Ayşe Kocabıyıkoğlu, Dilek Önkal, Celile Itır Göğüş, M Sinan Gönül
Exploring the effects of information uncertainty presents an extensive challenge to decision-makers. This study presents a set of behavioural experiments that examine the impact of incomplete information on newsvendor decisions. Findings show that orders deviate from normative benchmarks when decision makers have incomplete information and this tendency is stronger when the demand distribution is not known. Comparison of decisions under incomplete information against behavioural benchmarks with full and no information reveal that the availability of price and cost information brings decisions significantly closer to normative levels when the underlying demand distribution is unknown. On the opposite spectrum, when demand information is available, not knowing price or cost does not lead to worse decisions. Analysing newsvendor profits under various information conditions, we find participants capture at most 84% of earnings they could have generated if they ordered the normative quantity in high profit margin settings; the corresponding percentage is 51% in low profit margin settings. Our results suggest decreasing uncertainty on the demand distribution has a consistently positive impact on profits, while uncertainty about cost or price does not have a significant effect. Implications of our findings on the differential impact of incomplete information are discussed via the backdrop of the prevalence of newsvendor framework across a wide range of operational decisions.
{"title":"Newsvendor decisions under incomplete information:behavioural experiments on information uncertainty","authors":"Ayşe Kocabıyıkoğlu, Dilek Önkal, Celile Itır Göğüş, M Sinan Gönül","doi":"10.1093/imaman/dpae008","DOIUrl":"https://doi.org/10.1093/imaman/dpae008","url":null,"abstract":"Exploring the effects of information uncertainty presents an extensive challenge to decision-makers. This study presents a set of behavioural experiments that examine the impact of incomplete information on newsvendor decisions. Findings show that orders deviate from normative benchmarks when decision makers have incomplete information and this tendency is stronger when the demand distribution is not known. Comparison of decisions under incomplete information against behavioural benchmarks with full and no information reveal that the availability of price and cost information brings decisions significantly closer to normative levels when the underlying demand distribution is unknown. On the opposite spectrum, when demand information is available, not knowing price or cost does not lead to worse decisions. Analysing newsvendor profits under various information conditions, we find participants capture at most 84% of earnings they could have generated if they ordered the normative quantity in high profit margin settings; the corresponding percentage is 51% in low profit margin settings. Our results suggest decreasing uncertainty on the demand distribution has a consistently positive impact on profits, while uncertainty about cost or price does not have a significant effect. Implications of our findings on the differential impact of incomplete information are discussed via the backdrop of the prevalence of newsvendor framework across a wide range of operational decisions.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"27 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140569910","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}
This paper examines the impact of temporary supply chain disruptions in a general equilibrium model with multiple stages of production for capital goods and a flexible time-to-build structure. Production disruptions at one or more stages result in declines in overall shipments and increases in the ratios of unfilled orders and work-in-process inventories to shipments. The model is calibrated to industries in durable goods manufacturing during the Covid-19 pandemic, and is shown to generate realistic dynamic responses to temporary production disruptions.
{"title":"A Flexible Time-to-Build Model of Supply Chain Disruptions","authors":"James Kahn","doi":"10.1093/imaman/dpae007","DOIUrl":"https://doi.org/10.1093/imaman/dpae007","url":null,"abstract":"This paper examines the impact of temporary supply chain disruptions in a general equilibrium model with multiple stages of production for capital goods and a flexible time-to-build structure. Production disruptions at one or more stages result in declines in overall shipments and increases in the ratios of unfilled orders and work-in-process inventories to shipments. The model is calibrated to industries in durable goods manufacturing during the Covid-19 pandemic, and is shown to generate realistic dynamic responses to temporary production disruptions.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"204 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140569395","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}
This study thoroughly investigates the efficiency of advanced numerical extrapolation methods aimed at enhancing the convergence of vector sequences in the realm of mathematical finance. Our focus lies in the application of polynomial extrapolation techniques to calculate finite difference solutions for the Black-Scholes (BS) equation–an indispensable model in options pricing. The performance of our algorithms undergoes rigorous evaluation through a comprehensive analysis involving both simulated and real-world data. Notably, our experiments uncover that a stochastic scheme, incorporating two extrapolation strategies and a random relaxation parameter, outperforms other proposed methods, excelling in both convergence and stability metrics. Our findings underscore the potential of this numerical extrapolation method to enhance the efficiency of financial calculations, particularly in the realm of option pricing. This innovation holds promise for refining financial models and addressing specific challenges within the field of mathematical programming, providing effective solutions to the primary computational bottlenecks commonly encountered in financial decision-making.
