three inventory models are the Order Up to Maximum Inventory Level, Base Stock and Fixed Lot Size. The Requirement Planning and Base Stock models operate with minimal purchase order quant...

This paper explores qualitative effects of lead-time uncertainty in a basic continuous-time single-item inventory model with Poisson demand and stochastic lead times. The objective is to minimize the infinite-horizon expected total discounted cost. Order costs are linear, so a base-stock policy is optimal. Traditionally and intuitively, people believe that a (stochastically) longer lead time re...

This paper analyzes a series inventory system with stationary costs and stochastic demand over an infinite horizon. A distinctive feature is that demand can be negative, representing returns from customers, as well as zero or positive. We observe that, as in a system with nonnegative demand, a stationary echelon base-stock policy is optimal here. However, the steadystate behavior of the system ...

We present a periodic review inventory model with multiple delivery modes. While base-stock policies are optimal for one or two consecutive delivery modes, they are not so otherwise. For multiple consecutive delivery modes, we show that only the fastest two modes have optimal base stocks, and provide a simple counterexample to show that the remaining ones do not. We investigate why the base-sto...

W study the safety stock positioning problem in single-product multistage supply chains with tree network structures, where each stage controls its inventory using an installation continuous-time base-stock policy. External demands follow independent Poisson processes, and unsatisfied demands at each stage are fully backordered. The processing (e.g., production) cycle times and transportation l...