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作者：Detemple, J; Garcia, R; Rindisbacher, M
作者单位：Boston University; Universite de Montreal; Universite de Montreal
摘要：We study the convergence of Monte Carlo estimators of derivatives when the transition density of the underlying state variables is unknown. Three types of estimators are compared. These are respectively based on Malliavin derivatives, on the covariation with the driving Wiener process, and on finite difference approximations of the derivative. We analyze two different estimators based on Malliavin derivatives. The first one, the Malliavin path estimator, extends the path derivative estimator o...
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作者：Campbell, JF; Ernst, AT; Krishnamoorthy, M
作者单位：University of Missouri System; University of Missouri Saint Louis; Commonwealth Scientific & Industrial Research Organisation (CSIRO)
摘要：Acompanion paper (Campbell et al. 2005) introduces new hub arc location models and analyzes optimal solutions, with special attention to spatial pattens and relationships. This paper provides integer programming formulations and optimal solution algorithms for these problems. We describe two optimal solution approaches in detail and compare their performance, using standard hub location data sets. We present implementation details and show how algorithms can be fine tuned based on characterist...
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作者：Du, N; Budescu, DV
作者单位：DePaul University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Vagueness attitudes have been used to explain anomalies and irregularities in investment behavior. It is generally assumed (Ellsberg 1961) that decision makers (DMs) dislike vagueness, but this assumption has been challenged by empirical results documenting systematic alternative attitudes to vagueness as a function of its source, the domain of the decisions, and the response mode used. We investigate these three factors in a within-subjects design that was embedded in an investment context. D...
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作者：Glasserman, P; Li, JY
作者单位：Columbia University
摘要：Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other instruments subject to possible default. The accurate measurement of credit risk is often a rare-event simulation problem because default probabilities are low for highly rated obligors and because risk management is particularly concerned with rare but significant losses resulting from a large number of defaults. This makes importance sampling (IS) potentially attractive. But th...
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作者：Gneezy, U
作者单位：University of Chicago
摘要：Step-level models of reasoning (SLR) proved to be very successful in predicting behavior in the beauty contest game. Recently, a quantified version of the model was suggested as a more general model of thinking. In particular, it was found that, the distribution of choices could be represented by a Poisson distribution. I test the model in stylized first- and second-price common-value sealed-bid auctions. Equilibrium, for both auction types, prescribes that players undercut each other and prof...
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作者：Baldenius, T; Reichelstein, S
作者单位：Columbia University; Stanford University
摘要：This paper examines inventory management from an incentive perspective. We show that when a manager has private information about future attainable revenues, the residual income performance measure based on historical cost can achieve optimal (second-best) incentives with regard to managerial effort as well as production and sales decisions. The LIFO (last-in-first-out) inventory flow rule is shown to be preferable to the FIFO (first-in-first-out) rule for the purpose of aligning incentives. O...
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作者：Elhedhli, S; Goffin, JL
作者单位：University of Waterloo; McGill University
摘要：The production-distribution system design is an integral part of the general supply chain design. This paper proposes a novel solution methodology for this problem that is based on Lagrangean relaxation, interior-point methods, and branch and bound. Unlike classical approaches, Lagrangean relaxation is applied in a two-level hierarchy, branch and bound is based on a Lagrangean lower bound and column generation (branch and price), while interior-point methods are used within a cutting-plane con...
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作者：Akçura, MT; Srinivasan, K
作者单位：Purdue University System; Purdue University; Carnegie Mellon University
摘要：Better targeting opportunities and the increasing role of information-intensive environments have created new challenges for firms in obtaining customer information. Such information can help firms increase their profits through cross-selling opportunities. However, revealing personal preferences and contact information can raise the risks for customers when dealing with a firm. Consequently, some customers trade off the benefit and risks of revealing information. As the opportunity to obtain ...
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作者：Iyer, AV; Schwarz, LB; Zenios, SA
作者单位：Purdue University System; Purdue University; Stanford University
摘要：This paper develops and analyzes a principal-agent model for product specification and production motivated by core buying decisions at an automobile manufacturer. The model focuses on two important elements of the core buyer's responsibility: (1) assessing the supplier's capability, and (2) allocating some or all of a fixed level of some buyer-internal resource to help the supplier. Under the contracting scheme we model, the buyer (principal) delegates the majority of product specification an...
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作者：Kim, SS; Malhotra, NK
作者单位：University of Wisconsin System; University of Wisconsin Madison; University System of Georgia; Georgia Institute of Technology
摘要：Although initial use is an important indicator of information system (IS) success, it does not necessarily lead to the desired managerial outcome unless the use continues. However, compared with the great amount of work done on IS adoption, little systematic effort has gone into providing insight into continued IS use over time. The objective of this study is to develop a longitudinal model of how users' evaluations and behavior evolve as they gain experience with the information technology ap...
