Article
Engineering, Chemical
Dnyanesh Deshpande, Mohd Shahrukh, Rajagopalan Srinivasan, Iftekhar A. Karimi
Summary: This study investigates the annual delivery program (ADP) problem for natural gas suppliers, incorporating customer inventory and berth management, customer demand satisfaction, and the delivery of multiple LNG grades. A mathematical programming model is proposed to maximize the supplier's profit.
INDUSTRIAL & ENGINEERING CHEMISTRY RESEARCH
(2023)
Article
Operations Research & Management Science
Foteini Kyriazi, Sophia Tarani, Dimitrios D. D. Thomakos
Summary: We propose a new class of adaptive portfolios based on a variation of the equally weighted portfolio and the use of the median-ranked asset. Our method offers a simple way of allocating assets in portfolios of any dimension, outperforming the equally weighted benchmark in all standard metrics. The portfolio can be optimized using minimum variance optimization or adapted to other portfolio objective functions.
ANNALS OF OPERATIONS RESEARCH
(2023)
Article
Business, Finance
Eiko Sekine, Kazuo Yamanaka
Summary: This article restates the concept of efficient portfolios using a novel approach to asset uncertainty, where an uncertainty set conveys all information on asset returns. By considering a portfolio as a function mapping asset returns to the portfolio return, the width of the image of the uncertainty set is utilized as a risk measure. The separation theorem statement is inherited, and non-positive Value at Risk with 100% confidence is found in a class of efficient portfolios.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2022)
Article
Economics
David P. Brown, Andrew Eckert, Derek E. H. Olmstead
Summary: This paper addresses the challenge of price and quantity uncertainty in setting regulated rates for default retail electricity products. It discusses the use of full-load auctions to evaluate the costs associated with this uncertainty. The study finds that an increase in the number of bidders active in the auctions leads to a reduction in the difference between winning bids and breakeven levels.
Article
Management
Vitali Gretschko, Martin Pollrich
Summary: The study shows that in publicly observable situations, buyers can achieve the same surplus regardless of whether contracts are complete or incomplete. Additionally, supplier switching is infrequent in procurement practice, making incomplete contracting less of a problem in many procurement projects.
MANAGEMENT SCIENCE
(2022)
Article
Computer Science, Information Systems
Ebenezer Fiifi Emire Atta Mills, Siegfried Kafui Anyomi
Summary: This paper proposes a hybrid two-stage robustness approach for portfolio construction that evaluates the efficiency of candidate stocks using a dynamic slack-based measure data envelopment analysis model and determines optimal weights using a robust mean-variance-Entropic Value-at-Risk model. The method reduces computational complexity, increases robustness, and provides a comprehensive evaluation of stocks under different financial decisions.
JOURNAL OF KING SAUD UNIVERSITY-COMPUTER AND INFORMATION SCIENCES
(2022)
Article
Mathematics
Xiaoqing Liu, Gongli Luo, Xinsheng Xu
Summary: The paper focuses on the optimal purchasing decision in the case of supplier default in portfolio procurement. It found that supplier default restricts the purchase quantity and the buyer's profits increase with a decrease in the default rate.
Article
Business, Finance
Taariq G. H. Surtee, Imhotep Paul Alagidede
Summary: Since their inception, modern portfolio theory (MPT) and the Sharpe ratio have been popular investment methodologies, but our study suggests that investors could earn higher returns using Sterling and Treynor ratios. These ratios offer higher-performing portfolios and have indicators to help determine their optimal use. They outperform current indexes and funds and are more robust than the capital asset pricing model. Further research with different ratios and optimization algorithms is recommended.
BORSA ISTANBUL REVIEW
(2023)
Article
Economics
Fabrizio Cipollini, Giampiero M. Gallo, Alessandro Palandri
Summary: The novel model based on the autoregressive representation of the portfolio-variance optimization problem introduces dynamic conditional weights (DCW) as a linear function of past conditional and realized terms. The DCW approach outperforms popular model-based and model-free specifications in terms of weights forecasts and portfolio allocations, achieving the best allocations overall for different levels of risk aversion, transaction costs, and exposure.
INTERNATIONAL JOURNAL OF FORECASTING
(2021)
Article
Green & Sustainable Science & Technology
Aiman Fadil, Paul Davis, John Geraghty
Summary: COVID-19, Brexit, war, and other similar cases have significantly affected the supply chains of various products, highlighting the difficulty of sustaining certain products in uncertain situations. This study addresses the gap in understanding the critical factors influencing the supply of intermediate and final products (IFP) at the national level. By applying the principles of Resource Dependency Theory (RDT), the study explores the relationship between the independent factor of casual supply risk and the dependent factors of political, economic, sociocultural, and technological (PEST) factors in identifying critical products. The research utilized a mixed-method approach, including semi-structured interviews with 23 Saudi experts and a questionnaire distributed to 152 experts from different sectors. The qualitative analysis identified 30 key measurement variables for both factors, with 19 variables confirmed through factor analysis (FA) technique.
Article
Economics
Gaetano Bloise, Paolo Siconolfi
Summary: In this paper, we argue that a large class of recursive contracts can be analyzed using the conventional Negishi method. We propose that a planner should prescribe current actions and distribute future utility values to all agents in order to maximize their weighted sum of utilities. The method yields the exact efficient frontier under convexity, while requiring contracts to be contingent on publicly observable random signals uncorrelated to fundamentals. Additionally, we provide operational first-order conditions for characterizing efficient contracts and extensively compare our approach with the dual method established in existing literature.
Article
Business
Nitish Gupta, Hyunkyu Park, Rob Phaal
Summary: This study, based on qualitative research in the electrical machinery, medical device, and pharmaceutical sectors, reveals the five phases of portfolio management process and the four actors involved. It also identifies three levers that shape the portfolio management process. Implications for portfolio management studies and practices are discussed based on these findings.
TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE
(2022)
Article
Management
Zhaolin Li, Jinwen Ou, Guitian Liang
Summary: Contracts are common in the Australian pharmaceutical industry, posing a challenge for public hospitals in procurement activities. Different heuristic policies are proposed to assist hospitals in choosing between generic brand and rebate brand under standard rebate contracts, with performance evaluation conducted through simulation.
OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE
(2021)
Article
Management
Shi Chen, Junfei Lei, Kamran Moinzadeh
Summary: This study examines the profitability and optimal strategies of buyers and suppliers in the supply chain under different contracts, pricing schemes, and market conditions. It shows that the optimal profit-maximizing strategy for both parties may vary depending on the circumstances.
M&SOM-MANUFACTURING & SERVICE OPERATIONS MANAGEMENT
(2022)
Article
Green & Sustainable Science & Technology
Gongli Luo, Xiaoqing Liu, Felix T. S. Chan
Summary: This paper examines the optimal ordering decisions of a newsvendor in portfolio procurement involving long-term contracts and spot purchases. The study indicates that the newsvendor's optimal ordering quantity changes with market parameters and is significantly influenced by spot price fluctuation in portfolio procurement. The research proposes a method of using relative fluctuation of spot price and long-term contract price, which is more applicable in practice. Numerical experiments verify the results and provide management insights.