Sungyong Choi (CV: pdf file)

Phone: (1)-(973)-353-3970

E-mail: sungyong@andromeda.rutgers.edu

Education and Employment

• Rutgers Business School, Newark and New Brunswick, NJ

  • Visiting Assistant Professor in Management Science and Information Systems
  • Ph.D. in Management Science and Information Systems, October 2009
  • Concentration: Supply Chain Management (Actual Defense Date: August 31, 2009)
  • Thesis Advisor: Professor II Andrzej Ruszczyński

• Michigan State University, East Lansing, MI, USA

  • Master of Science in Probability and Statistics, Sep. 2002 - May 2004

• Korea University, Seoul, South Korea

  • Ph.D student in Management Science and Information Systems, Mar. 1998 - Feb. 1999
  • Master of Business Administration, Mar. 1996 - Feb. 1998

• KAIST (Korea Advanced Institute of Science and Technology), Daejeon, South Korea

  • Bachelor of Science in Management Science, Aug. 1994

Areas of Interests

• Research: (statements)

  • Area: Supply Chain Management - Stochastic Optimization Modeling and Applications, Inventory Management under Risk
  • Methodology: Risk Theory, Stochastic Dynamic Programming, Game Theory, Nonlinear Optimization et al.

• Teaching: (statements)

  • I prefer teaching the core OM (Operations Management) courses such as Operations Management, Business Statistics and OR/MS (Operations Research and Management Sciences) courses. But I am also interested in developing OM electives depending on the department's need.

Dissertation

• Title: The Risk-Averse Newsvendor Models

• Abstract

  • I consider single- and multi-product risk-averse newsvendor models under two risk measures, coherent measures of risk and exponential utility function. Following from the typical format of a newsvendor model, I formulate the problems in the single- and multi-product cases and establish my models to take risk aversion into account. Thus, my models can capture the decision making of inventory managers at a different angle than most of literature in supply chain management. The key research questions are how the degree of risk aversion and product demand dependence structure interact with each other and affect jointly to the optimal decision of inventory managers. My models can find their applications in many manufacturing, distribution and retailing companies that handle short life-cycle products.

• From my extensive literature review, I summarize and tabulate the literature of risk-averse inventory models and categorize typical approaches to risk-averse inventory models into four groups by the risk measures used. I discuss similarities and differences between the models. In particular, I provide clear axiomatic criteria to evaluate validity of risk measures in risk-averse newsvendor models. By the axiomatic criteria, coherent measures of risk are chosen to fit best for risk-averse newsvendor models, but the exponential utility function is also studied for a comparison purpose. This axiomatic approach can be also applicable to other types of risk-averse inventory models.

• In the main results, I study the impact of risk aversion on the optimal ordering quantity. For single-product models, I obtain closed-form optimal ordering quantity under coherent measures of risk and closed-form approximation under exponential utility function. For a large but finite number of products, I also obtain closed-form approximations under the both risk measures when product demands are independent. My approximations are as simple to compute as the risk-neutral newsvendor solutions and the gap between the optimal solutions and approximations quickly converges to zero as the number of products increases. Then I prove that the risk-neutral solution is asymptotically optimal under coherent measures of risk, as the number of products tends to be infinity. The same proposition is proved under exponential utility function, as the ratio of the degree of risk aversion to the number of products goes to zero. Thus, in both cases, risk aversion has no impact in the limit. Demand dependence significantly affects the optimal ordering quantity. I derive analytical and numerical insights for the interplay between demand correlation and risk aversion. All these results are consistent with our insights and confirmed by numerical examples from my computational study.

• I conclude my dissertation by comparing risk-averse newsvendor models and financial portfolio optimization models.

• Content

  • Part 1: A single-product single-period risk-averse inventory model, published in Operations Research Letters (Joint work with Prof. A. Ruszczyński)
  • Part 2 (Job Market Paper): A multi-product single-period risk-averse inventory model with coherent measures of risk, for the third-round review at Operations Research (Joint work with Prof. A. Ruszczyński and Prof. Y. Zhao). The full paper will be available by request.
  • Part 3: A multi-product single-period risk-averse inventory model with exponential utility function, in-preparation for the second-round review at European Journal of Operational Research (Joint work with Prof. A. Ruszczyński)

Publications

• Choi, S. and A. Ruszczyński (2008), “A risk-averse newsvendor with law-invariant coherent measures of risk”, Operations Research Letters, 36, 77-82

  ** All other four papers below are written in Korean

  Park, K., S. Choi and B. Kim. “An Analysis of Evolutionary Steps of Quality Management in Korean Manufacturing Firms with the Perspective of Technological Capabilities”, Journal of Korean Production and Operations Management (Korean), 10(1), pp. 105-129, 1999

  Sung, S., and S. Choi, “The Critical Factors of Quality Management Practices in Korean Manufacturing Companies”, Journal of Korean Production and Operations Management (Korean), 9(2), pp. 97-116, 1998

  Sung, S., and S. Choi, “The Critical Factors of Quality Management in Large, Medium/Small Manufacturing Companies, and Kwangyang Steel Company”, Business Research (Korean), 32(2), pp. 69-88, 1998

  Sung, S., and S. Choi, “The Critical Factors of Quality Management in the construction industry”, Journal of Managerial research (Korean), 42, pp. 27-52, 1998

