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Predictive distributions and the market return: The role of market illiquidity 预测分布与市场回报:市场流动性不足的作用
IF 6 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2025-01-13 DOI: 10.1016/j.ejor.2025.01.006
Michael Ellington , Maria Kalli
This paper evaluates the role of volatility-free stock market illiquidity proxies in forecasting monthly stock market returns. We adopt a probabilistic approach to multivariate time-series modelling using Bayesian nonparametric vector autoregressions. These models flexibly capture complex joint dynamics among financial variables through data-driven regime switching. Out-of-sample forecasts maintain accuracy as the horizon increases. Adding illiquidity generates statistical improvements in out-of-sample predictive accuracy. We highlight the operational importance of market illiquidity after selecting the most appropriate forecasting model that delivers profitable strategies that outperform a range of multivariate models; as well as the historical mean.
本文评估无波动股票市场非流动性代理在预测股票市场月收益中的作用。我们采用概率方法对多变量时间序列建模使用贝叶斯非参数向量自回归。这些模型通过数据驱动的制度切换,灵活地捕捉金融变量之间复杂的联合动态。随着视界的增加,样本外预测保持准确性。增加非流动性可以提高样本外预测的准确性。在选择最合适的预测模型后,我们强调了市场非流动性的操作重要性,该模型提供了优于一系列多元模型的盈利策略;以及历史平均值。
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引用次数: 0
Formulating human risk response in epidemic models: Exogenous vs endogenous approaches 在流行病模型中制定人类风险反应:外生与内生方法
IF 6.4 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2025-01-11 DOI: 10.1016/j.ejor.2025.01.004
Leah LeJeune, Navid Ghaffarzadegan, Lauren M. Childs, Omar Saucedo
The recent pandemic emphasized the need to consider the role of human behavior in shaping epidemic dynamics. In particular, it is necessary to extend beyond the classical epidemiological structures to fully capture the interplay between the spread of disease and how people respond. Here, we focus on the challenge of incorporating change in human behavior in the form of “risk response” into compartmental epidemiological models, where humans adapt their actions in response to their perceived risk of becoming infected. The review examines 37 papers containing over 40 compartmental models, categorizing them into two fundamentally distinct classes: exogenous and endogenous approaches to modeling risk response. While in exogenous approaches, human behavior is often included using different fixed parameter values for certain time periods, endogenous approaches seek for a mechanism internal to the model to explain changes in human behavior as a function of the state of disease. We further discuss two different formulations within endogenous models as implicit versus explicit representation of information diffusion. This analysis provides insights for modelers in selecting an appropriate framework for epidemic modeling.
最近的流行病强调了考虑人类行为在影响流行病动态中的作用的必要性。特别是,有必要超越经典的流行病学结构,以充分捕捉疾病传播与人们如何应对之间的相互作用。在这里,我们将重点放在将人类行为的变化以 "风险反应 "的形式纳入区隔流行病学模型的挑战上,在这种模型中,人类会根据其感知到的感染风险调整自己的行为。这篇综述研究了 37 篇论文,其中包含 40 多个分区模型,并将它们分为两个截然不同的基本类别:风险反应建模的外源方法和内源方法。在外生法中,人类行为通常包括在某些时间段内使用不同的固定参数值,而内生法则寻求模型的内部机制来解释人类行为作为疾病状态函数的变化。我们进一步讨论了内生模型中信息扩散的两种不同表述,即隐式表述和显式表述。这一分析为建模者选择合适的流行病建模框架提供了启示。
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引用次数: 0
Optimal resource allocation: Convex quantile regression approach 最佳资源分配:凸量子回归法
IF 6.4 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2025-01-10 DOI: 10.1016/j.ejor.2025.01.003
Sheng Dai, Natalia Kuosmanen, Timo Kuosmanen, Juuso Liesiö
Optimal allocation of resources across sub-units in the context of centralized decision-making systems such as bank branches or supermarket chains is a classical application of operations research and management science. In this paper, we develop quantile allocation models to examine how much the output and productivity could potentially increase if the resources were efficiently allocated between units. We increase robustness to random noise and heteroscedasticity by utilizing the local estimation of multiple production functions using convex quantile regression. The quantile allocation models then rely on the estimated shadow prices instead of detailed data of units and allow the entry and exit of units. Our empirical results on Finland’s business sector show that the marginal products of labor and capital largely depart from their respective marginal costs and also reveal that the current allocation of resources is far from optimal. A large potential for productivity gains could be achieved through better allocation, especially for the reallocation of capital, keeping the current technology and resources fixed.
