HEC Montréal

About: HEC Montréal is a education organization based out in Montreal, Quebec, Canada. It is known for research contribution in the topics: Context (language use) & Vehicle routing problem. The organization has 1221 authors who have published 5708 publications receiving 196862 citations. The organization is also known as: Ecole des Hautes Etudes Commerciales de Montreal & HEC Montreal.

A Branch-and-Price Method for a Liquefied Natural Gas Inventory Routing Problem

Abstract: We consider a maritime inventory routing problem in the liquefied natural gas (LNG) business, called the LNG inventory routing problem (LNG-IRP). Here, an actor is responsible for the routing of the fleet of special purpose ships, and the inventories both at the liquefaction plants and the regasification terminals. Compared to many other maritime inventory routing problems, the LNG-IRP includes some complicating aspects such as (1) a constant rate of the cargo evaporates each day and is used as fuel during transportation; (2) variable production and consumption of LNG, and (3) a variable number of tanks unloaded at the regasification terminals. The problem is solved by a branch-and-price method. In the column generation approach, the master problem handles the inventory management and the port capacity constraints, while the subproblems generate the ship route columns. Different accelerating strategies are implemented. The proposed method is tested on instances inspired from real-world problems faced by a major energy company.

A concise guide to existing and emerging vehicle routing problem variants.

Abstract: Vehicle routing problems have been the focus of extensive research over the past sixty years, driven by their economic importance and their theoretical interest. The diversity of applications has motivated the study of a myriad of problem variants with different attributes. In this article, we provide a concise overview of existing and emerging problem variants. Models are typically refined along three lines: considering more relevant objectives and performance metrics, integrating vehicle routing evaluations with other tactical decisions, and capturing fine-grained yet essential aspects of modern supply chains. We organize the main problem attributes within this structured framework. We discuss recent research directions and pinpoint current shortcomings, recent successes, and emerging challenges.

Do Return Prediction Models Add Economic Value

Abstract: We compare statistical and economic measures of forecasting performance across a large set of stock return prediction models with time-varying mean and volatility. We find that it is very common for models to produce higher out-of-sample mean squared forecast errors than a model assuming a constant equity premium, yet simultaneously add economic value when their forecasts are used to guide portfolio decisions. While there is generally a positive correlation between a return prediction model’s out-of-sample statistical performance and its ability to add economic value, the relation tends to be weak and only explains a small part of the cross-sectional variation in different models’ economic value.

Adverse Selection in Insurance Markets

Abstract: In this survey we present some of the more significant results in the literature on adverse selection in insurance markets Sections 71 and 72 introduce the subject and section 73 discusses the monopoly model developed by Stiglitz (1977) for the case of single-period contracts and extended by many authors to the multi-period case The introduction of multi-period contracts raises many issues that are discussed in detail: time horizon, discounting, commitment of the parties, contract renegotiation and accidents underreporting Section 74 covers the literature on competitive contracts The analysis becomes more complicated since insurance companies must take into account competitive pressures when they set incentives contracts As pointed out by Rothschild and Stiglitz (1976), there is not necessarily a Cournot-Nash equilibrium in presence of adverse selection However, market equilibrium can be sustained when principals anticipate competitive reactions to their behaviour or when they adopt strategies that differ from the pure Nash strategy Multi-period contracting is discussed We show that different predictions on the evolution of insurer profits over time can be obtained from different assumptions concerning the sharing of information between insurers about individual’s choice of contracts and accidents experience The roles of commitment and renegotiation between the parties to the contract are important Section 75 introduces models that consider moral hazard and adverse selection simultane-ously and section 76 treats adverse selection when people can choose their risk status Section 77 discusses many extensions to the basic models such as risk categorization, different risk aversion, symmetric imperfect information, multiple risks, principals more informed than agents and uberrima fides