{"title":"Markowitz and the CAPM","authors":"Yusif Simaan","doi":"10.1007/s10479-024-06404-8","DOIUrl":"10.1007/s10479-024-06404-8","url":null,"abstract":"<div><p>There has been confusion between the Mean-Variance (MV) model and the Capital Asset Pricing Model (CAPM) due to the former providing the foundation for the latter. As the validity of the CAPM was challenged, the validity of the MV model suffered by association. A core implication of the CAPM is the mean-variance efficiency of the market portfolio. This property does not hold once some CAPM assumptions are relaxed. We focus on the limitations of the CAPM’s budget constraint. Markowitz never recommended portfolio selection without using realistic constraints - like bounds on short sales and portfolio weights. When such constraints are imposed, the market portfolio loses its efficiency, and the exact linearity of asset expected returns in beta fails. We use simulation analysis to examine whether beta is predictive when the market portfolio is inefficient. We also examine the irrelevance of residual risk in asset pricing. We conclude that neither beta nor the CAPM is dead.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"673 - 691"},"PeriodicalIF":4.4,"publicationDate":"2024-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638212","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}
{"title":"Managing perishable inventory when strategic customers form a reference on product availability","authors":"Hasan Arslan, Seokjin Kim","doi":"10.1007/s10479-024-06398-3","DOIUrl":"10.1007/s10479-024-06398-3","url":null,"abstract":"<div><p>Our framework deals with stochastic dynamic inventory models for stocking decisions of a retailer selling a single perishable product in the presence of strategic customers who time their purchases. Each short period, the retailer determines a stocking quantity before random demand is realized. Strategic customers use their reference on product availability to purchase at a regular price or wait for a markdown and learn from the retailer’s stocking quantity to update their reference. We characterize the structural properties such as the concavity of single- and two-period profit functions. On an infinite horizon, we show that a steady-state reference distribution is ergodic and an optimal stocking quantity is unique for a given reference. We conduct extensive numerical studies on an infinite horizon to compare an optimal dynamic policy and the corresponding optimal static policy which sets a fixed stocking quantity over time. A near-optimal performance of optimal static policy with an average profit gap of less than 1% is remarkable and contrasts with that in the two-period model which may be far worse. Thus, a well-chosen fixed stocking quantity on a planning horizon with many short periods tends to yield a high performance without having to change stocking quantities over time.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 1","pages":"47 - 78"},"PeriodicalIF":4.4,"publicationDate":"2024-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142912776","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}
{"title":"Investments: the (almost) century of Markowitz Harry Markowitz: portfolio selection scholar, simulation creator, and applied investment researcher and consultant extraordinaire","authors":"John Guerard","doi":"10.1007/s10479-024-06396-5","DOIUrl":"10.1007/s10479-024-06396-5","url":null,"abstract":"","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"1 - 8"},"PeriodicalIF":4.4,"publicationDate":"2024-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638504","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}
{"title":"Correction: Evolutionary game theoretic approach with deep learning for health decision-making in critical environment","authors":"Yue Wu, Beiyi Chen, Helen Huifen Cai, Daojuan Wang, Qiong Yuan","doi":"10.1007/s10479-024-06372-z","DOIUrl":"10.1007/s10479-024-06372-z","url":null,"abstract":"","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 1","pages":"565 - 565"},"PeriodicalIF":4.4,"publicationDate":"2024-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142913041","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}
{"title":"Optimization based on expanded maintenance model considering OSS edge computing","authors":"Yoshinobu Tamura, Shigeru Yamada","doi":"10.1007/s10479-024-06407-5","DOIUrl":"10.1007/s10479-024-06407-5","url":null,"abstract":"<div><p>We have proposed the maintenance effort assessment model based on two Wiener processes for the operation of open source software (OSS) used in the edge computing in the past. In particular, we consider that this proposed model can assess the reliability by using three dimensional graph. Then, we have proposed two-dimensional modeling based on the effort management in the past. In this paper, we propose new expanded maintenance model considering OSS edge computing by expanding the existing two Wiener processes model in order to consider the network environment under the edge OSS operation. Especially, it is important to control the amount of maintenance effort expense in the long-term phase. Then, we propose the optimization method based on the past two-dimensional Wiener processes model. Thereby, it will be helpful to assess the operation effort expenditures with network environment of edge OSS service. Moreover, actual effort data sets are analyzed to show numerical examples of the proposed optimization method considering the network environment under the edge OSS operation.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"345 1","pages":"405 - 416"},"PeriodicalIF":4.4,"publicationDate":"2024-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06407-5.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143109809","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}