Working and Work-In-Progress Papers

• Choi, S., A. Ruszczyński and Y. Zhao (2009), “A multi-product risk-averse newsvendor with law-invariant coherent measures of risk”, for the third-round review at Operations Research

• Choi, S. and A. Ruszczyński (2009), "A multi-product risk-averse newsvendor with exponential utility function", in-preparation for the second-round review at European Journal of Operational Research

• Choi, S. and A. Ruszczyński (2009), “The multi-period risk-averse newsvendor with law-invariant coherent measures of risk”, In-preparation for submission

• Choi, S. and A. Ruszczyński (2009), "The risk-averse multi-newsvendor model", In-preparation for submission

Conference Presentations

• A Multi-Product Risk-Averse Newsvendor with Coherent Measures of Risk

  • 2009 MSOM Annual Conference - Special Interest Group of iFORM (Interfaces of Finance, Operations and Risk Management) , Boston, MA, USA
  • INFORMS Annual Conferences in Seattle, WA, November 2007, Washington, DC, October 2008 and San Diego, CA, October 2009
  • DSI Annual Conferences in Baltimore, MD, November 2008 and New Orleans, LA, November 2009

• A Risk-Averse Newsvendor Problem with Coherent Measures of Risk

  • The 4th Rutgers-Stevens Workshop (Optimization of Stochastic Systems), Stevens Institute of Technology, Hoboken, NJ, USA
  • 2006 INFORMS Annual Conference, Pittsburgh, PA, USA

Teaching Experience

• Instructor

  • Business Research Methods, Current, Rutgers Business School, Newark and New Brunswick, NJ (text: Statistics: Concepts and Controvercies (7th edition) by David S. Moore and William I. Notz)

• Teaching Assistant: taught lab sessions, Graded homework and lab assignments, held weekly office hours and proctored and graded exams

  • Fall 2005, Spring 2007 and Spring 2008: Operations Management (Prof. Andrzej Ruszczyński), Rutgers Business School
  • Spring 2006, Fall 2006 and Fall 2007: Statistical Methods in Business (Prof. Andrzej Ruszczyński), Rutgers Business School

• Computer Lab Assistant: helped students to use basic software like MS Office programs and the Blackboard learning system

  • Fall 2004 and Spring 2005: Rutgers Business School

Honors and Awards

• Recipient of Dissertation Fellowship of 16,600$, Rutgers Business School, 2008-2009

• Summer Research Grant of 3,600$, Rutgers Business School, 2005 and 2006

• Student Travel Award, Rutgers Business School, 2006, 2007, 2008 and 2009

• Best Instructorial Officer for training seamen, 1st Fleet, South Korea Navy, Jun. 2001

• Full Scholarship from Ministry of Science and Technology (South Korea), 1990 – 1994

Professional Experiences

• Busan (Destroyer), the 1st Fleet, South Korea Navy, Donghae, South Korea

  • Rank and Duration: Lieutenant, Junior Grade (LTJG), March 1999 – June 2002
  • Position and Responsibility: Supply Officer (managing war supplies) and Instructorial Officer (temporarily dispatched to the 1st Fleet Headquarter)

• The Institute for Business Research and Education, Seoul, South Korea

  • Position and Duration: Assistant Researcher, January 1998 – February 1999
  • Responsibility: Completed some parts of the research projects independently

• Kangnam University, Yongin-City, Kyunggi-Do, South Korea

  • Position and Duration: Instructor, Spring 1998
  • Responsibility: Taught Quantitative Methods for Business in undergraduate sophomore level

• Korea University, Seoul, South Korea

  • Position and Duration: Teaching and Computer Lab Assistant, March 1996 – February 1998
  • Responsibility: Same jobs and courses (Operations Management and Statistical Methods for Business: Prof. Sung) I did at Rutgers

Selected Projects

• The appropriateness for unifying collection of crude milk in Korea

  • Sponsor: Korean Livestock Cooperative
  • Position and Duration: Assistant Researcher, Jan. 1998 – Jun. 1998
  • Responsibility: Developed the analytic model using transportation simplex method

• The evolutionary development of Korean production system with respect to Automation, Production Planning, and Quality Management

  • Sponsor: Korea Research Foundation
  • Position and Duration: Assistant Researcher, Feb. 1997 – Dec. 1998
  • Responsibility: Literature review, company interview and survey and empirical study

Academic Membership and Services

• Member in academic society: INFORMS (Institute of Operations Research and Management Science), DSI (Decision Science Institute)

• Reviewer for Journal of Operations Management, Annals of Operations Research and Computers and Operations Research, Proceeding of 2009 DSI Annual Conference

Personal Information

• Computer Skills: Experienced with C++, Matlab, SAS, AMPL, LaTex, MS Office

• Obtained Mathematics Levels: Real and Functional Analysis up to Real Analysis (3rd edition) by Royden, Probability and Measure up to Probability and Measure (3rd edition) by Billingsley, Stochastic Process up to Stochastic Processes (2nd edition) by Ross

• Nationality and Languages: South Korea, Native in Korean and Fluent in English, Eligible to work legally

Hobbies

• Tennis and Swimming, Cooking, Playing Piano and Listening Classical Musics and Baduk (a kind of strategic board game mainly enjoyed in the far-east countries)

• My favorite composers are Frederick Chop in and Wolfgang Amadeus Mozart