在集中决策系统(如银行分行或连锁超市)中,各子单位之间的资源优化配置是运筹学和管理科学的经典应用。在本文中,我们建立了量子分配模型,以研究如果在各单位之间有效分配资源,产出和生产率可能会提高多少。我们利用凸量子回归对多重生产函数进行局部估计,从而提高了对随机噪声和异方差的稳健性。然后,量化分配模型依赖于估计的影子价格,而不是单位的详细数据,并允许单位的进入和退出。我们对芬兰商业部门的实证结果表明,劳动力和资本的边际产品在很大程度上偏离了各自的边际成本,同时也揭示了当前的资源配置远未达到最佳状态。在保持现有技术和资源不变的情况下,通过更好的资源配置,尤其是资本的重新配置,可以极大地提高生产率。
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引用次数: 0
Coordinate or collaborate? Reducing food waste in perishable-product supply chains 协调还是合作?减少易腐产品供应链中的食物浪费
IF 6 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2025-01-07 DOI: 10.1016/j.ejor.2024.12.039
Navid Mohamadi , Sandra Transchel , Jan C. Fransoo
Reducing food waste in supply chains (SCs) with multiple decision-makers is challenging. A common approach grocery retailers use to reduce waste is requiring manufacturers to only send products with a long remaining shelf life (“minimum life on receipt”-MLOR). However, its impact on manufacturers remains unclear.
To evaluate the effectiveness of MLOR agreements on food waste, we investigate two strategies: (1) collaborating on setting the MLOR level and (2) coordinating the SC via contract. Through collaboration, we analytically show that if the MLOR agreement does not demand solely fresh products, it raises manufacturer profits, enabling potential wholesale price reduction. This might incentivize retailers to collaborate to reduce the MLOR level. We demonstrate that the coordinating strategy can reduce waste in the SC and is most beneficial when the wholesale price is high, and the issuing policy is FIFO. We introduce possible coordination contracts and show that in coordinated SCs, manufacturers always provide the highest MLOR level without requiring any restrictive MLOR agreements.
Governments mainly focus on reducing retail waste and promoting retailers to request higher MLOR. However, these efforts can backfire by creating more waste for manufacturers. Reducing the MLOR allows retailers to negotiate lower wholesale prices, increasing profitability while reducing waste. Although SC coordination is known for reducing inefficiency, it may not be the best strategy for reducing waste, especially when the issuing policy is more LIFO than FIFO. Specifically, while coordination might be a better strategy for online retailers, collaboration can be a better strategy for brick-and-mortar retailers.
在有多个决策者的供应链中减少食物浪费是一项挑战。杂货零售商用来减少浪费的一种常见方法是要求制造商只发送具有较长剩余保质期的产品(“最低收货期限”-MLOR)。然而,它对制造商的影响尚不清楚。
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引用次数: 0
Fifty years at the interface between financial modeling and operations research 在金融建模和运筹学的交汇处工作了五十年
IF 6.4 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2025-01-07 DOI: 10.1016/j.ejor.2025.01.001
Frank J. Fabozzi, Maria Cristina Recchioni, Roberto Renò
Over the last fifty years, there has been an increasing intersection of methodologies, applications, and contributions at the frontier of finance and operations research. This invited paper selectively reviews this literature, aiming to provide a building block for future research at the intersection between the two fields. Our review revolves around four main themes: option pricing, interest rate and credit risk modeling, investment strategies, and financial econometrics. The review explores possible avenues for future research, particularly related to machine learning, high-dimensional statistics and a renewed behavioral approach.
