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IMA Journal of Management Mathematics最新文献

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Two-part tariff contract design for a supplier base: a unifying methodology 供应商基础的两部分关税合同设计：一种统一的方法
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-07-10 DOI: 10.1093/imaman/dpab022
Roberto Andrés Alcívar Espín, Y. Chou, Ching-Chi Huang
{"title":"Two-part tariff contract design for a supplier base: a unifying methodology","authors":"Roberto Andrés Alcívar Espín, Y. Chou, Ching-Chi Huang","doi":"10.1093/imaman/dpab022","DOIUrl":"https://doi.org/10.1093/imaman/dpab022","url":null,"abstract":"\u0000 Conventional contract designs largely aim to coordinate decisions in dyadic relationships. In the new era of network environments and near-zero variable costs for many goods and services, a different approach to contract design is required for two reasons. First, offering a set of contracts to multiple contractors of different objectives, sizes, and business practices will allow each to choose the most suitable contract. Second, given that most previous studies have not considered quasi-fixed costs, it is helpful to understand two-part tariff contracts and their variants for a supplier base, new variants based on quasi-fixed costs, and related decision sequences between the parties in a supply chain. We propose a unifying methodology to set the contract parameters so that the different variants will have comparable performance outcomes. The results and the insights gained suggest that the proposed methodology should improve a retailer’s management of its supplier base and also benefit all parties throughout the supply chain.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47802711","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Model-based adjustment for conditional benchmarking 基于模型的条件基准调整
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-06-28 DOI: 10.1093/imaman/dpab021
D. Graham, Ramandeep Singh
{"title":"Model-based adjustment for conditional benchmarking","authors":"D. Graham, Ramandeep Singh","doi":"10.1093/imaman/dpab021","DOIUrl":"https://doi.org/10.1093/imaman/dpab021","url":null,"abstract":"\u0000 Quantitative benchmarking is widely used in the industry to compare relative performance across a sample of organizations. A key analytical challenge lies in obtaining accurate measures of intrinsic organizational performance net of contextual or exogenous influences. In this paper, we propose a model-based adjustment approach for comparative benchmarking that allows the analyst to recover targeted metrics for specific aspects of innate performance. We outline the statistical theory underpinning our method, provide simulations to demonstrate its properties and describe practical examples for computation. The managerial relevance of the method is demonstrated via two real-world transport industry applications: adjusting for economies of scale and density in benchmarking average costs of urban metros and for service characteristics in benchmarking metro journey times.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46880398","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Performance analysis in a stochastic supply chain with reverse flows: a DEA-based approach 逆向流动随机供应链的绩效分析：一种基于DEA的方法
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-06-12 DOI: 10.1093/IMAMAN/DPAB018
A. Amirteimoori, Leila Khoshandam, S. Kordrostami, M. J. S. Noveiri, R. Matin
{"title":"Performance analysis in a stochastic supply chain with reverse flows: a DEA-based approach","authors":"A. Amirteimoori, Leila Khoshandam, S. Kordrostami, M. J. S. Noveiri, R. Matin","doi":"10.1093/IMAMAN/DPAB018","DOIUrl":"https://doi.org/10.1093/IMAMAN/DPAB018","url":null,"abstract":"\u0000 Traditional efficiency studies on network data envelopment analysis (DEA) consider decision-making units as black boxes that use a set of crisp inputs to produce a set of crisp outputs and that ignore intermediate measures and reverse flows. In real applications, however, we are faced with network systems with reverse flows in an uncertain environment. In this paper, therefore, a chance-constrained multistage DEA model is introduced to analyze the relative performances of supply chains and components in the presence of reverse flows and random factors. A real case in the sugar illustrates the proposed method. The results demonstrate the validity and applicability of the model.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45934322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A worst-case approach for interest rate stresses and stock crashes 这是应对利率压力和股市崩盘的最坏方法
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-06-11 DOI: 10.1093/IMAMAN/DPAB019
Marcel Beißer, Leander Geisinger, R. Korn
{"title":"A worst-case approach for interest rate stresses and stock crashes","authors":"Marcel Beißer, Leander Geisinger, R. Korn","doi":"10.1093/IMAMAN/DPAB019","DOIUrl":"https://doi.org/10.1093/IMAMAN/DPAB019","url":null,"abstract":"\u0000 In the current low interest rate environment even sovereign bonds cannot be considered as risk-free investments. To care for this aspect we introduce a worst-case continuous-time portfolio problem with combined stresses, that is, both stocks and the money market account can experience shocks in the form of unpredictable downward jumps in their values. We characterize the worst-case optimal portfolio strategy as an indifference strategy that is the solution of a constrained optimization problem. Our results generalize existing results in a multi-asset setting. Numerical examples demonstrate new effects in the presence of interest rate shocks. These insights can be used for risk management in the presence of crash risks.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43707325","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A new value-based method for decomposing profit efficiency 基于价值的利润效率分解新方法
