2016 INFORMS Annual Meeting Program

WD58

INFORMS Nashville – 2016

WD58 Music Row 6- Omni Finance III Contributed Session Chair: Yi-Ting Hsin, National Chi Nan University, Nantou, Taiwan, s100213024@mail1.ncnu.edu.tw 1 - Human Capital Of President Of Venture Capital Firm And Investment Performance Cong Chen, PhD Candidate in SEM, THU, Tsinghua University, Haidian Dstrict, 708A, 14# Zijing Apartment, Tsinghua University, Beijing, 100084, China, thuchencong@163.com, Jizhen Li This paper examined the effects of human capital of president of the venture capital firm (VCF) on investment performance. We concerned two key demographic characteristics, education and experience. In this paper, we proposed several hypotheses about the relationship between human capital and performance of VCF. Then we conducted empirical analysis to examine the hypotheses, using data from 107 VCFs in China. We find that education background in technology and business, finance experience, venture capital experience and entrepreneurial experience of presidents of VCFs increase investment performance. 2 - The Generalized Little’s Law And an Asset Picking System To Model And Maintain an Investment Portfolio: A Working Model In this second phase of our research project we are testing the Generalized Little’s Law-Asset Picking System (GLL-APS) model, in order to tailor a customized investment portfolio for the investor. We use more advisers, customers, a wider selection of financial institution portfolios and our customized portfolios. We plan an orderly rollout of our model in multiple sectors. These include private and public investors, supplemental and social security funds. At the end the model will be assessed. 3 - Trust Evolution Dynamics In The Venture Capital Syndicate Network: An Analysis Based On A Wright-Fisher Process Heyin Hou, Southeast University, School of Economics and Management, Nanjing, 211189, China, heyinhou@hotmail.com, Jun Yin Venture Capital Syndicate Network (VCSN) derives from syndicate investments and relies on trust evolutions between venture capitalists (VCs). Based on a Wright-Fisher process, we introduce a general model of trust evolution dynamics with multi-strategy and protection mechanism in the VCSN. Then, we explore influences of the protection mechanism on evolutionary stability conditions for the two-strategy and the four-strategy models. Finally, we construct the global profit function for the VCs and adopt simulation experiments to verify the trust evolution dynamics for the two-strategy and the four-strategy models. 4 - Optimizing The Omega Ratio In Portfolio With Floating Return Threshold Yi-Ting Hsin, National Chi Nan University, Nantou, Taiwan, s100213024@mail1.ncnu.edu.tw, Jing-Rung Yu, Wan-Jiun Paul Chiou, WenYI Lee The omega ratio is the ratio of the expected upside deviation to the downside deviation of the threshold. The previous literature set the threshold fixed, which leads the portfolio (1) to overweight on risky assets, and (2) to lower risk-return efficiency. To better response the dynamics in market, we modify the threshold changing according to the recent returns. To improve the feasibility, we further model optimal asset short-selling, transaction cost, and buy-in limits in constructing portfolio. We use the daily data of a wide range of high-liquidity ETFs to analyze the effectiveness of the model. The empirical findings show that the proposed model demonstrates higher realized performance. Maria Luisa Ceprini, Professor, Massachusetts Institute of Technology, E62-534 Cambridge, MA 02139 United States, Cambridge, MA, 02139, United States, mceprini@mit.edu, John D.C. Little

4 - Operations Research In Space Engineering Koki Ho, University of Illinois at Urbana-Champaign, 302F, Talbot Laboratory, 104 S. Wright St, Urbana, IL, 61801, United States, kokiho@illinois.edu This presentation provides a survey of the state-of-the-art of operations research (OR) in an unconventional application area: space engineering. Over the last 10- 15 years, optimization, probability, and stochastic analysis have been successfully applied to various problems in space exploration, enabling more efficient space mission planning and more effective in-orbit platform design. This presentation reviews the representative theory and application development in this area and lays out the potential future research directions.

WD57 Music Row 5- Omni Disaster and Emergency Management II Contributed Session

Chair: Shaolong Hu, Ph.D candidate, Tongji University, 1 Zhangwu Road, Tongji building-A, Room 1706, Shanghai, 200092, China, shaolong.hu@hotmail.com 1 - Optimal Dispatching Policies For Donation Collection And Distribution Robert Cook, University of Alabama, 201 Marina Drive, Tuscaloosa, AL, 35406, United States, Racook1@crimson.ua.edu, Emmett J Lodree This study introduces a Markov decision process (MDP) model for collecting donations and distributing them to disaster survivors. Donations that accumulate over time at collection sites are periodically transported to a relief center where they are distributed to beneficiaries. The MDP model minimizes expected unsatisfied demand during a finite horizon. 2 - Flood Disaster Relief Services: A Research Agenda For Recovery Niratcha Grace Tungtisanont, PhD Candidate, Clemson University, 100 Sirrine Hall, Management Dept, Clemson, SC, 29634, United States, ntungti@g.clemson.edu, Aleda Roth, Yann Ferrand, Bernardo F. Quiroga We propose a research framework that covers the pre-, during- and post phases of natural disasters relief services. More specifically, we focus on the service operations strategies for improving the post-disaster recovery phase of flood disasters. We aim to answer the following research questions: where should we place our resources and efforts on the “pre- and during flood phases? Relatively, how much should we invest in the first two phases in order to improve the overall effectiveness in the recovery phase? We apply rigorous econometric analyses that provides managerial and policy implications for improving the A relief distribution model that minimizes the total cost while considering the supply and transportation capacities constraints is developed. the distribution network structure presented here considers distribution of the supplies through pre-selected district bases that are reachable by land from the supply collection points. Air-lifting is dedicated to end distribution of the supplies from the district bases to the affected regions. Results and analysis are discussed based on model performance in the context of a real-case network from recent disaster “Nepal Earthquake 2015”. (This research is funded through Qatar/QNRF/NPRP Project: 5-200-5-027) 4 - A Multistage Stochastic Approach For Disaster Response In Humanitarian Relief Shaolong Hu, PhD Candidate, Tongji University, 1 Zhangwu Road, Tongji Building-A, Room 1706, Shanghai, 200092, China, shaolong.hu@hotmail.com This paper focuses on a transshipment problem with consideration of uncertain road network capacity and vehicles coordination. Scenario tree is employed to demonstrate the multi-stage stochastic decision process. A multi-stage stochastic program model is developed to coordinate vehicles and scheduling of a transportation plan with the objectives of minimizing rental, transportation, handling, and penalty costs. Progressive hedging algorithm (PHA) is proposed for solving large scale problems. Based on the real-world case of an earthquake, numerical experiments are presented to study the applicability of the proposed model, and the effectiveness of the proposed PHA is illustrated. resilience of communities and individuals affected by flood disasters. 3 - A Network Model For Relief Distribution In Emergency Response Phase Shaligram Pokharel, Professor, Qatar University, Doha, Qatar, shaligram@qu.edu.qa, Rojee Pradhananga, Fatih Mutlu, Jose Holguin-Veras

473