8 citations · 17 across the 18 of their papers we have counts for
3 papers · 1 filter
Imperfect demand estimation for new product production planning
Antoine Deza, Kai Huang, Michael R. Metel
We are interested in the effect of consumer demand estimation error for new products in the context of production planning. An inventory model is proposed, whereby demand is influe…
Risk management under Omega measure
Michael R. Metel, Traian A. Pirvu, Julian Wong
We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distribution…
Managing losses in exotic horse race wagering
Antoine Deza, Kai Huang, Michael R. Metel
We consider a specialized form of risk management for betting opportunities with low payout frequency, presented in particular for exotic horse race wagering. An optimization probl…