{"title":"Accelerated numerical solutions for discretized black-scholes equations","authors":"Foued Saâdaoui","doi":"10.1093/imaman/dpae006","DOIUrl":"https://doi.org/10.1093/imaman/dpae006","url":null,"abstract":"This study thoroughly investigates the efficiency of advanced numerical extrapolation methods aimed at enhancing the convergence of vector sequences in the realm of mathematical finance. Our focus lies in the application of polynomial extrapolation techniques to calculate finite difference solutions for the Black-Scholes (BS) equation–an indispensable model in options pricing. The performance of our algorithms undergoes rigorous evaluation through a comprehensive analysis involving both simulated and real-world data. Notably, our experiments uncover that a stochastic scheme, incorporating two extrapolation strategies and a random relaxation parameter, outperforms other proposed methods, excelling in both convergence and stability metrics. Our findings underscore the potential of this numerical extrapolation method to enhance the efficiency of financial calculations, particularly in the realm of option pricing. This innovation holds promise for refining financial models and addressing specific challenges within the field of mathematical programming, providing effective solutions to the primary computational bottlenecks commonly encountered in financial decision-making.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"26 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140569519","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}
This paper formulates a state-dependent mean residual lifetime model (SDMRL) for a repairable system operating in a dynamic environment. The problem is addressed by means of a two-state damage process reflecting the effect of operating environment on the system and a repair process associated with the damage process. As the damage process shifts to a higher state, to maintain a minimum level of performance, the decision maker repairs the system at times that arise according to a point process with a constant intensity. We demonstrate the generality of the proposed model and show how existing models emerge as specific cases. Our approach stimulates further research on the determination of two types of maintenance policies: maintenance policy based on the number of imperfect repairs (Model I) and time-based maintenance policy (Model II). In both cases, using the renewal reward theorem argument, we aim at minimizing the long-run average maintenance cost per unit time by determining optimal replacement policies and the optimal level of imperfect repairs. We illustrate the proposed models and carry out a comparative analysis of maintenance policies through numerical examples. The main conclusions drawn are that repair and maintenance policies depend on the failure mechanism, repair frequency and the level of costs involved. Also, numerical comparison shows that the maintenance modeling based on the number of imperfect repairs (model I) outperforms the time-based replacement model (model II) and two baseline models ignoring the effect of operating environment or whose attention is restricted to perfect repair.
{"title":"Residual life modeling and maintenance planning for repairable systems","authors":"Reza Ahmadi, Amirhossein Sobhani, Zohreh Rasaei","doi":"10.1093/imaman/dpae005","DOIUrl":"https://doi.org/10.1093/imaman/dpae005","url":null,"abstract":"This paper formulates a state-dependent mean residual lifetime model (SDMRL) for a repairable system operating in a dynamic environment. The problem is addressed by means of a two-state damage process reflecting the effect of operating environment on the system and a repair process associated with the damage process. As the damage process shifts to a higher state, to maintain a minimum level of performance, the decision maker repairs the system at times that arise according to a point process with a constant intensity. We demonstrate the generality of the proposed model and show how existing models emerge as specific cases. Our approach stimulates further research on the determination of two types of maintenance policies: maintenance policy based on the number of imperfect repairs (Model I) and time-based maintenance policy (Model II). In both cases, using the renewal reward theorem argument, we aim at minimizing the long-run average maintenance cost per unit time by determining optimal replacement policies and the optimal level of imperfect repairs. We illustrate the proposed models and carry out a comparative analysis of maintenance policies through numerical examples. The main conclusions drawn are that repair and maintenance policies depend on the failure mechanism, repair frequency and the level of costs involved. Also, numerical comparison shows that the maintenance modeling based on the number of imperfect repairs (model I) outperforms the time-based replacement model (model II) and two baseline models ignoring the effect of operating environment or whose attention is restricted to perfect repair.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"41 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140105082","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}
Launched in a post pandemic world primed for technological solutions, Gen AI marked the beginning of a transformational period. Uses, norms, standards, and values embedded in AI technology are evolving at a dizzying pace and are in flux. The current period—termed “the Inter-AI Period”—presents an opportunity for researchers in management mathematics to shape an AI-enabled future. This window of opportunity will be short, after which mathematical principles and decision processes embedded in AI algorithms will harden. Technological evolution will certainly continue thereafter. But the views, norms, practices, and strategies would have been embedded in the technology. It is up to researchers to act now to shape an AI-enabled future—one that harnesses the powers of AI but with guardrails to protect users and humanity. This invited essay is based on research involving interviews of dozens of business leaders and scholars and is intended as a call to action for researchers to grasp the gravity of this period and act now.
