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在本系列文章中，我们对《Operations Research》于8月份发布文章中进行了精选（共7篇），并总结其基本信息，旨在协助读者快速洞察行业最新动态。

推荐文章1

● 题目：Optimal Trading with Speed-Dependent Transaction Cost Rates: A Flexible Framework

含速度依赖性交易成本率的最优交易：一个灵活框架

● 原文链接：
https://doi.org/10.1287/opre.2022.0160

● 作者：Hong Liu , Shuaijie Qian , Jing Xu

● 发布时间：2025-08-08

● 摘要：

The effective transaction cost rate (TCR) incurred by a large trade often depends on the execution speed. We propose a continuous-time workhorse model to study optimal trading strategies with speed-dependent TCRs. The TCR function is flexible enough for approximating general TCR functions of trading speeds. Applying our framework to order execution problems, we theoretically characterize the structure of the optimal trading strategy and numerically analyze it extensively after calibration. When the order to be executed is large, our model implies simultaneously order-shredding strategy and U-shape trading speeds over time, both of which are commonly observed in practice. Moreover, we show that adopting some intuitive but suboptimal trading strategies can be costly.

大宗交易产生的有效交易成本率（TCR）一般取决于执行速度。本文提出一个连续时间核心模型，用于研究含速度依赖性交易成本率的最优交易策略。该交易成本率函数具备足够的灵活性，可对各类交易速度相关的交易成本率函数进行近似。将本文提出的框架应用于订单执行问题时，我们从理论层面刻画了最优交易策略的结构特征，并在模型校准后对其进行了全面的数值分析。研究表明，当待执行订单规模较大时，本文模型会同时推导出订单拆分策略与随时间变化的 U 型交易速度——这两种现象在实际市场中均较为常见。此外，我们还证实，采用某些看似直观但非最优的交易策略，可能会产生高昂的成本。

推荐文章2

● 题目：Process Flexibility: A Distribution-Free Approach to Long Chain Resilience

流程灵活性：长链韧性的无分布方法

● 原文链接：
https://doi.org/10.1287/opre.2023.0430

● 作者：Li Chen , Mabel Chou , Qinghe Sun

● 发布时间：2025-08-19

● 摘要：

Process flexibility has been a well-established supply chain strategy in both theory and practice for managing demand uncertainty. This study extends its application to mitigating supply disruptions by analyzing a long chain system. Specifically, we investigate the effectiveness of long chains in the face of random supply disruptions and demand uncertainty. We derive a closed-form, tight bound on the expected sales ratio of a long chain relative to full flexibility under random disruptions, thus providing a service-level guarantee. Our analysis shows that, when designed capacity equals expected demand, the fraction of benefits a long chain achieves relative to full flexibility increases with disruption probability; however, it decreases when capacity is instead expanded to match expected demand under disruptions. The long chain also demonstrates superior resilience, absorbing a significant portion of unexpected disruptions because of its sparsity. To generalize our findings, we introduce a moment decomposition approach that readily adapts to general piecewise polynomial performance metrics, maintaining tractability through a semidefinite program. This approach extends the traditional type II service metric (expected sales) to include a type I metric (probability of meeting full demand) and supports more flexible capacity–demand relationships. Applying this approach to the capacity configuration problem, we find that, without disruption, a long chain achieves target service levels with capacity comparable to full flexibility even with limited demand information. In contrast, disruptions significantly raise capacity requirements although long chains maintain a substantial advantage over dedicated systems. Our results highlight the resilience of long chains and the critical need to adapt capacity configuration decisions to supply disruption risks.

