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作者：Anandalingam, G; Raghavan, S
作者单位：University System of Maryland; University of Maryland College Park
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作者：Taylor, JW
作者单位：University of Oxford
摘要：Statistical volatility models rely on the assumption that the shape of the conditional distribution is fixed over time and that it is only the volatility that varies. The recently proposed conditional autoregressive value at risk (CAViaR) models require no such assumption, and allow quantiles to be modeled directly in an autoregressive framework. Although useful for risk management, CAViaR models do not provide volatility forecasts. Such forecasts are needed for several other important applica...
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作者：Ferson, WE; Heuson, A; Su, T
作者单位：Boston College; University of Miami
摘要：This paper makes indirect inference about the time variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and there is no evidence that predictability has diminished in recent years. Semi-strong-form evidence suggests that time variation in expected returns remains economically important.
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作者：Hitt, LM; Chen, PY
作者单位：University of Pennsylvania; Carnegie Mellon University
摘要：With declining costs of distributing digital products comes renewed interest in strategies for pricing goods with low marginal costs. In this paper, we evaluate customized bundling, a pricing strategy that gives consumers the right to choose up to a quantity M of goods drawn from a larger pool of N different goods for a fixed price. We show that the complex mixed-bundle problem can be reduced to the customized-bundle problem under some commonly used assumptions. We also show that, for a monopo...
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作者：Chen, H; Frank, MZ; Wu, OQ
作者单位：University of British Columbia; University of Minnesota System; University of Minnesota Twin Cities
摘要：This paper examines the inventories of publicly traded American manufacturing companies between 1981 and 2000. The median of inventory holding periods were reduced from 96 days to 81 days. The average rate of inventory reduction is about 2% per year. The greatest reduction was found for work-in-process inventory, which declined by about 6% per year. Finished-goods inventories did not decline. Firms with abnormally high inventories have abnormally poor long-term stock returns. Firms with slight...
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作者：Chintagunta, P; Dubé, JP; Goh, Y
作者单位：University of Chicago
摘要：We investigate the role of potential weekly brand-specific characteristics that influence consumer choices, but are unobserved or unmeasurable by the researcher. We use an empirical approach, based on the estimation methods used for standard random coefficients logit models, to account for the presence of such unobserved attributes. Using household scanner panel data, we find evidence that ignoring such time-varying latent (to the researcher) characteristics can lead to two types of problems. ...
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作者：Benjaafar, S; Cooper, WL; Kim, JS
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Samsung
摘要：We study inventory pooling in systems with symmetric costs where supply lead times are endogenously generated by a finite-capacity production system. We investigate the sensitivity of the cost advantage of inventory pooling to various system parameters, including loading, service levels, demand and production time variability, and structure of the production system. The analysis reveals differences in how various parameters affect the cost reduction from pooling and suggests that these differe...
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作者：Chen, ZL; Vairaktarakis, GL
作者单位：University System of Maryland; University of Maryland College Park; University System of Ohio; Case Western Reserve University
摘要：Motivated by applications in the computer and food catering service industries, we study an integrated scheduling model of production and distribution operations. In this model, a set of jobs (i.e,, customer orders) are first processed in a processing facility (e.g., manufacturing plant or service center) and then delivered to the customers directly without intermediate inventory. The problem is to find a joint schedule of production and distribution such that an objective function that takes ...
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作者：Forman, C
作者单位：Carnegie Mellon University
摘要：The diffusion of Internet technology among firms is widely considered to be one of the primary factors behind the rapid economic growth of the 1990s. However, little systematic study has examined the variation in firm decisions to adopt the Internet. I explore the sources of this variation by examining Internet adoption decisions in a very large sample of organizations in the finance and services sector in 1998. I show how prior information technology (IT) investments land workplace organizati...
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作者：Günlük, O; Ladányi, L; de Vries, S
作者单位：International Business Machines (IBM); IBM USA; Technical University of Munich
摘要：W hen combinatorial bidding is permitted in auctions, such as the proposed FCC Auction #31, the resulting full valuations and winner-determination problem can be computationally challenging. We present a branch-and-price algorithm based on a set-packing formulation originally proposed by Dietrich and Forrest (2002, A column generation approach for combinatorial auctions, in Mathematics of the Internet: E-Auction and Markets. The IMA, Volumes in Mathematics and Its Applications Vol. 127, Spring...
