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IMA Journal of Management Mathematics最新文献

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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
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
Dynamic hedging in incomplete markets using risk measures 不完全市场中使用风险度量的动态套期保值
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-03-01 DOI: 10.1093/imaman/dpab017
Patrice Gaillardetz;Saeb Hachem
{"title":"Dynamic hedging in incomplete markets using risk measures","authors":"Patrice Gaillardetz;Saeb Hachem","doi":"10.1093/imaman/dpab017","DOIUrl":"10.1093/imaman/dpab017","url":null,"abstract":"In this paper, we consider the pricing of financial derivatives that involve dynamic hedging strategies and payments within the planning horizon. Equity-indexed annuities (EIAs), guaranteed investment certificates (GICs) and American and barrier options are typical examples of these products. Our exploration involves the use and comparison of alternative models that use risk measures. Although the hedging is done for each observation of the input stochastic process, the appropriate mix of risk measures and state dynamic equations helps the issuer to appropriately tailor the overall risk exercise. These different models are solved by a unified backward stochastic dynamic programming framework that we imbed with parametric techniques to shorten the running time and manage the curse of dimensionality in dynamic programming. To demonstrate the flexibility of this framework we present numerical examples featuring GICs and point-to-point EIAs. Finally, by using sampling techniques, optimal hedging strategies and specific indicators of the hedging performance, we make recommendations on how to fine tune the risk measure parameters.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"33 2","pages":"345-367"},"PeriodicalIF":1.7,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44448978","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
An evolutionary game theoretic model of whistleblowing behaviour in organizations 组织告密行为的进化博弈论模型
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-03-01 DOI: 10.1093/imaman/dpab015
María J Quinteros;Marcelo J Villena;Mauricio G Villena
{"title":"An evolutionary game theoretic model of whistleblowing behaviour in organizations","authors":"María J Quinteros;Marcelo J Villena;Mauricio G Villena","doi":"10.1093/imaman/dpab015","DOIUrl":"10.1093/imaman/dpab015","url":null,"abstract":"We present a theoretical model of corruption in organizations. Our specific focus is the role of incentives that aim to encourage whistleblowing behaviour. Corruption is modelled as a social norm of behaviour using evolutionary game theory. In particular, the dynamics of whistleblowing behaviour is captured using the replicator dynamics equation with constant and quadratic monitoring costs. We formally explore the local asymptotic stability of the equilibria. Our findings indicate that the traditional recommendations of the Beckerian approach are usually too expensive and/or unstable. We argue that an efficient mechanism for controlling corruption can be achieved by maintaining efficient salaries and imposing high rewards for whistleblowers when they detect wrongdoing. In the long term, employees can only be honest, or corrupt, or corrupt and whistleblowers; honest and whistleblowing behaviour will not coexist in the long run, since one of these two strategies is always dominated by the other.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"33 2","pages":"289-314"},"PeriodicalIF":1.7,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/imaman/dpab015","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44033264","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
Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching 基于机制转换的Heston-Cox-Ingersoll-Ross模型下外汇期权定价
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-03-01 DOI: 10.1093/imaman/dpab013
Xin-Jiang He;Wenting Chen
{"title":"Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching","authors":"Xin-Jiang He;Wenting Chen","doi":"10.1093/imaman/dpab013","DOIUrl":"10.1093/imaman/dpab013","url":null,"abstract":"In this paper, the pricing of foreign exchange options is considered under a modified Heston–Cox–Ingersoll–Ross hybrid model. This modified model reserves all the characteristics of the Heston–Cox–Ingersoll–Ross model and also additionally assumes regime switching in the key parameters of the volatility as well as the domestic and foreign interest rates. Even though complicated, we have derived a closed-form pricing formula for foreign exchange options after the affinity of this new model is verified. Various properties of the newly derived formula are also shown through numerical experiments. To show the performance of this newly proposed model, an empirical study is also conducted, the result of which suggests that our model is a good alternative to the Heston–Cox–Ingersoll–Ross model for practical purpose.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"33 2","pages":"255-272"},"PeriodicalIF":1.7,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43412371","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: 26
Pricing formulas for perpetual American options with general payoffs 具有一般收益的永久美式期权的定价公式
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-03-01 DOI: 10.1093/imaman/dpab011
Marianito R Rodrigo
{"title":"Pricing formulas for perpetual American options with general payoffs","authors":"Marianito R Rodrigo","doi":"10.1093/imaman/dpab011","DOIUrl":"10.1093/imaman/dpab011","url":null,"abstract":"An American option gives the holder the right, but not the obligation, to buy/sell an underlying asset from/to the writer at an agreed strike price at any time on or before the expiry date. Options are mainly used for speculation and hedging. The pricing of options is a fundamental problem in mathematical finance. One of the attractions of options is that they can be used to construct a wide range of trading strategies characterized by different payoff functions. As a preliminary step in the valuation of American options for a variety of trading strategies, in this article the pricing of perpetual American options with general payoffs is considered, where the perpetual American call and put are special cases. Four broad classes of payoff functions are identified for which analytical pricing formulas can be derived by utilizing a Mellin transform technique and an optimization procedure. Depending on the class of payoff functions considered, free boundary problems with one or two boundaries are obtained. Illustrative examples are provided and benchmarked numerically with the binomial method. The characterization of different payoffs for perpetual American options considered in this article will be instrumental in the identification and pricing of new free boundary problems for (non-perpetual) American-style financial derivatives.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"33 2","pages":"201-228"},"PeriodicalIF":1.7,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/imaman/dpab011","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42291945","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
OUP accepted manuscript OUP接受稿件
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-01-01 DOI: 10.1093/imaman/dpab043
{"title":"OUP accepted manuscript","authors":"","doi":"10.1093/imaman/dpab043","DOIUrl":"https://doi.org/10.1093/imaman/dpab043","url":null,"abstract":"","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"1 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"61003511","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: 4
OUP accepted manuscript OUP接受稿件
IF 1.7 3区 工程技术
IMA Journal of Management Mathematics Pub Date : 2021-01-01 DOI: 10.1093/imaman/dpab033
{"title":"OUP accepted manuscript","authors":"","doi":"10.1093/imaman/dpab033","DOIUrl":"https://doi.org/10.1093/imaman/dpab033","url":null,"abstract":"","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"1 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"61002834","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: 6
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