在过去的五十年里,在金融和运筹学的前沿,方法、应用和贡献的交叉越来越多。这篇受邀的论文选择性地回顾了这些文献,旨在为未来在这两个领域的交叉研究提供一个基石。我们的回顾主要围绕四个主题:期权定价、利率和信用风险建模、投资策略和金融计量经济学。这篇综述探讨了未来研究的可能途径,特别是与机器学习、高维统计和新的行为方法相关的研究。
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引用次数: 0
Impact of loyal and new customer segments on product upgrades: The role of quality differentiation through online reviews 忠诚客户和新客户对产品升级的影响:通过在线评论的质量差异化的作用
IF 6.4 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2025-01-07 DOI: 10.1016/j.ejor.2024.12.045
Qiang Huang, Joshua Ignatius, Huaming Song, Junsong Bian, Canran Gong
Firms often strive to expand their market share beyond their established customer base by launching quality upgrades in their products. They recognize that customers often gauge product quality through online reviews. We develop an analytical model to examine the quality upgrade strategies of two competing firms, revealing two potential market equilibria. In the unilateral upgrading equilibrium where only one firm upgrades, the upgrading firm sees an initial increase in loyal demand, leading to higher prices. This price adjustment, however, may deter potential new customers who turn to the more affordable non-upgrading competitor, referred to as the substitution effect. Despite attracting more loyal customers, the upgrading firm may experience a net loss in broader market share due to the substitution effect. In the bilateral upgrading equilibrium where both firms upgrade and engage in quality competition, the situation becomes akin to a prisoner’s dilemma if loyal customers show indifference to quality improvements. The gains from loyal customers are outweighed by fierce competition for new customers, ultimately disadvantaging both firms. Furthermore, our findings indicate that review-revealed quality difference between the two products leads to a higher degree of quality improvement effort by the high-quality firm, while reducing that of the low-quality firm. Intriguingly, in the unilateral equilibrium, the high-quality firm may not benefit from its review-revealed superior quality, while the low-quality firm may not be disadvantaged, depending on the substitution effect relatively.
公司通常通过在产品中进行质量升级来努力扩大其在现有客户群之外的市场份额。他们认识到,消费者通常通过在线评论来衡量产品质量。我们建立了一个分析模型来考察两个竞争企业的质量升级策略,揭示了两个潜在的市场均衡。在只有一家企业升级的单边升级均衡中,升级的企业最初会看到忠诚需求的增加,从而导致更高的价格。然而,这种价格调整可能会阻止潜在的新客户转向更实惠的非升级竞争对手,称为替代效应。尽管吸引了更多的忠实顾客,但由于替代效应,升级企业可能会在更广泛的市场份额上遭受净损失。在双方企业升级并参与质量竞争的双边升级均衡中,如果忠诚客户对质量改进漠不关心,情况就类似于囚徒困境。忠实客户带来的收益被争夺新客户的激烈竞争所抵消,最终使两家公司都处于不利地位。此外,我们的研究结果表明,两种产品之间的质量差异导致高质量企业的质量改进努力程度更高,同时降低了低质量企业的质量改进努力程度。有趣的是,在单边均衡中,高质量的企业可能不会从评估中发现的优质中获益,而低质量的企业可能不会处于劣势,这相对取决于替代效应。
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引用次数: 0
Fairness in repetitive scheduling 重复调度中的公平性
IF 6 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2025-01-06 DOI: 10.1016/j.ejor.2024.12.052
Danny Hermelin , Hendrik Molter , Rolf Niedermeier , Michael Pinedo , Dvir Shabtay
Recent research found that fairness plays a key role in customer satisfaction. Therefore, many manufacturing and services industries have become aware of the need to treat customers fairly. Still, there is a huge lack of models that enable industries to make operational decisions fairly, such as a fair scheduling of the customers’ jobs. Our main aim in this research is to provide a unified framework to enable schedulers to make fair decisions in repetitive scheduling environments. For doing so, we consider a set of repetitive scheduling problems involving a set of n clients. In each out of q consecutive operational periods (e.g. days), each one of the customers submits a job for processing by an operational system. The scheduler’s aim is to provide a schedule for each of the q periods such that the quality of service (QoS) received by each of the clients will meet a certain predefined threshold. The QoS of a client may take several different forms, e.g., the number of days that the customer receives its job later than a given due date, the number of times the customer receives his preferred time slot for service, or the sum of waiting times for service. We analyze the single machine variant of the problem for several different definitions of QoS, and classify the complexity of the corresponding problems using the theories of classical and parameterized complexity. We also study the price of fairness, i.e., the loss in the system’s efficiency that results from the need to provide fair solutions.
