We develop and test a heuristic based on Lagrangian relaxation and problem space search
to solve the generalized assignment problem (GAP). The heuristic combines the iterative …

This paper models, analyzes and develops solution techniques for a network design and
inventory stocking problem. The proposed model captures important features of a real service …

Investors have been increasing their allocations to private assets, seeking higher returns
and better portfolio diversification. However, as this allocation increases, the liquidity …

The United Nations has recognized access to water as a basic human right, stating that
water is a social and cultural good, not merely an economic commodity. Since ancient times, …

Low demand logistics systems with response time based service levels such as service
parts supply chains exhibit strong interaction between network design and part stocking …

Modeling the cash flows of private investments is an important challenge for institutional
investors. While the Takahashi and Alexander (TA) model for private investment cash flows has …

Factor-based performance attribution is frequently used in the asset management industry
in both understanding and assessing the management of a portfolio. Unfortunately, in many …

We customize factor attribution for quantitative equity portfolios to better align the measurement
of factor returns with how factor tilts were taken on. Specifically, we provide a theoretical …

Investors with commitments to private capital funds need to maintain sufficient reserves to
service capital calls arising from those funds. If their reserves are insufficient, they may be …

The traditional Markowitz MVO approach is based on a single-period model. Single period
models do not utilise any data or decisions beyond the rebalancing time horizon with the …