Annals of Operations Research最新文献_第10页

A guided tour of multiple criteria sorting models and methods 多标准排序模型和方法导览

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-11-12 DOI: 10.1007/s10479-024-06278-w

Khaled Belahcène, Vincent Mousseau, Wassila Ouerdane, Marc Pirlot, Olivier Sobrie

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Seasonal affective disorder and currency markets 季节性情感失调与货币市场

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-11-12 DOI: 10.1007/s10479-024-06364-z

John Arabadjis, Michael Melvin, Robert Savage, John Velis

{"title":"Seasonal affective disorder and currency markets","authors":"John Arabadjis, Michael Melvin, Robert Savage, John Velis","doi":"10.1007/s10479-024-06364-z","DOIUrl":"10.1007/s10479-024-06364-z","url":null,"abstract":"<div><p>Harry Markowitz is known as the grandfather of behavioral finance based on his 1952 work on utility theory. We study a behavioral issue applied to the currency market: seasonal affective disorder (SAD). As the days grow shorter (longer) in fall (spring), investors become more (less) risk averse due to changes in depression related to SAD. Our empirical results are consistent with changes in risk-taking in global equities and the associated change in currency hedging portfolios. In the spring/summer season of long daylight hours, we find evidence of greater short positions for the euro. This is consistent with investors taking more risk in global equities and adding to their currency shorts to hedge the FX exposure. Such changes in euro holdings are reversed in the season of shorter daylight hours, consistent with risky investments being reduced due to greater risk aversion so currency hedges are reduced. For currency returns, we find that the greater shorting in spring–summer is associated with currency depreciation over the season of long days. In the season of short days, currency buying associated with cutting hedging positions leads to currency appreciation. We find that the SAD influence on seasonal currency returns is much like the evidence for equity returns. Finally, we construct and backtest a SAD-inspired currency portfolio. We find that trading the spring/summer risk-on SAD effect from longer days and recovery from SAD-related depression had a decent positive risk-adjusted performance and displayed fairly consistent performance over time.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"549 - 565"},"PeriodicalIF":4.4,"publicationDate":"2024-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06364-z.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638140","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Statistical methods for decision making in public sector: from the quality assessment to the citizen satisfaction 公共部门决策的统计方法：从质量评估到公民满意度

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-11-08 DOI: 10.1007/s10479-024-06374-x

Luigi D’Ambra, Rosella Castellano, Pierpaolo D’Urso, Sandra De Iaco

引用次数: 0

Correction: Portfolio insurance, portfolio theory, market simulation, and risks of portfolio leverage 修正：投资组合保险、投资组合理论、市场模拟、投资组合杠杆风险

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-11-07 DOI: 10.1007/s10479-024-06367-w

Bruce I. Jacobs, Kenneth N. Levy

引用次数: 0

The absolute quickest 1-center problem on a cycle and its reverse problem 在一个循环中绝对最快的单中心问题和它的反向问题

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-11-07 DOI: 10.1007/s10479-024-06361-2

Kien Trung Nguyen

引用次数: 0

Dollarization in Ecuador: 2000–2024 厄瓜多尔的美元化：2000-2024

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-11-06 DOI: 10.1007/s10479-024-06365-y

Michael B. Connolly

引用次数: 0

Portfolio selection revisited 重新审视投资组合的选择

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-11-04 DOI: 10.1007/s10479-024-06340-7

Alex Shkolnik, Alec Kercheval, Hubeyb Gurdogan, Lisa R. Goldberg, Haim Bar

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Optimal refund policy design for ship berthing appointment mechanism 船舶靠泊预约机制的最优退款政策设计

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-11-01 DOI: 10.1007/s10479-024-06318-5

Haoqing Wang, Yan Liu, Yuquan Du, Shuaian Wang

{"title":"Optimal refund policy design for ship berthing appointment mechanism","authors":"Haoqing Wang, Yan Liu, Yuquan Du, Shuaian Wang","doi":"10.1007/s10479-024-06318-5","DOIUrl":"10.1007/s10479-024-06318-5","url":null,"abstract":"<div><p>Seaports, the nodal and bottleneck points in the global supply chain network, have been making effort to encourage shipping companies to book berths before ships arrive at the ports. The information and communication technology (ICT) system is essential for the success of this effort. We propose an appointment mechanism with a refund policy for the berth booking ICT system to mitigate port congestion. Two refund policies are investigated: cash refund policy and coupon refund policy. We develop a bi-level model that considers the interests of the port and shipping companies, with which the cash refund policy determines its optimal booking fee and the returned cash, and the coupon refund policy determines its optimal booking fee, the value of the coupon, and the shelf life of the coupon. Numerical experiments are conducted to analyze the two refund policies, the reactions of shipping companies with different characteristics, and how the port takes advantage of the characteristics of shipping companies to maximize profit. The proposed appointment mechanism achieves a win-win performance for the port and shipping companies as it increases the income of the port and reduces the delay cost of shipping companies. This study innovatively investigates the refund policy for the berth booking system and helps understand the mechanism of the system, thereby providing theoretical support for applying the berth booking system in the maritime industry. Moreover, this study contributes to alleviating port congestion and to environmental sustainability by reducing ship emissions caused by waiting at port and inappropriate sailing speed.\u0000</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"347 3","pages":"1643 - 1670"},"PeriodicalIF":4.4,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06318-5.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143925506","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Digital operations research models for intelligent machines (industry 4.0) and man-machine (industry 5.0) systems 智能机器（工业 4.0）和人机（工业 5.0）系统的数字运筹学模型

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-11-01 DOI: 10.1007/s10479-024-06366-x

Madjid Tavana, Tobias Schoenherr, Yang Cheng, Ajay Kumar, Eric W. T. Ngai

引用次数: 0

Women, immigrants, and microcredit in Europe: a Bayesian approach 欧洲的妇女、移民和小额信贷：贝叶斯方法

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-30 DOI: 10.1007/s10479-024-06312-x

Anastasia Cozarenco, Ariane Szafarz, Mike Tsionas

{"title":"Women, immigrants, and microcredit in Europe: a Bayesian approach","authors":"Anastasia Cozarenco, Ariane Szafarz, Mike Tsionas","doi":"10.1007/s10479-024-06312-x","DOIUrl":"10.1007/s10479-024-06312-x","url":null,"abstract":"<div><p>We use structural modeling to address the allocation process of a microcredit provider granting loans to a heterogeneous pool of applicants. Our theoretical model accounts for technology, risk preferences, and information asymmetry. We test the model with a hand-collected database that includes detailed information on the applicants of a microcredit institution funding European micro-enterprises. Non-parametric Bayesian methodology is used to unpack between-group differences in approval probabilities associated with gender and country of origin and identify (demand-side differences), while differences in unexplained approval probabilities would suggest supply-side biases. The empirical analysis shows that applicants coming from outside of the European Union tend to be more productive than EU-born citizens. They also enjoy a higher approval probability, except for applicants from Latin America, which appear to be riskier borrowers. This result suggests that the microcredit provider treats immigrants fairly. By contrast, the higher productivity and the lower risk of female entrepreneurial projects is only partially compensated by easier access to credit.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 1","pages":"103 - 134"},"PeriodicalIF":4.4,"publicationDate":"2024-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142912747","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0