IMA Journal of Management Mathematics最新文献_第2页

Newsvendor decisions under incomplete information:behavioural experiments on information uncertainty 不完全信息下的新闻供应商决策：信息不确定性的行为实验

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2024-04-09 DOI: 10.1093/imaman/dpae008

Ayşe Kocabıyıkoğlu, Dilek Önkal, Celile Itır Göğüş, M Sinan Gönül

{"title":"Newsvendor decisions under incomplete information:behavioural experiments on information uncertainty","authors":"Ayşe Kocabıyıkoğlu, Dilek Önkal, Celile Itır Göğüş, M Sinan Gönül","doi":"10.1093/imaman/dpae008","DOIUrl":"https://doi.org/10.1093/imaman/dpae008","url":null,"abstract":"Exploring the effects of information uncertainty presents an extensive challenge to decision-makers. This study presents a set of behavioural experiments that examine the impact of incomplete information on newsvendor decisions. Findings show that orders deviate from normative benchmarks when decision makers have incomplete information and this tendency is stronger when the demand distribution is not known. Comparison of decisions under incomplete information against behavioural benchmarks with full and no information reveal that the availability of price and cost information brings decisions significantly closer to normative levels when the underlying demand distribution is unknown. On the opposite spectrum, when demand information is available, not knowing price or cost does not lead to worse decisions. Analysing newsvendor profits under various information conditions, we find participants capture at most 84% of earnings they could have generated if they ordered the normative quantity in high profit margin settings; the corresponding percentage is 51% in low profit margin settings. Our results suggest decreasing uncertainty on the demand distribution has a consistently positive impact on profits, while uncertainty about cost or price does not have a significant effect. Implications of our findings on the differential impact of incomplete information are discussed via the backdrop of the prevalence of newsvendor framework across a wide range of operational decisions.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"27 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140569910","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 Flexible Time-to-Build Model of Supply Chain Disruptions 供应链中断的灵活构建时间模型

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2024-04-09 DOI: 10.1093/imaman/dpae007

James Kahn

引用次数: 0

Accelerated numerical solutions for discretized black-scholes equations 离散化黑舒尔斯方程的加速数值解法

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2024-04-02 DOI: 10.1093/imaman/dpae006

Foued Saâdaoui

{"title":"Accelerated numerical solutions for discretized black-scholes equations","authors":"Foued Saâdaoui","doi":"10.1093/imaman/dpae006","DOIUrl":"https://doi.org/10.1093/imaman/dpae006","url":null,"abstract":"This study thoroughly investigates the efficiency of advanced numerical extrapolation methods aimed at enhancing the convergence of vector sequences in the realm of mathematical finance. Our focus lies in the application of polynomial extrapolation techniques to calculate finite difference solutions for the Black-Scholes (BS) equation–an indispensable model in options pricing. The performance of our algorithms undergoes rigorous evaluation through a comprehensive analysis involving both simulated and real-world data. Notably, our experiments uncover that a stochastic scheme, incorporating two extrapolation strategies and a random relaxation parameter, outperforms other proposed methods, excelling in both convergence and stability metrics. Our findings underscore the potential of this numerical extrapolation method to enhance the efficiency of financial calculations, particularly in the realm of option pricing. This innovation holds promise for refining financial models and addressing specific challenges within the field of mathematical programming, providing effective solutions to the primary computational bottlenecks commonly encountered in financial decision-making.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"26 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140569519","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

Residual life modeling and maintenance planning for repairable systems 可修复系统的剩余寿命建模和维护规划

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2024-03-11 DOI: 10.1093/imaman/dpae005

