IMA Journal of Management Mathematics最新文献_第8页

A two-stage method for improving discrimination and variable selection in DEA models 改进DEA模型中判别和变量选择的两阶段方法

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2021-08-12 DOI: 10.1093/imaman/dpab023

Qiwei Xie, Rong Li, Yanping Zou, Yujia Liu, Xiaojiong Wang

引用次数: 2

A stochastic dominance approach to pension-fund selection 养老基金选择的随机优势方法

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2021-08-01 DOI: 10.1093/imaman/dpab002

Miloš Kopa;Audrius Kabašinskas;Kristina Šutienė

{"title":"A stochastic dominance approach to pension-fund selection","authors":"Miloš Kopa;Audrius Kabašinskas;Kristina Šutienė","doi":"10.1093/imaman/dpab002","DOIUrl":"10.1093/imaman/dpab002","url":null,"abstract":"This paper contributes to the research on multi-pillar pension systems with main focus on private pension funds (PFs). In this context, the specific objective of this study is to determine which second-pillar private fund is the best for participants in such systems on the basis of their risk profile. Based on the assumptions on utility functions of the participants in a pension scheme, four types of stochastic dominance (SD) relations are considered, specifically first order, second order, third order and SD generated by utility functions with decreasing absolute risk aversion. We conduct an analysis under two distributional assumptions: empirical and stable distribution of returns. Moreover, the investors for which non-dominated funds are the optimal choices are identified. Allowing for diversification, the efficiency of the PFs with respect to several types of SD is tested. Then, the observed behaviour of participants in the last quarter/year is compared to the results of SD analysis. Finally, the identified SD relations are stress-tested using data originating from a period of turmoil. Despite the focus on Lithuanian PFs, the methodology developed in this work can be employed by participants or PF managers in similar markets of other countries.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"33 1","pages":"139-160"},"PeriodicalIF":1.7,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/imaman/dpab002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46725966","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

A stochastic-programming approach for scheduling catch-up rounds in round-robin sport leagues 循环赛追赶赛的随机规划方法

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2021-08-01 DOI: 10.1093/imaman/dpaa024

Xiajie Yi;Dries Goossens

{"title":"A stochastic-programming approach for scheduling catch-up rounds in round-robin sport leagues","authors":"Xiajie Yi;Dries Goossens","doi":"10.1093/imaman/dpaa024","DOIUrl":"10.1093/imaman/dpaa024","url":null,"abstract":"In most sport leagues, a schedule is announced before the start of the season. However, due to unexpected events (e.g. bad weather conditions), some games cannot be played on the announced date. To handle this, before the start of the season, empty so-called catch-up rounds are positioned in the schedule as a buffer. During the season, games can then be rescheduled to these catch-up rounds. We develop a two-stage stochastic programming approach to determine where to position the catch-up rounds in order to maintain the quality of the realized schedule. While our method is generally applicable, we demonstrate its use with soccer. Scenarios and their probabilities are deduced from historical data from 10 major European soccer leagues. We study the impact of the number of catch-up rounds and costs on the positions of catch-up rounds and compare our method with other proactive strategies from the literature. We conclude with a case study based on the English Premier League. In particular when many games cannot be played as planned and few catch-up rounds are available, our stochastic programming approach outperforms existing methods with respect to maintaining a fair ranking and avoiding cancelled games.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"32 4","pages":"425-449"},"PeriodicalIF":1.7,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44669589","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 extended regularized adjusted plus-minus analysis for lineup management in basketball using play-by-play data 基于比赛数据的篮球阵容管理的扩展正则化调整正负分析

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2021-08-01 DOI: 10.1093/imaman/dpaa022

Luca Grassetti;Ruggero Bellio;Luca Di Gaspero;Giovanni Fonseca;Paolo Vidoni

{"title":"An extended regularized adjusted plus-minus analysis for lineup management in basketball using play-by-play data","authors":"Luca Grassetti;Ruggero Bellio;Luca Di Gaspero;Giovanni Fonseca;Paolo Vidoni","doi":"10.1093/imaman/dpaa022","DOIUrl":"10.1093/imaman/dpaa022","url":null,"abstract":"In this work we analyse basketball play-by-play data in order to evaluate the efficiency of different five-man lineups employed by teams. Starting from the adjusted plus-minus framework, we present a model-based strategy for the analysis of the result of partial match outcomes, extending the current literature in two main directions. The first extension replaces the classical response variable (scored points) with a comprehensive score that combines a set of box score statistics. This allows various aspects of the game to be separated. The second extension focuses on entire lineups rather than individual players, using a suitable extended model specification. The model fitting procedure is Bayesian and provides the necessary regularization. An advantage of this approach is the use of posterior distributions to rank players and lineups, providing an effective tool for team managers. For the empirical analysis, we use the 2018/2019 regular season of the Turkish Airlines Euroleague Championship, with play-by-play and box scores for 240 matches, which are made available by the league website. The results of the model fitting can be used for several investigations as, for instance, the comparative analysis of the effects of single players and the estimation of total and synergic effects of lineups monitoring. Moreover, the behaviour of players and lineups during the season, updating the estimation results after each gameday, can represent a rather useful tool.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"32 4","pages":"385-409"},"PeriodicalIF":1.7,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/imaman/dpaa022","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44446165","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: 5