流程柔性作为一种成熟的供应链策略，已在理论与实践领域被广泛运用于应对需求不确定性。本研究通过分析长链系统，将其应用拓展至缓解供应中断风险。我们重点探究长链在随机供应中断与需求不确定双重挑战下的效能表现，推导出了随机中断情境下长链相对于全柔性系统期望销售率的闭形式紧界，从而为服务水平提供了理论保障。分析表明：当设计产能等于预期需求时，长链相对于全柔性的效益占比随中断概率增加而上升；但当产能扩大至满足中断情境下的预期需求时，该效益占比反而下降。凭借其稀疏特性，长链展现出卓越的韧性，能够吸纳大部分意外中断带来的冲击。为推广研究结论，我们提出了一种矩分解方法。该方法可适配一般分段多项式性能指标，并通过半定规划保持模型可解性，将传统的II类服务指标（期望销售额）拓展至包含I类指标（完全满足需求的概率），同时支持更灵活的产能-需求关系。将该方法应用于产能配置问题后发现：在无中断情况下，即使需求信息有限，长链也能以与全柔性系统相当的产能实现目标服务水平；而在中断情境下，尽管长链相较专用系统仍保持显著优势，但中断会大幅推高产能要求。本研究结果既凸显了长链结构的韧性优势，也揭示了根据供应中断风险调整产能配置决策的必要性。

推荐文章3

● 题目：Optimal Allocation of Limited Inventory Among Multiclass Customers with Finite Populations

有限群体下多类别客户间的有限库存最优分配

● 原文链接：
https://doi.org/10.1287/opre.2024.0892

● 作者：Puyao Ge , Vidyadhar G. Kulkarni, Jayashankar M. Swaminathan

● 发布时间：2025-08-20

● 摘要：

We consider the problem of allocating a single type of resource with limited supply to distinct groups, each with a finite population and characterized by a unique reward and arrival rate. We develop a stochastic model and formulate the problem as a Markov decision process. We study the structural properties of the optimal value function and derive the optimal allocation policy. Contrary to the conventional approach of incrementally extending access to groups of lower priority over time, our findings suggest that it is optimal to progressively restrict admission to lower-priority groups. We also present a fluid model with an explicit solution that can serve as a good approximation when the system size is very large.

本文研究的问题是：将供应有限的单一类型资源分配给不同群体，每个群体均具有有限种群规模，并具备独特的收益与到达率特征。我们构建了一个随机模型，并将该问题转化为马尔可夫决策过程进行求解。通过分析最优价值函数的结构特性，我们推导出了最优分配策略。与 “随时间推移逐步向低优先级群体开放资源访问权限” 的传统方法不同，本文研究结果表明：逐步限制低优先级群体的资源准入才是最优策略。此外，我们还提出了一个具有显式解的流体模型——当系统规模极大时，该流体模型可作为良好的近似模型使用。

推荐文章4

● 题目：Dynamic Black-Litterman

动态布莱克-利特曼模型

● 原文链接：
https://doi.org/10.1287/opre.2024.1010

● 作者：Anas Abdelhakmi , Andrew E. B. Lim

● 发布时间：2025-08-22

● 摘要：

The Black-Litterman model is a framework for incorporating forward-looking expert views in a portfolio optimization problem. Existing work focuses almost exclusively on single-period problems with the forecast horizon matching that of the investor. We consider a generalization where the investor trades dynamically and views can be over horizons that differ from the investor. By exploiting the underlying graphical structure relating the asset prices and views, we derive the conditional distribution of asset returns when the price process is geometric Brownian motion and show that it can be written in terms of a multidimensional Brownian bridge. The components of the Brownian bridge are dependent one-dimensional Brownian bridges with hitting times that are determined by the statistics of the price process and views. The new price process is an affine factor model with the conditional log-price process playing the role of a vector of factors. We derive an explicit expression for the optimal dynamic investment policy and analyze the hedging demand for changes in the new covariate. More generally, the paper shows that Bayesian graphical models are a natural framework for incorporating complex information structures in the Black-Litterman model. The connection between Brownian motion conditional on noisy observations of its terminal value and multidimensional Brownian bridge is novel and of independent interest.

