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Discipline of Business Analytics
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The Online Shortest Path Problem: Learning Travel Times Using a Multiarmed Bandit Framework
Published 2024In the age of e-commerce, logistics companies often operate within extensive road networks without accurate knowledge of travel times for their specific fleet of vehicles. Moreover, millions of dollars are spent on routing ...Article -
The role of data and priors in estimating climate sensitivity
Published 2023In Bayesian theory, the data together with the prior produce a posterior. We show that it is also possible to follow the opposite route, that is, to use data and posterior information (both of which are observable) ...Open AccessWorking Paper -
Combining simple multivariate HAR-like models for portfolio construction
Published 2023Forecasts of the covariance matrix of returns is a crucial input into portfolio construction. In recent years multivariate version of the Heterogenous AutoRegressive (HAR) models have been designed to utilise realised ...Open AccessWorking Paper -
Closed-Form Solutions for Distributionally Robust Inventory Management: A Controlled Relaxation Method
Published 2023When only the moments (mean, variance or t-th moment) of the underline distribution are known, a variety of many max-min optimization models choose actions to maximize the firm’s expected profit against the most unfavorable ...Working Paper -
Base-Stock Policies with Constant Lead Time: Closed-Form Solutions and Applications
Published 2023-03-15We study stationary base-stock policies for multiperiod dynamic inventory systems with a constant lead time and independently and identically distributed (iid) demands. When ambiguities in the underlying demand distribution ...Working Paper