{"title":"The “Inter-AI Period:” How Management Mathematics Can Help Shape An AI-Enabled Future","authors":"Nada R Sanders","doi":"10.1093/imaman/dpae004","DOIUrl":"https://doi.org/10.1093/imaman/dpae004","url":null,"abstract":"Launched in a post pandemic world primed for technological solutions, Gen AI marked the beginning of a transformational period. Uses, norms, standards, and values embedded in AI technology are evolving at a dizzying pace and are in flux. The current period—termed “the Inter-AI Period”—presents an opportunity for researchers in management mathematics to shape an AI-enabled future. This window of opportunity will be short, after which mathematical principles and decision processes embedded in AI algorithms will harden. Technological evolution will certainly continue thereafter. But the views, norms, practices, and strategies would have been embedded in the technology. It is up to researchers to act now to shape an AI-enabled future—one that harnesses the powers of AI but with guardrails to protect users and humanity. This invited essay is based on research involving interviews of dozens of business leaders and scholars and is intended as a call to action for researchers to grasp the gravity of this period and act now.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"295 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139979338","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}
We model tactical changes in association football as a Markov game. The pitch is discretised into nine zones and the states of the Markov game are defined according to the zone in which the ball is located in play, the team in possession, and the score. We first model tactical changes in a Markov decision process framework, wherein one team maximises their probability of winning. Then, we model tactical changes in a two-person zero-sum Markov game framework, wherein both teams maximise their probability of winning. Fundamental to our modelling is the notion that tactical changes impact upon transition rates. We verify the models using data from matches in a season of the Japan Professional Football League. We define a change in transition rates that can be realised by changes in tactics, and illustrate an example of optimal tactical changes when both teams can vary their tactics. The models we develop in the paper can support managers who are considering important decisions about substitutions and changes to formation, for example, when a match is in-play.
{"title":"Modelling tactical changes in association football using a Markov game","authors":"Nobuyoshi Hirotsu, Yuki Masui, Yu Shimasaki, Masafumi Yoshimura","doi":"10.1093/imaman/dpae002","DOIUrl":"https://doi.org/10.1093/imaman/dpae002","url":null,"abstract":"We model tactical changes in association football as a Markov game. The pitch is discretised into nine zones and the states of the Markov game are defined according to the zone in which the ball is located in play, the team in possession, and the score. We first model tactical changes in a Markov decision process framework, wherein one team maximises their probability of winning. Then, we model tactical changes in a two-person zero-sum Markov game framework, wherein both teams maximise their probability of winning. Fundamental to our modelling is the notion that tactical changes impact upon transition rates. We verify the models using data from matches in a season of the Japan Professional Football League. We define a change in transition rates that can be realised by changes in tactics, and illustrate an example of optimal tactical changes when both teams can vary their tactics. The models we develop in the paper can support managers who are considering important decisions about substitutions and changes to formation, for example, when a match is in-play.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"39 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139956582","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}
Bo Li, Hui Zhang, Minxue Wang, Shumin Han, Shuxia Peng
The 3PL industry has grown rapidly over the past few years, and its emission reduction behavior is gaining attention. This paper considers a supply chain system composed of a manufacturer, a retailer, and a third-party logistics provider (3PL), in which both the manufacturer and the 3PL make the low-carbon investment. 3PL is a leader in the low-carbon supply chain. To promote emission reduction in logistics, the manufacturer and the retailer separately share the logistics emission reduction costs of the 3PL. Through comparing the no-sharing, manufacturer-sharing, and retailer-sharing models, we discuss the cost-sharing strategy preference of each participant and analyze the impact on environmental benefit and social welfare. The results show that cost-sharing can effectively improve product demand, which also supports society in obtaining higher benefits. Moreover, the 3PL tends to be shared by the retailer when the low-carbon investment cost of logistics is high and the investment cost of production is low. Both the manufacturer and the retailer prefer the other party to share the cost, but sharing it together can effectively alleviate free-rider behavior.