Reza Ahmadi, Amirhossein Sobhani, Zohreh Rasaei

{"title":"Residual life modeling and maintenance planning for repairable systems","authors":"Reza Ahmadi, Amirhossein Sobhani, Zohreh Rasaei","doi":"10.1093/imaman/dpae005","DOIUrl":"https://doi.org/10.1093/imaman/dpae005","url":null,"abstract":"This paper formulates a state-dependent mean residual lifetime model (SDMRL) for a repairable system operating in a dynamic environment. The problem is addressed by means of a two-state damage process reflecting the effect of operating environment on the system and a repair process associated with the damage process. As the damage process shifts to a higher state, to maintain a minimum level of performance, the decision maker repairs the system at times that arise according to a point process with a constant intensity. We demonstrate the generality of the proposed model and show how existing models emerge as specific cases. Our approach stimulates further research on the determination of two types of maintenance policies: maintenance policy based on the number of imperfect repairs (Model I) and time-based maintenance policy (Model II). In both cases, using the renewal reward theorem argument, we aim at minimizing the long-run average maintenance cost per unit time by determining optimal replacement policies and the optimal level of imperfect repairs. We illustrate the proposed models and carry out a comparative analysis of maintenance policies through numerical examples. The main conclusions drawn are that repair and maintenance policies depend on the failure mechanism, repair frequency and the level of costs involved. Also, numerical comparison shows that the maintenance modeling based on the number of imperfect repairs (model I) outperforms the time-based replacement model (model II) and two baseline models ignoring the effect of operating environment or whose attention is restricted to perfect repair.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"41 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140105082","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

The “Inter-AI Period:” How Management Mathematics Can Help Shape An AI-Enabled Future 跨人工智能时期："管理数学如何帮助塑造人工智能的未来

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2024-02-26 DOI: 10.1093/imaman/dpae004

Nada R Sanders

引用次数: 0

Modelling tactical changes in association football using a Markov game 利用马尔可夫博弈模拟协会足球的战术变化

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2024-02-22 DOI: 10.1093/imaman/dpae002

Nobuyoshi Hirotsu, Yuki Masui, Yu Shimasaki, Masafumi Yoshimura

引用次数: 0

Cooperative strategies of emission reduction in the 3PL-led supply chain 以第三方物流为主导的供应链中的减排合作战略

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2024-02-21 DOI: 10.1093/imaman/dpae003

Bo Li, Hui Zhang, Minxue Wang, Shumin Han, Shuxia Peng

{"title":"Cooperative strategies of emission reduction in the 3PL-led supply chain","authors":"Bo Li, Hui Zhang, Minxue Wang, Shumin Han, Shuxia Peng","doi":"10.1093/imaman/dpae003","DOIUrl":"https://doi.org/10.1093/imaman/dpae003","url":null,"abstract":"The 3PL industry has grown rapidly over the past few years, and its emission reduction behavior is gaining attention. This paper considers a supply chain system composed of a manufacturer, a retailer, and a third-party logistics provider (3PL), in which both the manufacturer and the 3PL make the low-carbon investment. 3PL is a leader in the low-carbon supply chain. To promote emission reduction in logistics, the manufacturer and the retailer separately share the logistics emission reduction costs of the 3PL. Through comparing the no-sharing, manufacturer-sharing, and retailer-sharing models, we discuss the cost-sharing strategy preference of each participant and analyze the impact on environmental benefit and social welfare. The results show that cost-sharing can effectively improve product demand, which also supports society in obtaining higher benefits. Moreover, the 3PL tends to be shared by the retailer when the low-carbon investment cost of logistics is high and the investment cost of production is low. Both the manufacturer and the retailer prefer the other party to share the cost, but sharing it together can effectively alleviate free-rider behavior.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"284 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139956585","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

The cost of delay as risk measure in target-based multi-period portfolio selection models 以目标为基础的多期投资组合选择模型中作为风险度量的延迟成本

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2024-01-14 DOI: 10.1093/imaman/dpae001

Jia Liu, Zhiping Chen, Giorgio Consigli

{"title":"The cost of delay as risk measure in target-based multi-period portfolio selection models","authors":"Jia Liu, Zhiping Chen, Giorgio Consigli","doi":"10.1093/imaman/dpae001","DOIUrl":"https://doi.org/10.1093/imaman/dpae001","url":null,"abstract":"Increasingly in recent years the fund management industry has evolved towards so-called goal-based investing paradigms, under which investors are assumed to base their portfolio strategies on pre-specified targets to be attained in the future. A similar decision model is common in the wealth management and the life insurance industries where targets may be associated with long term investment horizons and retirement planning problems. Based on this evidence, we propose in this article a novel risk measure explicitly focusing on the financial cost that may be associated with a delay in reaching those targets. We show that the definition of this risk measure is both rather natural and effective to capture investors’ risk preferences. A dynamic portfolio selection model is developed to assess the effectiveness of the risk measure from financial and risk control perspectives. The introduced risk measure has good properties and it is related to the Value-at-Risk (VaR) with a given confidence level. Under sufficiently general statistical assumptions, we derive a closed form solution to a mean-risk formulation of the portfolio problem in which the cost of delay is taken as risk measure. Finally, a set of numerical tests validate the proposed portfolio selection model and show a set of comparative results with respect to a classical dynamic mean-variance model.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"22 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139469713","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

