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    ABSTRACT: This paper studies a multistage stochastic programming (SP) model for large-scale network revenue management. We solve the model by means of the so-called expected future value (EFV) decomposition via scenario analysis, estimating the impact of the decisions made at a given stage on the objective function value related to the future stages. The EFV curves are used to define bid prices on bundles of resources directly, as opposed to the traditional additive approach. We compare our revenues to those obtained by additive bid prices, such as the bid prices derived from the deterministic equivalent model (DEM) of the compact representation of the SP model. Our computational experience shows that the revenues obtained by our approach are better for middle-range values of the load factor of demand, whereas the differences among all the approaches we have tested are insignificant for extreme values. Moreover, our approach requires significantly less computation time than does the optimization of DEM by plain use of optimization engines. Problem instances with 72 pairs of bundle-fare classes have been solved in less than one minute, with 800 pairs in less than five minutes, and with 4,000 pairs in less than one hour. The time taken by DEM was, in general, of one order of magnitude higher. Finally, for the three largest problem instances, and after two hours, the expected revenue returned by DEM was below that obtained by EFV by 13.47%1 17.14%, and 38.94%, respectively.
    Transportation Science 10/2013; 47:181-197. DOI:10.1287/trsc.1120.0422
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    ABSTRACT: This paper proposes value-at risk (VaR) estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility. The appeal of this proposal is that it merges information from the historical time series and the different information supplied by the market's expectation of risk. Forecast-combining methods, with weights estimated using quantile regression, are considered. We also investigate plugging implied volatility into the CAViaR models—a procedure that has not been considered in the VaR area so far. Results for daily index returns indicate that the newly proposed methods are comparable or superior to individual methods, such as the standard CAViaR models and quantiles constructed from implied volatility and the empirical distribution of standardised residuals. We find that the implied volatility has more explanatory power as the focus moves further out into the left tail of the conditional distribution of S&P 500 daily returns. Copyright © 2011 John Wiley & Sons, Ltd.
    Journal of Forecasting 01/2013; 32(1). DOI:10.1002/for.1251
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    ABSTRACT: Over the last decade, I have put together a new theory of leadership. This paper describes its four propositions, which are consistent with the research literature but which lead to conclusions that are not commonly held and seldom put into practice. The first proposition is a model describing the territory of leadership that is different from either the Leadership Qualities Framework, 2006 or the Medical Leadership Competency Framework, 2010, both of which have been devised specifically for the NHS (National Health Service). The second proposition concerns the ill-advised attempt of individuals to become expert in all aspects of leadership: complete in themselves. The third suggests how personality and capability are related. The fourth embraces and recommends the notion of complementary differences among leaders. As the NHS seeks increasing leadership effectiveness, these propositions may need to be considered and their implications woven into the fabric of NHS leader selection and development. Primary Health Care research, like all fields of collective human endeavour, is eminently in need of sound leadership and the same principles that facilitate sound leadership in other fields is likely to be relevant to research teams.
    Primary Health Care Research & Development 10/2012; 13(4):301-7. DOI:10.1017/S1463423612000485
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    ABSTRACT: The relationship between performance and ability is a central concern in the social sciences: Are the most successful much more able than others, and are failures unskilled? Prior research has shown that noise and self-reinforcing dynamics make performance unpredictable and lead to a weak association between ability and performance. Here we show that the same mechanisms that generate unpredictability imply that extreme performances can be relatively uninformative about ability. As a result, the highest performers may not have the highest expected ability and should not be imitated or praised. We show that whether higher performance indicates higher ability depends on whether extreme performance could be achieved by skill or requires luck.
    Proceedings of the National Academy of Sciences 05/2012; 109(24):9331-6. DOI:10.1073/pnas.1116048109
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    ABSTRACT: Short-term load forecasts are needed for the efficient management of power systems. Although weather-based modeling is common, univariate models can be useful when the lead time of interest is less than one day. A class of univariate methods that has performed well with intraday data is exponential smoothing. This paper considers five recently developed exponentially weighted methods that have not previously been used for load forecasting. These methods include several exponential smoothing formulations, as well as methods using discount weighted regression, cubic splines, and singular value decomposition (SVD). In addition, this paper presents a new SVD-based exponential smoothing formulation. Using British and French half-hourly load data, these methods are compared for point forecasting up to one day ahead. Although the new SVD-based approach showed some potential, the best performing method was a previously developed exponential smoothing method. A second empirical study showed the better of the univariate methods outperforming a weather-based method up to about five hours ahead, with a combination of these methods producing the best results overall.
    IEEE Transactions on Power Systems 03/2012; 27(1-27):458 - 464. DOI:10.1109/TPWRS.2011.2161780
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    Behavioral Finance: Investors, Corporations, and Markets, 11/2011: pages 595 - 611; , ISBN: 9781118258415
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    ABSTRACT: The purpose of this paper is to assess the choice between adopting a monetary base or an interest rate setting instrument to maintain financial stability. Our results suggest that the interest rate instrument is preferable, since during times of a panic or financial crisis the Central Bank automatically satisfies the increased demand for money. Thus, it prevents sharp losses in asset values and enhanced asset volatility.
    Journal of Financial Stability 06/2011; 7(2-7):70-77. DOI:10.1016/j.jfs.2009.06.002
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    ABSTRACT: Academic economists perform an important function in advising politicians and state bureaucrats, lending them epistemological authority. This creates a challenge of institutional design and of professional vocation, of how these experts can combine their commitment to scientific analysis with their commitment towards their governmental patrons. This article examines the case of anti-trust economics, in which government economists are encouraged to remain as academically engaged as possible, so that their advice will be - or appear to be - unpolluted by political or bureaucratic pressures. Yet this ideal is constantly compromised by the fact that the economists are nevertheless government employees, working beneath lawyers. Max Weber's concept of a 'vocation' is adopted to explore this tension, and his two lectures, 'Science as a Vocation' and 'Politics as a Vocation' are read side by side, to consider this core dilemma of academic policy advisors.
    British Journal of Sociology 06/2011; 62(2):304-23. DOI:10.1111/j.1468-4446.2011.01366.x
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    ABSTRACT: This article analyzes the concept of complexity from an epistemological point of view, drawing a distinction between complexity (contextual complexity) and complication (procedural complexity). This article explores some organizational consequences of increasing complexity in organizational environments as management must cope with complexity at three different levels — internal, transactional environment, and contextual environment. The authors propose a model of managerial competencies in terms of complexity requirements and overview some consequences of this model for organizational learning and competence building processes.
    Journal of Business Research 03/2011; 64(3-64):236-241. DOI:10.1016/j.jbusres.2009.11.007
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    ABSTRACT: Individuals tend to select again alternatives about which they have positive impressions and to avoid alternatives about which they have negative impressions. Here we show how this sequential sampling feature of the information acquisition process leads to the emergence of an illusory correlation between estimates of the attributes of multi-attribute alternatives. The sign of the illusory correlation depends on how the decision maker combines estimates in making her sampling decisions. A positive illusory correlation emerges when evaluations are compensatory or disjunctive and a negative illusory correlation can emerge when evaluations are conjunctive. Our theory provides an alternative explanation for illusory correlations that does not rely on biased information processing nor selective attention to different pieces of information. It provides a new perspective on several well-established empirical phenomena such as the 'Halo' effect in personality perception, the relation between proximity and attitudes, and the in-group out-group bias in stereotype formation.
    Cognition 03/2011; 119(3):313-24. DOI:10.1016/j.cognition.2011.01.007
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