{"title":"Cooperative strategies of emission reduction in the 3PL-led supply chain","authors":"Bo Li, Hui Zhang, Minxue Wang, Shumin Han, Shuxia Peng","doi":"10.1093/imaman/dpae003","DOIUrl":"https://doi.org/10.1093/imaman/dpae003","url":null,"abstract":"The 3PL industry has grown rapidly over the past few years, and its emission reduction behavior is gaining attention. This paper considers a supply chain system composed of a manufacturer, a retailer, and a third-party logistics provider (3PL), in which both the manufacturer and the 3PL make the low-carbon investment. 3PL is a leader in the low-carbon supply chain. To promote emission reduction in logistics, the manufacturer and the retailer separately share the logistics emission reduction costs of the 3PL. Through comparing the no-sharing, manufacturer-sharing, and retailer-sharing models, we discuss the cost-sharing strategy preference of each participant and analyze the impact on environmental benefit and social welfare. The results show that cost-sharing can effectively improve product demand, which also supports society in obtaining higher benefits. Moreover, the 3PL tends to be shared by the retailer when the low-carbon investment cost of logistics is high and the investment cost of production is low. Both the manufacturer and the retailer prefer the other party to share the cost, but sharing it together can effectively alleviate free-rider behavior.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"284 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139956585","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}
Increasingly in recent years the fund management industry has evolved towards so-called goal-based investing paradigms, under which investors are assumed to base their portfolio strategies on pre-specified targets to be attained in the future. A similar decision model is common in the wealth management and the life insurance industries where targets may be associated with long term investment horizons and retirement planning problems. Based on this evidence, we propose in this article a novel risk measure explicitly focusing on the financial cost that may be associated with a delay in reaching those targets. We show that the definition of this risk measure is both rather natural and effective to capture investors’ risk preferences. A dynamic portfolio selection model is developed to assess the effectiveness of the risk measure from financial and risk control perspectives. The introduced risk measure has good properties and it is related to the Value-at-Risk (VaR) with a given confidence level. Under sufficiently general statistical assumptions, we derive a closed form solution to a mean-risk formulation of the portfolio problem in which the cost of delay is taken as risk measure. Finally, a set of numerical tests validate the proposed portfolio selection model and show a set of comparative results with respect to a classical dynamic mean-variance model.
{"title":"The cost of delay as risk measure in target-based multi-period portfolio selection models","authors":"Jia Liu, Zhiping Chen, Giorgio Consigli","doi":"10.1093/imaman/dpae001","DOIUrl":"https://doi.org/10.1093/imaman/dpae001","url":null,"abstract":"Increasingly in recent years the fund management industry has evolved towards so-called goal-based investing paradigms, under which investors are assumed to base their portfolio strategies on pre-specified targets to be attained in the future. A similar decision model is common in the wealth management and the life insurance industries where targets may be associated with long term investment horizons and retirement planning problems. Based on this evidence, we propose in this article a novel risk measure explicitly focusing on the financial cost that may be associated with a delay in reaching those targets. We show that the definition of this risk measure is both rather natural and effective to capture investors’ risk preferences. A dynamic portfolio selection model is developed to assess the effectiveness of the risk measure from financial and risk control perspectives. The introduced risk measure has good properties and it is related to the Value-at-Risk (VaR) with a given confidence level. Under sufficiently general statistical assumptions, we derive a closed form solution to a mean-risk formulation of the portfolio problem in which the cost of delay is taken as risk measure. Finally, a set of numerical tests validate the proposed portfolio selection model and show a set of comparative results with respect to a classical dynamic mean-variance model.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"22 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139469713","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}
Corruption is affecting many developing countries, manifested often in construction projects. This study identifies the factors causing corruption and prioritizes anti-corruption measures in large-scale urban construction projects with empirical data from a developing country: Iran. The model consists of six main dimensions including 24 measures and was developed by systematically reviewing the literature as well as collecting primary data through interviewing experts. The model prioritizes the anti-corruption measures through an integrated method of Fuzzy Best-Worst Method (FBWM) and Fuzzy Measurement Alternatives and Ranking according to the COmpromise Solution (FMARCOS). The field of corruption has a multifaceted nature and inherent uncertainty, which necessitates this integrated approach for its analysis. The results reveal that the “lawlessness and deregulation in public construction projects” and “top management and leader commitment” are the most important causes of corruption. This study offers two main contributions. First, it develops a conceptual model to evaluate and prioritize anti-corruption measures; second, it generates practical solution for reducing corruption in municipal and urban management, thus enhancing the prospects of successful construction projects in developing countries.
