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Columbia: Decision, Risk & Operations (Topic)

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Viewing: 1 - 50 of 175 papers

1.

Introduction to Risk Parity and Budgeting

Roncalli T. (2013), Introduction to Risk Parity and Budgeting, Chapman & Hall/CRC Financial Mathematics Series
Number of pages: 151 Posted: 02 Jun 2013 Last Revised: 30 Nov 2013
Accepted Paper Series
Amundi Asset Management
Downloads 1,714
2.

Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation

Number of pages: 19 Posted: 06 Sep 2013 Last Revised: 14 Jun 2014
Working Paper Series
Amundi Asset Management
Downloads 1,682
3.

Measuring the Effect of Queues on Customer Purchases

Columbia Business School Research Paper No. 12/23
Number of pages: 41 Posted: 26 May 2011 Last Revised: 15 Dec 2012
Working Paper Series
Columbia University - Columbia Business School, Universidad de Chile, Columbia University - Columbia Business School - Decision Risk and Operations and SCOPIX
Downloads 1,315
4.

Beyond Correlation: Extreme Co-movements Between Financial Assets

Number of pages: 48 Posted: 15 Jul 2002
Working Paper Series
Columbia Business School - Decision Risk and Operations and Lehman Brothers, New York
Downloads 1,228
5.

Forward and Future Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 14, No. 03, 2011
Number of pages: 28 Posted: 09 Jul 2010 Last Revised: 23 Jul 2011
Accepted Paper Series
Columbia Business School and Chinese University of Hong Kong

Multiple version iconThere are 2 versions of this paper

Downloads 1,209
6.

Contingent Capital with a Capital-Ratio Trigger

Number of pages: 34 Posted: 01 Sep 2010
Working Paper Series
Columbia Business School and Columbia University
Downloads 1,195
7.

A Fast Algorithm for Computing High-Dimensional Risk Parity Portfolios

Number of pages: 9 Posted: 15 Sep 2013 Last Revised: 01 Oct 2013
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 1,099
8.

Exchange Rates and Monetary Policy Uncertainty

Journal of Finance, Forthcoming, Columbia Business School Research Paper No. 16-3
Number of pages: 42 Posted: 20 Dec 2015 Last Revised: 11 Dec 2016
Accepted Paper Series
Warwick Business School, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 909
9.

Understanding Index Option Returns

AFA 2008 New Orleans Meetings Paper
Number of pages: 51 Posted: 28 Feb 2007
Working Paper Series
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School - Finance and Economics and UCLA Anderson

Multiple version iconThere are 5 versions of this paper

Downloads 875
10.

Repeated Auctions with Budgets in Ad Exchanges: Approximations and Design

NET Institute Working Paper No. 12-11, Columbia Business School Research Paper No. 12/55
Number of pages: 69 Posted: 21 Sep 2012 Last Revised: 22 Jun 2014
Working Paper Series
Duke University - Decision Sciences, Columbia Business School - Decision Risk and Operations and Stanford Graduate School of Business, Stanford University
Downloads 798
11.

Optimal Replication of Contingent Claims under Portfolio Constraints

Number of pages: 19 Posted: 31 Oct 1996
Working Paper Series
Columbia University - Columbia Business School - Decision Risk and Operations, California Institute of Technology - Division of the Humanities and Social Sciences and Koc University - College of Administrative Sciences and Economics
Downloads 771
12.

Measuring Marginal Risk Contributions in Credit Portfolios

FDIC Center For Financial Research Working Paper No. 2005-01
Number of pages: 34 Posted: 01 Apr 2005
Working Paper Series
Columbia Business School

Multiple version iconThere are 2 versions of this paper

Downloads 704
13.

Safety First Portfolio Insurance

Number of pages: 11 Posted: 04 Mar 2008
Working Paper Series
Yale School of Management - International Center for Finance and Columbia University - Columbia Business School - Decision Risk and Operations
Downloads 702
14.

