Capacity Planning
My work in capacity planning involves the incorporation of risk into capacity
decisions and the evaluation of flexible capacity. I use option value theory
for including risk and various approximation schemes for generating discrete
paths for the evaluation procedures.
- J.R. Birge, "Option Methods for Incorporating Risk into Linear Planning
Models," Technical Report 95-8, Department of Industrial and Operations
Engineering, University of Michigan, May 1995.
Abstract
This paper introduces a transformation based on option price theory that
allows a linear model to incorporate risk attitudes based on the capital asset
pricing model. For a postscript version, click here.
This page is under construction. It was last modified on 8Jun95. Send questions to jrbirge@northwestern.edu.