{"title":"Anti-corruption measures in large-scale construction projects","authors":"Pardis Nikoonam Nezami, Payam Shojaei, Aboalghasem Ebrahimi","doi":"10.1093/imaman/dpad030","DOIUrl":"https://doi.org/10.1093/imaman/dpad030","url":null,"abstract":"Corruption is affecting many developing countries, manifested often in construction projects. This study identifies the factors causing corruption and prioritizes anti-corruption measures in large-scale urban construction projects with empirical data from a developing country: Iran. The model consists of six main dimensions including 24 measures and was developed by systematically reviewing the literature as well as collecting primary data through interviewing experts. The model prioritizes the anti-corruption measures through an integrated method of Fuzzy Best-Worst Method (FBWM) and Fuzzy Measurement Alternatives and Ranking according to the COmpromise Solution (FMARCOS). The field of corruption has a multifaceted nature and inherent uncertainty, which necessitates this integrated approach for its analysis. The results reveal that the “lawlessness and deregulation in public construction projects” and “top management and leader commitment” are the most important causes of corruption. This study offers two main contributions. First, it develops a conceptual model to evaluate and prioritize anti-corruption measures; second, it generates practical solution for reducing corruption in municipal and urban management, thus enhancing the prospects of successful construction projects in developing countries.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"4 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139374389","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}
Non-parametric Data Envelopment Analysis (DEA) is susceptible to the curse of dimensionality, a challenge that can be mitigated through the use of the Multi-Criteria Decision-making (MCDM) method. Conversely, DEA can overcome the limitations of the MCDM method by defining the weights of the Decision-Making Unit to calculate the data envelop. This study addresses this issue by introducing a novel model, the Trigonometric Envelopment Analysis for Ideal Solutions (TEA-IS). TEA-IS combines DEA and the Technique for Order Performance by Similarity to Ideal Solution (TOPSIS) approaches. The proposed method is employed to assess the efficiency and performance of 367 Chinese banks over a 19-year period using various financial variables. The TEA-IS model leverages machine learning techniques to predict positive or negative outcomes for Chinese banks, taking into account various influencing factors. Our results indicate that TEA-IS scores demonstrate superior discriminatory power and reliability compared to non-parametric and MCDM methods. Furthermore, our findings reveal the presence of synergy among Chinese banks and illustrate a pattern of volatility in the Chinese banking industry’s performance. Notably, performance improved from 2000 to 2005, declined during the period from 2006 to 2013, and subsequently experienced a recovery until 2018. The majority of Chinese banks in the sample are categorized as medium performers with lower synergy levels. Additionally, the study underscores the positive impact of bank listing and age on bank performance, suggesting that regional banks outperform domestic ones.
{"title":"Analyzing Chinese Banking Performance with a Trigonometric Envelopment Analysis for Ideal Solutions Model","authors":"J. Antunes, Yong Tan, P. Wanke","doi":"10.1093/imaman/dpad026","DOIUrl":"https://doi.org/10.1093/imaman/dpad026","url":null,"abstract":"\u0000 Non-parametric Data Envelopment Analysis (DEA) is susceptible to the curse of dimensionality, a challenge that can be mitigated through the use of the Multi-Criteria Decision-making (MCDM) method. Conversely, DEA can overcome the limitations of the MCDM method by defining the weights of the Decision-Making Unit to calculate the data envelop. This study addresses this issue by introducing a novel model, the Trigonometric Envelopment Analysis for Ideal Solutions (TEA-IS). TEA-IS combines DEA and the Technique for Order Performance by Similarity to Ideal Solution (TOPSIS) approaches. The proposed method is employed to assess the efficiency and performance of 367 Chinese banks over a 19-year period using various financial variables. The TEA-IS model leverages machine learning techniques to predict positive or negative outcomes for Chinese banks, taking into account various influencing factors. Our results indicate that TEA-IS scores demonstrate superior discriminatory power and reliability compared to non-parametric and MCDM methods. Furthermore, our findings reveal the presence of synergy among Chinese banks and illustrate a pattern of volatility in the Chinese banking industry’s performance. Notably, performance improved from 2000 to 2005, declined during the period from 2006 to 2013, and subsequently experienced a recovery until 2018. The majority of Chinese banks in the sample are categorized as medium performers with lower synergy levels. Additionally, the study underscores the positive impact of bank listing and age on bank performance, suggesting that regional banks outperform domestic ones.","PeriodicalId":56296,"journal":{"name":"IMA Journal of Management Mathematics","volume":"2 10","pages":""},"PeriodicalIF":1.7,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138996088","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}
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