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-06-03 DOI: 10.1093/IMAMAN/DPAB010
Ming‐Miin Yu, Shih-Liang Chao
{"title":"A new value-based method for decomposing profit efficiency","authors":"Ming‐Miin Yu, Shih-Liang Chao","doi":"10.1093/IMAMAN/DPAB010","DOIUrl":"https://doi.org/10.1093/IMAMAN/DPAB010","url":null,"abstract":"\u0000 Conventional profit and allocative efficiencies suffer from a critical deficiency if input and output prices are different between decision-making units (DMUs) in the market when assuming given uniform input and output prices under a homogeneous technology. Price differences and technology gap considerations are more relevant to firms in reducing profit loss under a non-homogeneous technology with non-perfect market competition. This study proposes a new value-based meta-profit inefficiency decomposition considering the presence of both a new technology gap and price inefficiency. As an illustrative empirical application, we present an example of 35 Taiwanese banks representing two types of banking organizations: financial holding companies (FHCs) and non-FHCs. The new decomposition we propose helps to identify the profit–loss due to group technical, group price, new technology gap and meta-mix inefficiencies of DMUs.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43778631","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modelling and solving the bi-objective production–transportation problem with time windows and social sustainability 建模并解决具有时间窗口和社会可持续性的双目标生产-运输问题
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-05-10 DOI: 10.1093/IMAMAN/DPAB008
Fatemeh Shahrabi, R. Tavakkoli-Moghaddam, C. Triki, Mahsa Pahlevani, Yaser Rahimi
{"title":"Modelling and solving the bi-objective production–transportation problem with time windows and social sustainability","authors":"Fatemeh Shahrabi, R. Tavakkoli-Moghaddam, C. Triki, Mahsa Pahlevani, Yaser Rahimi","doi":"10.1093/IMAMAN/DPAB008","DOIUrl":"https://doi.org/10.1093/IMAMAN/DPAB008","url":null,"abstract":"\u0000 We model and solve the production routing problem (PRP) with time windows, product deterioration and split delivery. A bi-objective PRP model for a single perishable product, which is subject to deterioration, is presented. The two objectives represent the economic and social aspects of sustainability, whereas the environmental impact is enforced by incorporating ad-hoc constraints. The economic dimension of sustainability consists of minimizing the costs related to the production, setup, holding, transportation and lateness penalty. The social responsibilities are modelled through maximizing the total freshness of the delivered products at all nodes over the planning horizon. The outcomes of our formulation are represented by the lot sizes, and the amounts of product to be delivered, as well as the routing at each planning period. To solve the resulting problem, we develop an interval robust possibilistic approach, and we carry out an experimental study and a sensitivity analysis. Finally, we further validate our optimization model and solution method using a real-life case of a food factory producing a product that is subject to perishability and deterioration.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47042366","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Location flexibility in parcel delivery operations: framework and empirical analysis 包裹递送业务中的位置灵活性：框架与实证分析
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-03-18 DOI: 10.1093/IMAMAN/DPAB004
D. Krushinsky, Xuezhen Guo, G. Claassen
{"title":"Location flexibility in parcel delivery operations: framework and empirical analysis","authors":"D. Krushinsky, Xuezhen Guo, G. Claassen","doi":"10.1093/IMAMAN/DPAB004","DOIUrl":"https://doi.org/10.1093/IMAMAN/DPAB004","url":null,"abstract":"\u0000 In traditional parcel delivery operations, customers determine delivery locations and, hence, the performance of a transporter. We exploit this idea and show that customers can improve the efficiency of a transporter by giving the latter flexibility in choosing the delivery locations. Two possible policies to enable this flexibility are presented and evaluated. The first policy, conceptually similar to roaming vehicle routing, is related to the presence of alternative locations. The second policy is related to the possibility of aggregating/skipping some locations. We show that route optimization behind both policies can be modelled via the well-known generalized travelling salesman problem. Extensive computational experiments with real parcel delivery data are performed to evaluate the potential of the presented policies and to obtain insights for possible implementation in daily practice. The experiments show that under certain conditions, the two proposed policies can lead to 15 to 20% improvement in the route length and in extreme yet realistic cases up to 40 to 50%. Consequently, the concept of flexible delivery locations has potential for practice, especially in densely populated areas.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":" ","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/IMAMAN/DPAB004","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43571749","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Heuristic mean-variance optimization in Markov decision processes using state-dependent risk aversion 基于状态相关风险规避的马尔可夫决策过程的启发式均值方差优化