Black-Litterman模型是一种在投资组合优化问题中融入前瞻性专家观点的分析框架。现有研究几乎完全聚焦于单一周期问题，其预测周期与投资者的投资期限相一致。本文思考了一种更广义的情形：投资者进行动态交易，而专家观点可覆盖与投资者不同的时间周期。通过挖掘资产价格与观点之间潜在的图形结构关系，我们推导出当价格过程遵循几何布朗运动时资产收益的条件分布，并证明该分布可通过多维布朗桥进行表述。该布朗桥的构成要素是相互依赖的一维布朗桥，其触发时间由价格过程与观点的统计特性决定。新的价格过程可表明为仿射因子模型，其中条件对数价格过程扮演因子向量的角色。我们推导出最优动态投资策略的显式表达式，并分析新协变量变化带来的对冲需求。更广义而言，本文论证了贝叶斯图模型是Black-Litterman框架中融入复杂信息结构的天然工具。关于布朗运动在给定其终值噪声观测条件下的性质与多维布朗桥的关联性研究具有创新性，且具备独立的研究价值。

推荐文章5

● 题目：Package Bids in Combinatorial Electricity Auctions: Selection, Welfare Losses, and Alternatives

组合电力拍卖中的打包投标：选择、福利损失与替代方案

● 原文链接：
https://doi.org/10.1287/opre.2024.0777

● 作者：Thomas Hübner , Gabriela Hug

● 发布时间：2025-08-22

● 摘要：

A key challenge in combinatorial auctions is designing bid formats that accurately capture agents’ preferences while remaining computationally feasible. This is especially true for electricity auctions, where complex preferences complicate straightforward solutions. In this context, we examine the XOR package bid, the default choice in combinatorial auctions and adopted in European day-ahead and intraday auctions under the name “exclusive group of block bids.” Unlike parametric bid formats often employed in U.S. power auctions, XOR package bids are technology agnostic, making them particularly suitable for emerging demand-side participants. However, the challenge with package bids is that auctioneers must limit their number to maintain computational feasibility. As a result, agents are constrained in expressing their preferences, potentially lowering their surplus and reducing overall welfare. To address this issue, we propose decision support algorithms that optimize package bid selection, evaluate welfare losses resulting from bid limits, and explore alternative bid formats. In our analysis, we leverage the fact that electricity prices are often fairly predictable and, at least in European auctions, tend to approximate equilibrium prices reasonably well. Our findings offer actionable insights for both auctioneers and bidders.

组合拍卖中的一个关键挑战在于设计既能准确捕捉参与者偏好、又保持计算可行性的投标形式。这在电力拍卖中尤为明显，复杂的偏好使得简单直接的解决方案难以实现。在此背景下，我们研究了异或包投标——这种组合拍卖中的默认选择在欧洲日前和日内市场中以”排他性区块投标组合”的名称被采用。与美国电力拍卖中常采用的参数化投标形式不同，异或包投标具有技术无关性，使其特别适合新兴的需求侧参与者。不过包投标的挑战在于，拍卖师必须限制其数量以维持计算可行性。这导致参与者在表达偏好时受到限制，可能降低其收益并减少整体福利。针对这一问题，我们提出了决策支持算法来优化包投标选择，评估投标限制导致的福利损失，并探索替代投标形式。我们的分析利用了电力价格往往具有较高可预测性这一实际——至少在欧洲拍卖中，其价格趋势能较好地逼近均衡价格。研究结果为拍卖师和投标者均提供了可操作的见解。

推荐文章6

● 题目：Many-Server Queueing Systems with Heterogeneous Strategic Servers in Heavy Traffic

