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The cross section of expected stock returns revisited
(Massachusetts Institute of Technology, 2000)
We review and extend two important empirical financial studies: Fama and MacBeth [1973] and Fama and French [1992]. Fama and MacBeth [1973] sort stocks on the New York Stock Exchange into 20 portfolios based on their market ...
Essays on the emiprical properties of stock and mutual fund returns
(Massachusetts Institute of Technology, 2000)
Survivorship bias influences statistical inference in Finance. Through a series of Monte Carlo simulations in the style of Brown, Goetzmann, Ibbotson, and Ross {1992), we study the sampling distribution of the mean return, ...
Safety at what price? : setting anti-terrorist policies for checked luggage on US domestic aircraft
(Massachusetts Institute of Technology, 2000)
In this thesis, we considered the costs and benefits of implementing Positive Passenger Bag Match (PPBM) - an anti-terrorist measure to keep bombs out of checked luggage - on US domestic passenger flights. We constructed ...
Optimization-based auctions and stochastic assembly replenishment policies for industrial procurement
(Massachusetts Institute of Technology, 2000)
This thesis describes two applications of Operations Research to the field of industrial procurement, addressing problems encountered in supplier selection and supplier control, respectively. The first part addresses the ...
Potential benefits of information sharing during the arrival process at hub airports
(Massachusetts Institute of Technology, 2000)
This thesis explores the benefits of increasing communication and collaboration between airlines and air traffic controllers during the arrival process at hub airports. In particular, this study estimates operational ...
An approximate dynamic programming approach to discrete optimization
(Massachusetts Institute of Technology, 2000)
We develop Approximate Dynamic Programming (ADP) methods to integer programming problems. We describe and investigate parametric, nonparametric and base-heuristic learning approaches to approximate the value function in ...
Models for project management
(Massachusetts Institute of Technology, 2000)
Organizations perform work essentially through operations and projects. The characteristics of projects makes them extremely difficult to manage: their non repetitive nature discards the trial and error learning, while ...