{"title":"A near-linear time algorithm and a min-cost flow approach for determining the optimal landing times of a fixed sequence of planes","authors":"Bin Cao, Chao Xu","doi":"10.1007/s10479-024-06358-x","DOIUrl":"10.1007/s10479-024-06358-x","url":null,"abstract":"<div><p>The aircraft landing problem (ALP) is an important issue of assigning an airport’s runways to the arrival aircrafts as well as to schedule the landing time of these aircrafts in practice. A large number of the extant studies have tried to address such a practical problem with using various algorithms for one or more runways. For a static single-runway of the ALP, this paper proposes a new approach to develop an alternative powerful algorithm. For a given sequence of planes, we develop a faster algorithm for solving the ALP with the running time <span>(O(n log n))</span>, where <i>n</i> is the number of aircrafts in the schedule. Alternatively, we reduce the proposed problem of minimizing the total cost by determining the landing times for a given landing sequence into a min-cost flow problem. We conduct a set of experimental studies to compare the performance of our near-linear time algorithm to the quadratic time algorithm whose time complexity is <span>(O(n^2))</span>, for computing the optimal landing times. The computational results show that the proposed heuristic based on our algorithm could be much faster than both such quadratic time algorithm and the one using linear programming.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 1","pages":"479 - 498"},"PeriodicalIF":4.4,"publicationDate":"2024-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142912890","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}
{"title":"The Ashley and Patterson (1986) test for serial independence in daily stock returns, revisited","authors":"Richard A. Ashley, Faezeh Najafi","doi":"10.1007/s10479-024-06355-0","DOIUrl":"10.1007/s10479-024-06355-0","url":null,"abstract":"<div><p>We update and extend the non-parametric test proposed in Ashley and Patterson (J Financ Quant Anal 21:221–227, 2014) – of the proposition that the (pre-whitened) daily stock returns for a firm are serially independent, and hence unpredictable from their own past. That paper applied this test to daily returns from 1962 to 1981 for several U.S. corporations and aggregate indices, finding mixed evidence against this null hypothesis of serial independence. The returns dataset is updated here to include thirteen firms which are currently more relevant, and the sample is extended through the end of 2023. We also update the simulation methodology here to properly account for the conditional heteroskedasticity in the daily returns data, so that the present results should now be more statistically reliable. The results are broadly in line with our earlier results, but they do suggest further avenues of research in this area.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"567 - 584"},"PeriodicalIF":4.4,"publicationDate":"2024-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06355-0.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638240","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}
{"title":"Vanguard and Fidelity active stock funds: both generally beat their same-style Vanguard index funds","authors":"Edward Tower","doi":"10.1007/s10479-024-06196-x","DOIUrl":"10.1007/s10479-024-06196-x","url":null,"abstract":"<div><p>This chapter contrasts the return of Vanguard and Fidelity active stock mutual funds with the same-style portfolio of Vanguard’s index funds over the ten years through 2022. Vanguard’s equally weighted portfolio of domestic active funds generally excess-returns the Vanguard same-style index fund portfolio, as does Fidelity’s equally weighted active-fund portfolio.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"645 - 656"},"PeriodicalIF":4.4,"publicationDate":"2024-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638574","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}
Mehrdad Maghsoudi, Sajjad Shokouhyar, Nafiseh Sanaee, Sina Shokoohyar
{"title":"Enhancing sustainability reporting practices in the notebook manufacturing industry: a multifaceted analysis integrating traditional reports and social media data","authors":"Mehrdad Maghsoudi, Sajjad Shokouhyar, Nafiseh Sanaee, Sina Shokoohyar","doi":"10.1007/s10479-024-06343-4","DOIUrl":"10.1007/s10479-024-06343-4","url":null,"abstract":"<div><p>This study adopts a multidimensional approach to examining sustainability reporting practices among notebook manufacturers, integrating traditional corporate sustainability reports with social media data from platforms like Twitter, Facebook, and Reddit. Using advanced machine learning techniques, including multi-label classification and BERT-based sentiment analysis, the research highlights the key environmental, social, and economic dimensions that consumers prioritize. The findings reveal a significant misalignment between consumer concerns, reflected in social media discourse, and the focus of corporate sustainability reports. While companies emphasize environmental impacts and supply chain management, consumers prioritize product reliability, community obligations, and educational initiatives. This gap indicates a need for companies to realign their sustainability strategies to better meet consumer expectations, emphasizing trust-building, community engagement, and educational efforts. Despite these differences, the study also identifies shared concerns between consumers and producers, such as environmental impacts, supply chain sustainability, and transparency in sustainability claims. Based on these insights, the study recommends fostering transparent communication, engaging in inclusive dialogue, and committing to accountable actions across all sustainability dimensions. By aligning corporate reporting with consumer expectations, this research provides guidance to help companies advance towards a circular economy and enhance Extended Producer Responsibility (EPR) in the electronics industry, ultimately benefiting both companies and consumers in the pursuit of a more sustainable future.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"345 1","pages":"317 - 349"},"PeriodicalIF":4.4,"publicationDate":"2024-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06343-4.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143108994","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}