Modified Network Simplex Method to Solve a Sheltering Network Planning and Management Problem

This dissertation considers sheltering network planning and operations for natural disaster preparedness and responses with a two-stage stochastic program. The first phase of the network design decides the locations, capacities and held resources of new permanent shelters. Both fixed costs for building a new permanent shelter and variable costs based on capacity are considered. Under each disaster scenario featured by the evacuee demand and transportation network condition, the flows of evacuees and resources to shelters, including permanent and temporary ones, are determined in the second stage to minimize the transportation and shortage/surplus costs. Typically, a large number of scenarios are involved in the problem and cause a huge computational burden. The L-shaped algorithm is applied to decompose the problem into the scenario level with each sub-problem as a linear program. The Sheltering Network Planning and Operation Problem considered in this dissertation also has a special structure in the second-stage sub-problem that is a minimum cost network flow problem with equal flow side constraints. Therefore, the dissertation also takes advantages of the network simplex method to solve the response part of the problem in order to solve the problem more efficiently. This dissertation investigates the extending application of special minimum cost equal flow problem. A case study for preparedness and response to hurricanes in the Gulf Coast region of the United States is conducted to demonstrate the usage of the model including how to define scenarios and cost structures. The numerical experiment results also verify the fast convergence of the L-shaped algorithm for the model

Long-Term Global Market Correlations

In this paper we examine the correlation structure of the major world equity markets over 150 years. We find that correlations vary considerably through time and are highest during periods of economic and financial integration such as the late 19th and 20th centuries. Our analysis suggests that the diversification benefits to global investing are not constant, and that they are currently low compared to the rest of capital market history. We decompose the diversification benefits into two parts: a component that is due to variation in the average correlation across markets, and a component that is due to the variation in the investment opportunity set. There are periods, like the last two decades, in which the opportunity set expands dramatically, and the benefits to diversification are driven primarily by the existence of marginal markets. For other periods, such as the two decades following World War II, risk reduction is due to low correlations among the major national markets. From this, we infer that periods of globalization have both benefits and drawbacks for international investors. They expand the opportunity set, but diversification relies increasingly on investment in emerging markets.