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-03-01 DOI: 10.1093/imaman/dpab009
Rainer Schlosser
{"title":"Heuristic mean-variance optimization in Markov decision processes using state-dependent risk aversion","authors":"Rainer Schlosser","doi":"10.1093/imaman/dpab009","DOIUrl":"10.1093/imaman/dpab009","url":null,"abstract":"In dynamic decision problems, it is challenging to find the right balance between maximizing expected rewards and minimizing risks. In this paper, we consider NP-hard mean-variance (MV) optimization problems in Markov decision processes with a finite time horizon. We present a heuristic approach to solve MV problems, which is based on state-dependent risk aversion and efficient dynamic programming techniques. Our approach can also be applied to mean-semivariance (MSV) problems, which particularly focus on the downside risk. We demonstrate the applicability and the effectiveness of our heuristic for dynamic pricing applications. Using reproducible examples, we show that our approach outperforms existing state-of-the-art benchmark models for MV and MSV problems while also providing competitive runtimes. Further, compared to models based on constant risk levels, we find that state-dependent risk aversion allows to more effectively intervene in case sales processes deviate from their planned paths. Our concepts are domain independent, easy to implement and of low computational complexity.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"33 2","pages":"181-199"},"PeriodicalIF":1.7,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47142095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Analysis of the optimal time to withdraw investments from hedge funds with alternative fee structures 从具有不同收费结构的对冲基金中撤出投资的最佳时间分析
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-03-01 DOI: 10.1093/imaman/dpab016
Fei Meng;David Saunders
{"title":"Analysis of the optimal time to withdraw investments from hedge funds with alternative fee structures","authors":"Fei Meng;David Saunders","doi":"10.1093/imaman/dpab016","DOIUrl":"10.1093/imaman/dpab016","url":null,"abstract":"We study the optimal stopping problem arising from an investor determining the best time to withdraw from a hedge fund with a shared loss fee structure and a positive fee for assets under management—a decision that is critically important to the viability of such products in practice. The optimal solution is characterized as the first exit time of the fund value from a bounded region with upper and lower stopping boundaries. In the infinite horizon case, we present the complete solution to the optimal stopping problem, while in the finite horizon case we derive a pair of coupled integral equations for the stopping bounds and present an asymptotic analysis of the stopping boundaries for small time. The analysis requires new mathematical results extending techniques suitable for options with one exercise boundary to the case of a coupled pair of upper and lower boundaries.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"33 2","pages":"315-344"},"PeriodicalIF":1.7,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/imaman/dpab016","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42421243","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Age-replacement policy for items described by stochastic degradation with dependent increments 具有依赖增量的随机退化描述的项目的年龄替代策略
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-03-01 DOI: 10.1093/imaman/dpab014
Ji Hwan Cha;Maxim Finkelstein;Gregory Levitin
{"title":"Age-replacement policy for items described by stochastic degradation with dependent increments","authors":"Ji Hwan Cha;Maxim Finkelstein;Gregory Levitin","doi":"10.1093/imaman/dpab014","DOIUrl":"10.1093/imaman/dpab014","url":null,"abstract":"We consider a hybrid preventive maintenance policy. As in the classic model of age-replacement, a system is replaced either on failure or on reaching a predetermined age T. Additionally, it can be replaced on reaching a predetermined level of deterioration at some intermediate time in [0,T). We use a transformed gamma process with dependent increments to model the deterioration. A failure of an item occurs when this process reaches a predetermined deterministic level. We show that the proposed policy outperforms the classical one, that is, it achieves a lower value of the long-run cost rate. A detailed numerical illustration is presented and sensitivity analysis for the main parameters of the model is performed. The work in the paper makes an important contribution to maintenance modelling because dependent increments can better represent deterioration of a real system.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"33 2","pages":"273-287"},"PeriodicalIF":1.7,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42504563","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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