最近的研究发现,公平在顾客满意度中起着关键作用。因此,许多制造业和服务业已经意识到公平对待客户的必要性。尽管如此,仍然严重缺乏能够使行业公平地做出运营决策的模型,例如公平地安排客户的工作。我们在这项研究中的主要目的是提供一个统一的框架,使调度程序能够在重复调度环境中做出公平的决策。为此,我们考虑一组涉及n个客户机的重复调度问题。在连续的q个操作周期(例如,天)中的每一个周期中,每个客户提交一个作业供操作系统处理。调度器的目标是为每一个q周期提供一个调度,这样每个客户端接收到的服务质量(QoS)将满足某个预定义的阈值。客户端的QoS可以采用几种不同的形式,例如,客户在给定的截止日期之后收到其工作的天数,客户接收其首选服务时隙的次数,或服务等待时间的总和。本文分析了几种不同QoS定义下问题的单机变体,并利用经典复杂度理论和参数化复杂度理论对相应问题的复杂度进行了分类。我们还研究了公平的代价,即由于需要提供公平的解决方案而导致的系统效率损失。
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引用次数: 0
Forecast accuracy and inventory performance: Insights on their relationship from the M5 competition data 预测准确性和库存表现:从M5竞争数据分析它们之间的关系
IF 6 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2025-01-06 DOI: 10.1016/j.ejor.2024.12.033
Evangelos Theodorou, Evangelos Spiliotis, Vassilios Assimakopoulos
Although it is generally accepted that more accurate forecasts contribute towards better inventory performance, this relationship may often be weak, also depending on the structural characteristics of the products being forecast, the inventory policy considered, and the underlying expenses, among others. To empirically explore the connection between forecast accuracy and key costs associated with inventory control, namely holding, ordering, and lost sales costs, we consider the data set of the M5 competition and conduct detailed simulations using popular methods to generate quantile forecasts. Our results are analyzed for various setups of the order-up-to policy and for series of different demand patterns. We find that forecast accuracy is more relevant when holding cost is similar or larger than that associated with lost sales. Therefore, in applications where the latter cost exceeds the former, the preferable forecasting method may not be the most accurate one, especially for relatively short review periods and lead times, as well as products characterized by intermittency. Based on our results we discuss some practical concerns for decision making.
虽然人们普遍认为更准确的预测有助于更好的库存表现,但这种关系可能往往很弱,这也取决于所预测产品的结构特征、所考虑的库存政策和潜在费用等。为了从经验上探讨预测准确性与库存控制相关的关键成本(即持有、订购和销售损失成本)之间的联系,我们考虑了M5竞争的数据集,并使用流行的方法进行了详细的模拟,以生成分位数预测。我们的结果分析了各种设置的订单到政策和一系列不同的需求模式。我们发现,当持有成本相似或较大时,预测准确性比与销售损失相关的预测准确性更相关。因此,在后一种成本超过前一种成本的应用中,优选的预测方法可能不是最准确的预测方法,特别是对于相对较短的审查周期和交货时间,以及具有间歇性特征的产品。基于我们的研究结果,我们讨论了一些实际的决策问题。
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引用次数: 0
Exploring the discrete and continuous edge improvement problems: Models and algorithms 探索离散和连续边缘改进问题:模型和算法
IF 6 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2025-01-04 DOI: 10.1016/j.ejor.2024.12.051
Esra Koca , A. Burak Paç
In this paper, we investigate the edge improvement problem where the fixed edge traversal time assumption of the traditional network flow problems is relaxed. We consider two variants of the problem: one where improvement decisions are restricted to a discrete set (discrete edge improvement problem), and the other where they can take any value within a specified range (continuous edge improvement problem). We first analyze both problem variants on a tree-shaped network and discuss their computational complexities. For the general case, where the underlying network has no special structure, we provide mixed-integer programming (MIP) formulations for both versions of the problem. To the best of our knowledge, this study is the first to propose and compare different formulations for the discrete edge improvement problem and to present a formulation for the continuous edge improvement problem. Since the developed models do not perform well for medium and large problem instances, we introduce a Benders decomposition algorithm to solve the discrete edge improvement problem. Additionally, we employ it heuristically to find high-quality solution for the continuous edge improvement problem within reasonable times. We also devise an MIP formulation to find lower bounds for the continuous edge improvement problem, leveraging the McCormick envelopes and optimal solution properties. Our experiments demonstrate that the Benders decomposition algorithm outperforms the other formulations for the discrete edge improvement problem, while the heuristic method proposed for the continuous edge improvement problem provides quite well results even for large problem instances.