Anti-corruption measures in large-scale construction projects 大型建设项目中的反腐败措施

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2024-01-05 DOI: 10.1093/imaman/dpad030

Pardis Nikoonam Nezami, Payam Shojaei, Aboalghasem Ebrahimi

{"title":"Anti-corruption measures in large-scale construction projects","authors":"Pardis Nikoonam Nezami, Payam Shojaei, Aboalghasem Ebrahimi","doi":"10.1093/imaman/dpad030","DOIUrl":"https://doi.org/10.1093/imaman/dpad030","url":null,"abstract":"Corruption is affecting many developing countries, manifested often in construction projects. This study identifies the factors causing corruption and prioritizes anti-corruption measures in large-scale urban construction projects with empirical data from a developing country: Iran. The model consists of six main dimensions including 24 measures and was developed by systematically reviewing the literature as well as collecting primary data through interviewing experts. The model prioritizes the anti-corruption measures through an integrated method of Fuzzy Best-Worst Method (FBWM) and Fuzzy Measurement Alternatives and Ranking according to the COmpromise Solution (FMARCOS). The field of corruption has a multifaceted nature and inherent uncertainty, which necessitates this integrated approach for its analysis. The results reveal that the “lawlessness and deregulation in public construction projects” and “top management and leader commitment” are the most important causes of corruption. This study offers two main contributions. First, it develops a conceptual model to evaluate and prioritize anti-corruption measures; second, it generates practical solution for reducing corruption in municipal and urban management, thus enhancing the prospects of successful construction projects in developing countries.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"4 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139374389","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

Analyzing Chinese Banking Performance with a Trigonometric Envelopment Analysis for Ideal Solutions Model 用三角包络分析理想解决方案模型分析中国银行业绩效

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2023-12-15 DOI: 10.1093/imaman/dpad026

J. Antunes, Yong Tan, P. Wanke

{"title":"Analyzing Chinese Banking Performance with a Trigonometric Envelopment Analysis for Ideal Solutions Model","authors":"J. Antunes, Yong Tan, P. Wanke","doi":"10.1093/imaman/dpad026","DOIUrl":"https://doi.org/10.1093/imaman/dpad026","url":null,"abstract":"\u0000 Non-parametric Data Envelopment Analysis (DEA) is susceptible to the curse of dimensionality, a challenge that can be mitigated through the use of the Multi-Criteria Decision-making (MCDM) method. Conversely, DEA can overcome the limitations of the MCDM method by defining the weights of the Decision-Making Unit to calculate the data envelop. This study addresses this issue by introducing a novel model, the Trigonometric Envelopment Analysis for Ideal Solutions (TEA-IS). TEA-IS combines DEA and the Technique for Order Performance by Similarity to Ideal Solution (TOPSIS) approaches. The proposed method is employed to assess the efficiency and performance of 367 Chinese banks over a 19-year period using various financial variables. The TEA-IS model leverages machine learning techniques to predict positive or negative outcomes for Chinese banks, taking into account various influencing factors. Our results indicate that TEA-IS scores demonstrate superior discriminatory power and reliability compared to non-parametric and MCDM methods. Furthermore, our findings reveal the presence of synergy among Chinese banks and illustrate a pattern of volatility in the Chinese banking industry’s performance. Notably, performance improved from 2000 to 2005, declined during the period from 2006 to 2013, and subsequently experienced a recovery until 2018. The majority of Chinese banks in the sample are categorized as medium performers with lower synergy levels. Additionally, the study underscores the positive impact of bank listing and age on bank performance, suggesting that regional banks outperform domestic ones.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"2 10","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138996088","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