Does Adding Inventory Increase Sales? Evidence of a Scarcity Effect in U.S. Automobile Dealerships

Number of pages: 31 Posted: 29 Jun 2013 Last Revised: 11 Jun 2017
Working Paper Series
The Wharton School - Operations, Information and Decisions Department, Dartmouth College - Tuck School of Business and Columbia University - Columbia Business School - Decision Risk and Operations
Downloads 692
15.

Gamma Expansion of the Heston Stochastic Volatility Model

Number of pages: 31 Posted: 07 Oct 2008
Working Paper Series
Columbia Business School and Korea Advanced Institute of Science and Technology
Downloads 664
16.

Rationales for Corporate Risk Management - A Critical Literature Review

Number of pages: 36 Posted: 19 Jan 2013
Working Paper Series
RiskGovernance - Politecnico di Milano, Management, Economics and Industrial Engineering Department, the FinC - Politecnico di Milano, Management, Economics and Industrial Engineering Department and the FinC - Politecnico di Milano, Management, Economics and Industrial Engineering
Downloads 634
17.

On the (Surprising) Sufficiency of Linear Models for Dynamic Pricing with Demand Learning

Columbia Business School Research Paper No. 12-5
Number of pages: 34 Posted: 12 Jan 2012 Last Revised: 11 Mar 2014
Working Paper Series
Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 631
18.

Monopoly Without a Monopolist: An Economic Analysis of the Bitcoin Payment System

Columbia Business School Research Paper No. 17-92
Number of pages: 53 Posted: 28 Aug 2017 Last Revised: 18 Oct 2017
Working Paper Series
Columbia Business School - Finance and Economics, Columbia University and Columbia Business School - Decision Risk and Operations

Multiple version iconThere are 3 versions of this paper

Downloads 602
19.

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008
Number of pages: 52 Posted: 21 Oct 2011
Accepted Paper Series
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 585
20.

The Term Structure of Simple Forward Rates with Jump Risk

Number of pages: 37 Posted: 07 Jun 2000
Working Paper Series
Columbia Business School and Risk Management Institute, NUS
Downloads 568
21.

The Cost of Latency in High-Frequency Trading

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 27 Feb 2013
Working Paper Series
Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 533
22.

Model Specification and Risk Premia: Evidence from Futures Options

Number of pages: 71 Posted: 20 Feb 2004
Working Paper Series
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School - Finance and Economics and UCLA Anderson
Downloads 477
23.

Drivers of Finished Goods Inventory Performance in the U.S. Automobile Industry

Number of pages: 32 Posted: 18 Apr 2007 Last Revised: 11 Apr 2012
Working Paper Series
The Wharton School - Operations, Information and Decisions Department and Columbia University - Columbia Business School - Decision Risk and Operations
Downloads 445
24.

Structural Estimation of the Effect of Out-of-Stocks

Number of pages: 47 Posted: 11 Aug 2008 Last Revised: 14 Aug 2011
Working Paper Series
Universidad de Chile, Columbia University - Columbia Business School - Decision Risk and Operations, University of Pennsylvania - Marketing Department, affiliation not provided to SSRN and Fundación Instituto de Empresa, S.L.
Downloads 444
25.

On Implications of Demand Censoring in the Newsvendor Problem

Management Science, June 2013, Vol. 59, No. 6, 1407-1424, Columbia Business School Research Paper No. 12-7
Number of pages: 44 Posted: 12 Jan 2012 Last Revised: 13 Jul 2013
Accepted Paper Series
Columbia Business School - Decision Risk and Operations and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 392
26.

Investment in Two Sided Markets and the Net Neutrality Debate

Columbia Business School DRO (Decision, Risk and Operations) Working Paper No. 2010-05
Number of pages: 60 Posted: 18 Jul 2010 Last Revised: 21 Apr 2013
Working Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Information and Decision Systems, Massachusetts Institute of Technology (MIT) - Department of Electrical Engineering and Computer Science, Facebook and Stanford Graduate School of Business, Stanford University
Downloads 379
27.

