-
作者：Duan, JC; Simonato, JG
作者单位：Hong Kong University of Science & Technology; Universite de Montreal; HEC Montreal
摘要：This paper proposes a simple modification to the standard Monte Carlo simulation procedure for computing the prices of derivative securities. The modification imposes the martingale property on the simulated sample paths of the underlying asset price. This procedure is referred to as the empirical martingale simulation (EMS). The EMS ensures that the price estimated by simulation satisfies the rational option pricing bounds. The EMS yields a substantial error reduction for the price estimate a...
-
作者：Zhang, HT
作者单位：Hong Kong University of Science & Technology
摘要：This note gives a simple proof that in a (r, q) system the average outstanding backorders and the average stockouts per unit time are jointly convex in the two control variables q and r.
-
作者：Lin, CR; Buongiorno, J
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：Markov decision process (MDP) models were effective in analyzing forest management policies. Even the simplest standard results gave useful insights into forest ecology, such as how landscape diversity is shaped by natural catastrophes, and how forests mature through successional phases. The methods were also useful to predict the effects of different management policies on ecological and economic criteria. Optimization augmented the usefulness of the approach, suggesting that income from Wisc...
-
作者：Trivedi, M
作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
摘要：The underlying channel structure in most studies to date has consisted either of exclusive dealers that sell only one manufacturer's brand or of a single retailer selling multiple brands. Little attention has been given to the larger segment of most consumer goods markets in which retailers compete to sell multiple brands at the same location. This research seeks to add to the growing Literature of channel competition by analyzing three channel structures, the least constrained of which deals ...
-
作者：Banker, RD; Davis, GB; Slaughter, SA
作者单位：University of Texas System; University of Texas Dallas; University of Minnesota System; University of Minnesota Twin Cities; Carnegie Mellon University
摘要：Software maintenance claims a large proportion of organizational resources. It is thought that many maintenance problems derive from inadequate software design and development practices. Poor design choices can result in complex software that is costly to support and difficult to change. However, it is difficult to assess the actual maintenance performance effects of software development practices because their impact is realized over the software life cycle. To estimate the impact of developm...
-
作者：Gallego, G
作者单位：Columbia University
摘要：To clarify the impact of demand variability on single item stochastic inventory systems with setup costs, we subsume the distributional information of the lead time demand into its mean and variance and solve the resulting problem against the worst possible distribution in this class. For (Q, r) policies we obtain in closed form a distribution-free solution for Q and r, and upper bounds on the optimal long run average cost and on the optimal batch size. As a byproduct we develop a robust, dist...
-
作者：Mukherjee, AS; Lapré, MA; Van Wassenhove, LN
作者单位：Boston University; INSEAD Business School
摘要：Little is known about the processes that make TQM effective. Why are some quality improvement projects more effective than others? We argue that TQM processes affect the way people create new knowledge, which in turn determines organizational effectiveness. We explore this by studying 62 quality improvement projects undertaken in one factory over a decade. Using a factor analysis we identify three learning constructs that characterize the learning process: scope, conceptual learning, and opera...
-
作者：Meade, N; Islam, T
作者单位：Imperial College London
摘要：The paper identifies 29 models that the Literature suggests are appropriate for technological forecasting. These models are divided into three classes according to the timing of the point of inflexion in the innovation or substitution process. Faced with a given data set and such a choice, the issue of model selection needs to be addressed. Evidence used to aid model selection is drawn from measures of model fit and model stability. An analysis of the forecasting performance of these models us...
-
作者：Athanassopoulos, AD
摘要：This paper is concerned with the problem of resource allocation and target setting in the provision of public services. The paper develops a network-based representation of multilevel resource management With equity, efficiency, and effectiveness being recognised as the fundamental objectives of the system. On the modelling side, the proposed method combines data envelopment analysis and goal programming formulations integrated within an interactive planning framework. An illustrative applicat...
-
作者：Dekimpe, MG; Van de Gucht, LM; Hanssens, DM; Powers, KI
作者单位：Universite Catholique Louvain; University of California System; University of California Los Angeles
摘要：We consider the long-run odds that narcotics users remain abstinent after methadone treatment. A flexible split-hazard specification that allows for individual-level differences in both the long-run probability of eventual relapse and the short-run timing of relapse is developed. The model is applied to a comprehensive data set involving individual drug abuse and treatment histories for over 800 addicts. Our findings indicate (1) that the short-run success of methadone programs does not automa...