Procurement modes for emergency supplies in the presence of disaster and commercial demands 发生灾害和商业需求时的应急物资采购模式

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2021-08-01 DOI: 10.1093/imaman/dpab003

Xiaochen Sun;Jinghui Zhang;Wei Hu

引用次数: 4

Modifying Bradley–Terry and other ranking models to allow ties 修改Bradley–Terry和其他排名模型以允许平局

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2021-08-01 DOI: 10.1093/imaman/dpaa027

Rose Baker;Philip Scarf

引用次数: 6

Competitive balance measures and the uncertainty of outcome hypothesis in European football 欧洲足球比赛中的竞争平衡测度与结果假设的不确定性

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2021-08-01 DOI: 10.1093/imaman/dpab027

V Manasis;I Ntzoufras;J J Reade

{"title":"Competitive balance measures and the uncertainty of outcome hypothesis in European football","authors":"V Manasis;I Ntzoufras;J J Reade","doi":"10.1093/imaman/dpab027","DOIUrl":"10.1093/imaman/dpab027","url":null,"abstract":"Competitive balance is an important issue in professional sport in general and European football in particular. However, competitive balance is difficult to quantify because competitiveness is multi-dimensional and particular sports are distinctive. We aim to identify the most appropriate index for a holistic view of competitive balance in European football. We use data from eight domestic European football leagues over a time span of 60 years. The indices we consider are specifically designed to capture competitiveness at different levels of performance and in this way reflect the peculiarities of European football leagues. Our findings support the longstanding uncertainty of outcome hypothesis. A bivariate index that captures competitiveness in the top K places is shown to have the highest association with attendance. A seasonal index of champions’ domination is also found to have a large association with attendance. Finally, ranking mobility is found to have a slightly higher association with attendance than seasonal performance. These results imply that sports policy makers should use these indices to assess strategic decisions that may influence competitive balance.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"33 1","pages":"19-52"},"PeriodicalIF":1.7,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"61003006","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

Forty years of score-based soccer match outcome prediction: an experimental review 四十年来基于分数的足球比赛结果预测:一项实验回顾

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2021-08-01 DOI: 10.1093/imaman/dpab029

Ondřej Hubáček;Gustav Šourek;Filip železný

引用次数: 5

Optimizing preventive maintenance over a finite planning horizon in a semi-Markov framework 在半马尔可夫框架中在有限规划范围内优化预防性维护

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2021-08-01 DOI: 10.1093/imaman/dpaa026

Antonio Sánchez Herguedas;Adolfo Crespo Márquez;Francisco Rodrigo Muñoz

{"title":"Optimizing preventive maintenance over a finite planning horizon in a semi-Markov framework","authors":"Antonio Sánchez Herguedas;Adolfo Crespo Márquez;Francisco Rodrigo Muñoz","doi":"10.1093/imaman/dpaa026","DOIUrl":"https://doi.org/10.1093/imaman/dpaa026","url":null,"abstract":"This paper describes the optimization of preventive maintenance (PM) over a finite planning horizon in a semi-Markov framework. In this framework, the asset may be operating, and providing income for the asset owner, or not operating and undergoing PM, or not operating and undergoing corrective maintenance following failure. PM is triggered when the asset has been operating for τ time units. A number m of transitions specifies the finite horizon. This system is described with a set of recurrence relations, and their z-transform is used to determine the value of τ that maximizes the average accumulated reward over the horizon. We study under what conditions a solution can be found, and for those specific cases the solution τ* is calculated. Despite the complexity of the mathematical solution, the result obtained allows the analyst to provide a quick and easy-to-use tool for practical application in many real-world cases. To demonstrate this, the method has been implemented for a case study, and its accuracy and practical implementation were tested using Monte Carlo simulation and direct calculation.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"33 1","pages":"75-99"},"PeriodicalIF":1.7,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/imaman/dpaa026","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67853752","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

Optimal sports betting strategies in practice: an experimental review 实践中的最佳体育博彩策略：实验综述

IF 1.7 3区工程技术

IMA Journal of Management Mathematics Pub Date : 2021-08-01 DOI: 10.1093/imaman/dpaa029

Uhrín Matej;Šourek Gustav;Hubáček Ondřej;Železný Filip

引用次数: 7