Intertemporal Price Discrimination: Structure and Computation of Optimal Policies

Management Science, Vol. 61, No. 1, January 2015, pp. 92–110., Columbia Business School Research Paper No. 12/46,
Number of pages: 45 Posted: 08 Aug 2012 Last Revised: 17 Feb 2015
Accepted Paper Series
Columbia Business School - Decision Risk and Operations and New York University (NYU)
Downloads 374
28.

Dynamic Pricing Without Knowing the Demand Function: Risk Bounds and Near-Optimal Algorithms

Operations Research, Vol. 57, No. 6, pp. 1407-1420, November-December 2009, Columbia Business School Research Paper
Number of pages: 14 Posted: 19 Oct 2011
Accepted Paper Series
Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 342
29.

Systemic Risk in Endogenous Financial Networks

Columbia Business School Research Paper No. 15-17
Number of pages: 29 Posted: 23 Jan 2015
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Electrical Engineering and Computer Science and Northwestern University - Kellogg School of Management
Downloads 319
30.

Valuing the Treasury’s Capital Assistance Program

FRB of New York Staff Report No. 413
Number of pages: 43 Posted: 22 Dec 2009
Working Paper Series
Columbia Business School and Indiana University, Kelley School of Business
Downloads 315
31.

Severe Weather and Automobile Assembly Productivity

Columbia Business School Research Paper No. 12/37
Number of pages: 31 Posted: 04 Jul 2012 Last Revised: 22 Dec 2012
Working Paper Series
The Wharton School - Operations, Information and Decisions Department, Dartmouth College - Tuck School of Business and Columbia University - Columbia Business School - Decision Risk and Operations
Downloads 292
32.

Competition in Service Industries

Operations Research, Forthcoming
Number of pages: 42 Posted: 11 Jun 2006
Accepted Paper Series
Northwestern University - Kellogg School of Management and Columbia Business School - Decision Risk and Operations
Downloads 288
33.

Competing Retailers and Inventory: An Empirical Investigation of General Motors' Dealerships in Isolated U.S. Markets

Management Science, Forthcoming
Number of pages: 40 Posted: 22 Jun 2007 Last Revised: 11 Apr 2012
Accepted Paper Series
Columbia University - Columbia Business School - Decision Risk and Operations and The Wharton School - Operations, Information and Decisions Department

Multiple version iconThere are 2 versions of this paper

Downloads 287
34.

Non-Bayesian Social Learning

PIER Working Paper No. 11-025, Columbia Business School Research Paper No. 13-5
Number of pages: 25 Posted: 24 Aug 2011 Last Revised: 30 Jan 2013
Working Paper Series
Institute for Data, Systems, and Society, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT), Department of Economics, Students, University of Pennsylvania - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 275
35.

Risk Horizon and Rebalancing Horizon in Portfolio Risk Measurement

Number of pages: 36 Posted: 30 Apr 2009 Last Revised: 17 Jul 2011
Working Paper Series
Columbia Business School

Multiple version iconThere are 2 versions of this paper

Downloads 273
36.

Outsourcing Service Processes to a Common Service Provider under Price and Time Competition

Number of pages: 55 Posted: 11 Jun 2006
Working Paper Series
Northwestern University - Kellogg School of Management and Columbia Business School - Decision Risk and Operations
Downloads 271
37.

Framework Agreements in Procurement: An Auction Model and Design Recommendations

Manufacturing & Service Operations Management (Forthcoming), Columbia Business School Research Paper No. 13-24
Number of pages: 18 Posted: 27 Apr 2013 Last Revised: 21 Jul 2017
Accepted Paper Series
Stanford Graduate School of Business, Columbia University - Columbia Business School and Stanford Graduate School of Business, Stanford University
Downloads 260
38.

Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

Number of pages: 49 Posted: 05 Feb 2005
Working Paper Series
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia Business School - Finance and Economics
Downloads 259
39.

Information Aggregation and Allocative Efficiency in Smooth Markets

Number of pages: 24 Posted: 02 Apr 2010 Last Revised: 01 Nov 2011
Working Paper Series
Cornell University - Operations Research & Industrial Engineering, Stanford University and Columbia Business School - Decision Risk and Operations
Downloads 256
40.

A Model for Queue Position Valuation in a Limit Order Book

Columbia Business School Research Paper No. 17-70
Number of pages: 33 Posted: 05 Jul 2017
Working Paper Series
Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 253
41.

Portfolio Credit Risk with Extremal Dependence

Number of pages: 31 Posted: 15 Jul 2005
Working Paper Series
Northwestern University - Department of Managerial Economics and Decision Sciences (MEDS), Tata Institute of Fundamental Research (TIFR) and Columbia Business School - Decision Risk and Operations
Downloads 249
42.

ICU Admission Control: An Empirical Study of Capacity Allocation and Its Implication on Patient Outcomes

Columbia Business School Research Paper No. 12/34
Number of pages: 34 Posted: 19 May 2012 Last Revised: 18 Aug 2015
Working Paper Series
University of Southern California - Marshall school of Business, Columbia University - Columbia Business School, Columbia University - Columbia Business School - Decision Risk and Operations and Kaiser Permanente
Downloads 228
43.

Optimal Execution in a Limit Order Book and an Associated Microstructure Market Impact Model

Columbia Business School Research Paper No. 15-60
Number of pages: 37 Posted: 27 May 2015
Working Paper Series
Columbia Business School - Decision Risk and Operations, Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 223
44.

Structural Estimation of the Newsvendor Model: An Application to Reserving Operating Room Time

Number of pages: 45 Posted: 30 Apr 2007
Working Paper Series
Columbia University - Columbia Business School - Decision Risk and Operations and affiliation not provided to SSRN
Downloads 216
45.

Foundations of Non-Bayesian Social Learning

Columbia Business School Research Paper No. 15-95
Number of pages: 66 Posted: 31 Oct 2015 Last Revised: 08 Aug 2017
Working Paper Series
Massachusetts Institute of Technology (MIT), Department of Economics, Students, Northwestern University - Kellogg School of Management and Institute for Data, Systems, and Society, Massachusetts Institute of Technology
Downloads 213
46.

Supply Chain Disruptions: Evidence from the Great East Japan Earthquake

Columbia Business School Research Paper No. 17-5
Number of pages: 45 Posted: 12 Dec 2016
Working Paper Series
Universitat Pompeu Fabra/CREI, University of Tokyo - Graduate School of Economics, Research Institute of Economy, Trade and Industry (RIETI) and Northwestern University - Kellogg School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 188
47.

Service Competition with General Queueing Facilities

Number of pages: 54 Posted: 11 Jun 2006
Working Paper Series
Northwestern University - Kellogg School of Management and Columbia Business School - Decision Risk and Operations
Downloads 186
48.

Dynamic Pricing with Financial Milestones: Feedback-Form Policies

Management Science, Forthcoming, Columbia Business School Research Paper No. 12-8
Number of pages: 42 Posted: 12 Jan 2012
Accepted Paper Series
Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 184
49.

On the Relationship between Price and Capacity Decisions in Inventory Systems with Stochastic Demand

Number of pages: 27 Posted: 11 Jun 2006
Working Paper Series
Northwestern University - Kellogg School of Management and Columbia Business School - Decision Risk and Operations
Downloads 176
50.

Bounds on the Welfare Loss from Moral Hazard with Limited Liability

Number of pages: 26 Posted: 01 Oct 2012 Last Revised: 14 Nov 2015
Working Paper Series
University of Chile - Engineering Department, Duke University - Decision Sciences, University of Chile - Engineering Department and Facebook
Downloads 173