Annals of Operations Research最新文献_第6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

引用次数: 0

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

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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

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

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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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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

Complexity Bounds for Deterministic Partially Observed Markov Decision Processes 确定性部分可观察马尔可夫决策过程的复杂度界

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-30 DOI: 10.1007/s10479-024-06282-0

Cyrille Vessaire, Pierre Carpentier, Jean-Philippe Chancelier, Michel De Lara, Alejandro Rodríguez-Martínez

{"title":"Complexity Bounds for Deterministic Partially Observed Markov Decision Processes","authors":"Cyrille Vessaire, Pierre Carpentier, Jean-Philippe Chancelier, Michel De Lara, Alejandro Rodríguez-Martínez","doi":"10.1007/s10479-024-06282-0","DOIUrl":"10.1007/s10479-024-06282-0","url":null,"abstract":"<div><p>Partially Observed Markov Decision Processes (<span>Pomdp</span>) share the structure of Markov Decision Processs (<span>Mdp</span>) — with stages, states, actions, probability transitions, rewards — but for the notion of solutions. In a <span>Pomdp</span>, observation mappings provide partial and/or imperfect knowledge of the state, and a policy maps observations (and not states like in a <span>Mdp</span>) towards actions. Theroretically, a <span>Pomdp</span> can be solved by Dynamic Programming (DP), but with an information state made of probability distributions over the original state, hence DP suffers from the curse of dimensionality, even in the finite case. This is why, authors like (Littman, M. L. 1996). Algorithms for Sequential Decision Making. PhD thesis, Brown University) and (Bonet, B. 2009). Deterministic POMDPs revisited. In <i>Proceedings of the Twenty-Fifth Conference on Uncertainty in Artificial Intelligence, UAI ’09</i> (pp. 59-66). Arlington, Virginia, USA. AUAI Press) have studied the subclass of so-called Deterministic Partially Observed Markov Decision Processes (<span>Det-Pomdp</span>), where transitions and observations mappings are deterministic. In this paper, we improve on Littman’s complexity bounds. We then introduce and study a more restricted class, Separated <span>Det-Pomdp</span>s, and give some new complexity bounds for this class.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 1","pages":"345 - 382"},"PeriodicalIF":4.4,"publicationDate":"2024-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142912746","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

Optimal asset allocation and nonlinear return predictability from the dividend-price ratio 最优资产配置与股利价格比的非线性收益可预测性

IF 4.4 3区管理学

Annals of Operations Research Pub Date : 2024-10-30 DOI: 10.1007/s10479-024-06332-7

Fabrizio Ghezzi, Anindo Sarkar, Thomas Quistgaard Pedersen, Allan Timmermann

引用次数: 0