Annals of Operations Research

Items from 1 to 11 out of 11 results

article

Supply chain DEA: production possibility set and performance evaluation model

Feng Yang, Dexiang Wu, Liang Liang, Gongbing Bi, more

Annals of Operations Research > 2011 > 185 > 1 > 195-211

Performance evaluation is of great importance for effective supply chain management. The foundation of efficiency evaluation is to faithfully identify the corresponding production possibility set. Although a lot of researches have been done on supply chain DEA models, the exact definition for supply chain production possibility set is still in absence. This paper defines two types of supply chain...

article

Portfolio selection using λ mean and hybrid entropy

Jiuping Xu, Xiaoyang Zhou, Desheng Dash Wu

Annals of Operations Research > 2011 > 185 > 1 > 213-229

This paper develops a λ mean-hybrid entropy model to deal with portfolio selection problem with both random uncertainty and fuzzy uncertainty. Solving this model provides the investor a tradeoff frontier between security return and risk. We model the security return as a triangular fuzzy random variable, where the investor’s individual preference is reflected by the pessimistic-optimistic parameter ...

article

Pricing swing options with regime switching

M. I. M. Wahab, Chi-Guhn Lee

Annals of Operations Research > 2011 > 185 > 1 > 139-160

Gasoline price is highly volatile and exhibits Markov regime-switching process. In the electricity and the natural gas markets, “swing” options, which can provide some protection against day-to-day price fluctuations, are used to incorporate flexibility in delivering acquired energy. We propose a framework for pricing swing options for an underlying variable that follows a regime-switching process...

article

Managerial insights from service industry models: a new scenario decomposition method

E. Borgonovo, L. Peccati

Annals of Operations Research > 2011 > 185 > 1 > 161-179

The service industry literature has recently assisted to the development of several new decision-support models. The new models have been often corroborated via scenario analysis. We introduce a new approach to obtain managerial insights in scenario analysis. The method is based on the decomposition of model results across sub-scenarios generated according to the high dimensional model representation...

article

Using equity options to imply credit information

Angie Elkhodiry, Joseph Paradi, Luis Seco

Annals of Operations Research > 2011 > 185 > 1 > 45-73

The evolution of credit derivatives has inspired many researchers to investigate the behaviour of credit spreads. Today the growing consensus is that the equity option market provides sufficient information to estimate latent credit parameters. Hull et al. (J. Credit Risk 1(1):3–28, 2005) propose a clever approach to estimate credit spreads from the equity option market. In this paper we first perform...

article

Object technology software selection: a case study

Xiaoping Li, Dan Zhu

Annals of Operations Research > 2011 > 185 > 1 > 5-24

The goal of this paper is to present a case study focusing on object technology assessment in a computer service industry. We develop decision models to give proper recommendations for object-oriented software projects. The assessment uses a quantitative approach, in which a mixed-integer linear programming model and a multi-objective model were formulated and applied. By reducing the element of subjectivity,...

article

Foreword

Desheng Wu, David L. Olson

Annals of Operations Research > 2011 > 185 > 1 > 1-3

article

Stochastic dominance of portfolio insurance strategies

Rudi Zagst, Julia Kraus

Annals of Operations Research > 2011 > 185 > 1 > 75-103

The purpose of this article is to analyze and compare two standard portfolio insurance methods: Option-based Portfolio Insurance (OBPI) and Constant Proportion Portfolio Insurance (CPPI). Various stochastic dominance criteria up to third order are considered. We derive parameter conditions implying the second- and third-order stochastic dominance of the CPPI strategy. In particular, restrictions on...

article

The three-factor model and artificial neural networks: predicting stock price movement in China

Qing Cao, Mark E. Parry, Karyl B. Leggio

Annals of Operations Research > 2011 > 185 > 1 > 25-44

Since the establishment of the Shanghai Stock Exchange (SHSE) in 1990 and the Shenzhen Stock Exchange (SZSE) in 1991, China’s stock markets have expanded rapidly. Although this rapid growth has attracted considerable academic interest, few studies have examined the ability of conventional financial models to predict the share price movements of Chinese stock. This gap in the literature is significant,...

article

Better management of blood supply-chain with GIS-based analytics

Dursun Delen, Madhav Erraguntla, Richard J. Mayer, Chang-Nien Wu

Annals of Operations Research > 2011 > 185 > 1 > 181-193

This paper presents a novel application of operations research, data mining and geographic information-systems-based analytics to support decision making in blood supply chain management. This, blood reserve availability assessment, tracking, and management system (BRAMS), research project has been funded by the Office of the Secretary of Defense. (This DoD funded SBIR project is performed by the...

article

Global investing risk: a case study of knowledge assessment via rough sets

Salvatore Greco, Benedetto Matarazzo, Roman Slowinski, Stelios Zanakis

Annals of Operations Research > 2011 > 185 > 1 > 105-138

This paper presents an application of knowledge discovery via rough sets to a real life case study of global investing risk in 52 countries using 27 indicator variables. The aim is explanation of the classification of the countries according to financial risks assessed by Wall Street Journal international experts and knowledge discovery from data via decision rule mining, rather than prediction; i...

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Volume:
185
Year:
2011

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Keywords

Λ MEAN (1)
ANALYSIS AT MULTIPLE LEVELS OF ABSTRACTION (1)
ARTIFICIAL INTELLIGENCE (1)
ARTIFICIAL NEURAL NETWORKS (1)
BLOOD INVENTORY MANAGEMENT (1)
CONSTANT RETURN TO SCALE (CRS) (1)
CPPI (1)
CREDIT SPREADS (1)
DATA ENVELOPMENT ANALYSIS (DEA) (1)
DATA MINING (1)
DATA VALIDATION (1)
DECISION ANALYSIS (1)
DECISION RULE MINING (1)
DEFAULT PROBABILITY (1)
FINANCIAL ENGINEERING (1)
FINITE CHANGE SENSITIVITY INDICES (1)
FIRST-PASSAGE (1)
FUZZY RANDOM VARIABLE (1)
FUZZY SET (1)
GEOGRAPHIC INFORMATION SYSTEM (GIS) (1)
HIGH DIMENSIONAL MODEL REPRESENTATION THEORY (1)
HYBRID ENTROPY (1)
IMPLIED VOLATILITY (1)
INVESTING RISK ASSESSMENT (1)
KNOWLEDGE DISCOVERY (1)
LATTICE APPROACH (1)
LIQUIDITY (1)
MERTON’S MODEL (1)
MISSING VALUES (1)
MULTI-CRITERIA CLASSIFICATION (1)
OBJECT-ORIENTED ANALYSIS AND DESIGN (1)
OBPI (1)
OPTIMIZATION (1)
PERFORMANCE EVALUATION (1)
PORTFOLIO INSURANCE (1)
PORTFOLIO SELECTION (1)
PRODUCTION POSSIBILITY SET (1)
PROGRAMMING (1)
REGIME-SWITCHING PROCESS (1)
RISK-AVERSE INVESTOR (1)
ROUGH SETS (1)
SCENARIO ANALYSIS (1)
SENSITIVITY ANALYSIS (1)
SERVICE INDUSTRY MODELS (1)
SOFTWARE SELECTION (1)
STOCHASTIC DOMINANCE (1)
STOCK PRICE PREDICTION (1)
SUPPLY CHAIN MANAGEMENT (SCM) (1)
SWING OPTIONS (1)
THREE-FACTOR MODEL (1)
TRIANGULAR FUZZY NUMBER (1)
VOLATILITY SPREAD (1)
WORKFORCE ALLOCATION (1)
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