重负载下含异构策略性服务台的多服务台排队系统

● 原文链接：
https://doi.org/10.1287/opre.2022.0608

● 作者：Burak Büke , Gonçalo dos Reis , Vadim Platonov

● 发布时间：2025-08-25

● 摘要：

In most service systems, the servers are humans who desire to experience a certain level of idleness. In call centers, this manifests itself as call-avoidance behavior when servers strategically adjust their service rate to strike a balance between the idleness they receive and effort to work harder. Moreover, being human, each server values this trade-off differently and has different capabilities. We develop a novel framework, relying on measure-valued processes and mean-field game theory, to simultaneously address strategic server behavior and inherent server heterogeneity in service systems. This framework significantly extends the literature on strategic servers in four directions by (i) incorporating individual choices of servers, (ii) incorporating individual abilities of servers, (iii) modeling the discomfort experienced because of low levels of idleness, and (iv) considering more general routing policies. It also enables us to move beyond symmetric equilibria by asymptotically characterizing asymmetric Nash equilibria in many-server systems with strategic servers. In simpler cases, it is shown that the purely quality-driven regime is asymptotically optimal when the servers are strategic. However, we show that, if the discomfort increases quickly enough as the idleness approaches zero, the quality- and efficiency-driven regime can be optimal even under strategic behavior. To our knowledge, this is the first time this conclusion appears in the literature.

在大多数服务系统中，服务提供者都是人类，他们期望获得必定程度的空闲时间。在呼叫中心中，当座席人员通过策略性调整服务速率来平衡自身空闲时间与工作强度时，就会表现出规避来电的行为。此外，由于人类个体差异，每位座席人员对这种权衡的重点关注程度各不一样，且具备不同的服务能力。我们开发了一个基于测度值过程和均值场博弈理论的新型分析框架，用以同时解决服务系统中的战略性服务行为与固有服务异质性问题。该框架通过以下四个维度显著拓展了战略性服务行为的研究范畴：(i) 纳入服务人员的个体选择；(ii) 思考服务人员的个体能力差异；(iii) 模拟低空闲水平带来的不适感；(iv) 采用更通用的路由策略。该框架还使我们能够突破对称均衡的局限，通过渐近分析刻画具有战略性服务人员的多服务员系统中的非对称纳什均衡。在简化场景中，研究表明当服务人员采取策略性行为时，纯质量驱动机制具有渐近最优性。不过我们进一步证明，若不适感随着空闲时间趋近零而快速增强时，即使存在战略性行为，质量与效率兼顾机制仍可能达到最优。据我们所知，这一结论在学界尚属首次提出。

推荐文章7

● 题目：Optimal Trade Execution Under Endogenous Order Flow

内生订单流下的最优交易执行

● 原文链接：
https://doi.org/10.1287/opre.2023.0151

● 作者：Ying Chen , Ulrich Horst , Hoang Hai Tran

● 发布时间：2025-08-26

● 摘要：

We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk neutrality and deterministic constants of the impact parameters, we provide closed-form solutions and illustrate the relationship between trading strategies and feedback effects. The optimal trading strategy is of hyperbolic form if the feedback effect of current trading on future order flow is not too strong. If the feedback effect becomes too dominating, a cyclic strategy with possible beneficial round-trips may emerge. Our results extend to risk-averse investors for which semiclosed form solutions involving inverse Laplace transforms are obtained. We set up an estimation framework so that parameter estimates can be made directly from public data and are consistent with the theoretical model. When implementing our model on 110 NASDAQ stocks, the empirical analysis shows that as the level of endogeneity increases, our strategy provides increasingly better performance than the commonly adopted trading strategy. The empirical analysis also shows that too strong feedback effects do not exist in practice, thus ruling out statistical arbitrage.

我们研究了一个最优清仓模型，该模型中投资者需要在日内交易时段执行母单，其交易活动会触发子单并内生性地影响未来订单流（包括瞬时影响和永久影响）。在风险中性与影响参数为确定性常数的假设条件下，我们给出了闭式解，并阐释了交易策略与反馈效应之间的关系。若当前交易对未来订单流的反馈效应不太强时，最优交易策略呈现双曲线形式；当反馈效应占据主导地位时，则可能出现带有潜在获益性往返交易的周期性策略。我们的研究结果可扩展至风险厌恶型投资者，并获得了涉及拉普拉斯逆变换的半闭式解。我们建立了参数估计框架，使得可以直接从公开数据获取与理论模型相一致的参数估计。通过对110只纳斯达克股票进行实证分析发现，随着内生性水平提高，我们的策略相比常用交易策略能带来持续更优的表现。实证分析同时表明，实践中不存在过强的反馈效应，由此排除了统计套利的可能性。