本文研究了放宽传统网络流问题的定边遍历时间假设的边改进问题。我们考虑这个问题的两个变体:一个改进决策被限制在一个离散集合(离散边缘改进问题),另一个改进决策可以在指定范围内取任何值(连续边缘改进问题)。我们首先分析了树形网络上的两个问题变体,并讨论了它们的计算复杂性。对于底层网络没有特殊结构的一般情况,我们为这两个版本的问题提供了混合整数规划(MIP)公式。据我们所知,本研究首次提出并比较了离散边缘改进问题的不同公式,并提出了连续边缘改进问题的公式。由于所开发的模型在大中型问题实例中表现不佳,我们引入了Benders分解算法来解决离散边缘改进问题。此外,我们还采用启发式方法,在合理的时间内为持续边缘改进问题找到高质量的解决方案。我们还设计了一个MIP公式来寻找持续边缘改进问题的下界,利用麦考密克信封和最优解的性质。我们的实验表明,Benders分解算法在离散边缘改进问题上优于其他公式,而针对连续边缘改进问题提出的启发式方法即使在大型问题实例中也能提供相当好的结果。
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引用次数: 0
Investigating the research and development performance of Chinese industry: A two-stage prospect data envelopment analysis approach 中国产业研发绩效调查:一个两阶段前景数据包络分析方法
IF 6 2区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE Pub Date : 2025-01-04 DOI: 10.1016/j.ejor.2025.01.002
Hui-hui Liu , Guo-liang Yang , Jian-wei Gao , Ya-ping Wang , Guo-hua Ni
With growing investments inindustry research and development (R&D) innovation in China, evaluating whether R&D resources assigned to industries areeffectively used is essential. However, limited research has been conducted on the assessment of R&D effectiveness in Chinese industries that encompasses both the internal process of R&D production and the psychological risks encountered by decision-makers (DMs).Hence, this study puts forward a two-stage prospect data envelopment analysis approach that can characterise the risk attitude of DM in evaluation. By employing this approach, we assess the R&D activities of 28 industries in China from an overall perspective and explore the actual influence of DMs’ risk psychology on the evaluation results through sensitivity and comparative analyses. Furthermore, we categorise the R&D performance of 28 Chinese industries into four quadrants for analysis and focus on the R&D performance of key industries such as extraction of petroleum and natural gas, mining of ferrous metal ores and manufacture of tobacco. Based on the findings, we provide a range of policy recommendations regarding the R&D activities of Chinese industries.
随着中国产业研发(R&D)创新投入的不断增长,评估产业研发资源是否得到有效利用至关重要。因此,本研究提出了一种两阶段前景数据包络分析方法,以描述企业决策者(DM)在评估中的风险态度。利用这种方法,我们从整体上对中国 28 个行业的研发活动进行了评估,并通过敏感性分析和比较分析,探讨了企业管理者的风险心理对评估结果的实际影响。此外,我们将中国 28 个行业的研发绩效划分为四个象限进行分析,并重点关注石油和天然气开采、黑色金属矿采选和烟草制造等重点行业的研发绩效。根据分析结果,我们就中国产业的研发活动提出了一系列政策建议。
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引用次数: 0
期刊
European Journal of Operational Research
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