Management Science

最新文章

• Preference Reversals for Ambiguity Aversion AI翻译
  作者：Trautmann, Stefan T.; Vieider, Ferdinand M.; Wakker, Peter P.
  作者单位：Tilburg University; Tilburg University; University of Munich; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
  摘要：T his paper finds preference reversals in measurements of ambiguity aversion, even if psychological and informational circumstances are kept constant. The reversals are of a fundamentally different nature than the reversals found before because they cannot be explained by context-dependent weightings of attributes. We offer an explanation based on Sugden's random-reference theory, with different elicitation methods generating different random reference points. Then measurements of ambiguity av...
• A Model of Probabilistic Choice Satisfying First-Order Stochastic Dominance AI翻译
  作者：Blavatskyy, Pavlo R.
  作者单位：University of Innsbruck
  摘要：This paper presents a new model of probabilistic binary choice under risk. In this model, a decision maker always satisfies first-order stochastic dominance. If neither lottery stochastically dominates the other alternative, a decision maker chooses in a probabilistic manner. The proposed model is derived from four standard axioms (completeness, weak stochastic transitivity, continuity, and common consequence independence) and two relatively new axioms. The proposed model provides a better fit...
• Integrated Sequencing and Scheduling in Coil Coating AI翻译
  作者：Hoehn, Wiebke; Koenig, Felix G.; Moehring, Rolf H.; Luebbecke, Marco E.
  作者单位：Technical University of Berlin; RWTH Aachen University
  摘要：We consider a complex planning problem in integrated steel production. A sequence of coils of sheet metal needs to be color coated in consecutive stages. Different coil geometries and changes of colors necessitate time-consuming setup work. In most coating stages one can choose between two parallel color tanks. This can either reduce the number of setups needed or enable setups concurrent with production. A production plan comprises the sequencing of coils and the scheduling of color tanks and...
• Evaluating Value-at-Risk Models with Desk-Level Data AI翻译
  作者：Berkowitz, Jeremy; Christoffersen, Peter; Pelletier, Denis
  作者单位：University of Houston System; University of Houston; McGill University; Aarhus University; CREATES; North Carolina State University
  摘要：We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in securities trading and each is observed daily for a period of at least two years. Given this unique data set, we provide an integrated, unifying framework for assessing the accuracy of VaR forecasts. We use...
• Demand Forecasting Behavior: System Neglect and Change Detection AI翻译
  作者：Kremer, Mirko; Moritz, Brent; Siemsen, Enno
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Minnesota System; University of Minnesota Twin Cities
  摘要：We analyze how individuals make forecasts based on time-series data. Using a controlled laboratory experiment, we find that forecasting behavior systematically deviates from normative predictions: Forecasters overreact to forecast errors in relatively stable environments, but underreact to errors in relatively unstable environments. The performance loss that is due to such systematic judgment biases is larger in stable than in unstable environments.
• The Threat from Within: Account Managers' Concern About Opportunism by Their Own Team Members AI翻译
  作者：Murtha, Brian R.; Challagalla, Goutam; Kohli, Ajay K.
  作者单位：University of Kentucky; University System of Georgia; Georgia Institute of Technology
  摘要：It is well known that transaction-specific investments (TSIs) made in customers by account managers makes them vulnerable to opportunism by customers (i.e., the targets of the investments). The present research shows that TSIs made in customers by account managers can also lead them to be concerned about internal opportunism by nontargets of the investments (e.g., information technology or finance specialists in their own teams). Furthermore, it shows that concern about internal opportunism le...
• Retail Channel Structure Impact on Strategic Engineering Product Design AI翻译
  作者：Williams, Nathan; Kannan, P. K.; Azarm, Shapour
  作者单位：University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
  摘要：We examine, in a strategic setting, the broad issue of how retail channel structures-retail monopoly versus retail duopoly-impact a manufacturer's optimal new product design, both in terms of engineering design specifications as well as manufacturer and retailer profits. Our strategic framework enables manufacturers in specific contexts to anticipate the reactions of the retailers and competitive manufacturers to new designs in terms of the retail and wholesale pricing and to understand how di...
• Accelerated Learning of User Profiles AI翻译
  作者：Atahan, Pelin; Sarkar, Sumit
  作者单位：Ozyegin University; University of Texas System; University of Texas Dallas
  摘要：Websites typically provide several links on each page visited by a user. Whereas some of these links help users easily navigate the site, others are typically used to provide targeted recommendations based on the available user profile. When the user profile is not available ( or is inadequate), the site cannot effectively target products, promotions, and advertisements. In those situations, the site can learn the profile of a user as the user traverses the site. Naturally, the faster the site...
• Monte Carlo Algorithms for Default Timing Problems AI翻译
  作者：Giesecke, Kay; Kim, Baeho; Zhu, Shilin
  作者单位：Stanford University; Korea University; Stanford University
  摘要：Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing computations in these models. This paper develops, analyzes, and evaluates two simulation algorithms for intensity-based point process models. The algorithms extend the conventional thinning scheme to the case where the event intensity is unbounded, a ...
• Multiechelon Procurement and Distribution Policies for Traded Commodities AI翻译
  作者：Goel, Ankur; Gutierrez, Genaro J.
  作者单位：University System of Ohio; Case Western Reserve University; University of Texas System; University of Texas Austin
  摘要：We consider a firm that procures and distributes a commodity from spot and forward markets under randomly fluctuating prices; the commodity is distributed downstream to a set of nonhomogeneous retailers to satisfy random demand. We formulate a model that allows one to compute approximate, but near optimal, procurement and distribution policies for this system, and we explore the value of the commodity's market in providing managers with (a) additional flexibility in procurement and (b) informa...