DYNAMIC MODELS OF BOND REFUNDING*

Dynamic programming models of bond refunding have been given by Weingartner [14], Kalymon [8] and Elton and Gruber [4]. This paper gives a formulation of this problem that lends itself to extensions including the term structure of interest rates, delayed-call provisions, and “rolling over” the outstanding debt. Finally, the cost of computation is examined, along with some examples.     

FAIRNESS IN COST ALLOCATIONS AND COOPERATIVE GAMES

In an economic environment where there is a conflict of interest among several parties, the job of an adjudicator is to devise a “solution” to this conflict that is “fair” or at least acceptable to all parties. For example, a cost accountant may have to allocate the cost of a research and development division or of a common power facility to several departments—each of which makes some use of the facility. Perhaps, several firms responsible for the pollution of a lake or river may be under a court order to clean up the lake, and he must decide how to distribute this cost among the several firms. The purpose of this paper is to illustrate through the above two examples how the theory of cooperative games may be of service to such an adjudicator. However, there are several different notions of “fairness,” and the decision as to which notion of “fairness” is appropriate to which conflict situation is a decision that at this point is beyond the theory of cooperative games. By examining these different notions of fairness, a person may find himself able to distinguish features of various solution proposals which make one solution “fairer” than another.     

基于整数规划强对偶求解一类局域性资源受限项目调度问题

资源受限项目调度问题(简称RCPSP)是最具代表性的项目调度问题之一,调度过程可理解为,将受资源约束的平行工序调整为顺序工序。本文针对实际中广泛存在的资源局域、而非全局受限的情况,研究局域性RCPSP,并重点考虑一类问题：项目某环节的一系列平行工序,可用资源量只有一半,各资源可重复利用且具有相应多功能,但最多能承担2个工序,需将这些工序两两排列成对,实现项目工期最短。本文首先探索问题“局域性”特征,量化局域调度对项目工期的影响;基于此,构建只涵盖“局域调度工序”的0-1规划模型;再者,发展整数规划强对偶理论,结合Dangzig-Wolfe分解等方法,提出多项式时间的精确算法;最后通过算例测试,验证算法优势,例如,计算大规模算例的最优解,运用该算法比常规精确方法可快数万倍以上。     

Identification and selection of environmental performance indicators: Application of the balanced scorecard approach

The popular “balanced scorecard” system can be applied in the selection and development of environmental performance indicators. As presented, the balanced scorecard integrates environmental performance within the context of corporate strategic objectives. The basic premise of the balanced scorecard is that the ultimate corporate objectives commonly targeted by senior management such as economic value-added, net income, return, on equity, and return on assets are of little use in day-to-day dicision-making or in the motivation of employeesRather than look ahead, these measures reflect the past and, therefore, are not closely linked with the immediate actions which might be expected to be associated with future performance improvements. To create incentives for future improvement in these long-term measures, we must develop “leading” measures, which can be easily monitored in the short term. Such an approach lends itself to the selection of environmental performance indicators which are most clearly associated with the firm's strategic goals.     

A unifying framework for duality and modeling in robust linear programs

In this paper, our major theme is a unifying framework for duality in robust linear programming. We show that there are two pair of dual programs allied with a robust linear program; one in which the primal is constructed to be “ultra-conservative” and one in which the primal is constructed to be “ultra-optimistic.” Furthermore, as one would expect, if the uncertainly in the primal is row-based, the corresponding uncertainty in the dual is column-based, and vice-versa. Several examples are provided that illustrate the properties of these primal and dual models.A second theme of the paper is about modeling in robust linear programming. We replace the ordinary activity vectors (points) and right-hand sides with well-known geometric objects such as hyper-rectangles, parallel line segments and hyper-spheres. In this manner, imprecision and uncertainty can be explicitly modeled as an inherent characteristic of the model. This is in contrast to the usual approach of using vectors to model activities and/or constraints and then, subsequently, imposing some further constraints in the model to accommodate imprecision and uncertainties. The unifying duality structure is then applied to these models to understand and interpret the marginal prices. The key observation is that the optimal solutions to these dual problems are comprised of two parts: a traditional “centrality” component along with a “robustness” component.     

Asymptotically Efficient Estimation of Models Defined by Convex Moment Inequalities

This paper examines the efficient estimation of partially identified models defined by moment inequalities that are convex in the parameter of interest. In such a setting, the identified set is itself convex and hence fully characterized by its support function. We provide conditions under which, despite being an infinite dimensional parameter, the support function admits √n‐consistent regular estimators. A semiparametric efficiency bound is then derived for its estimation, and it is shown that any regular estimator attaining it must also minimize a wide class of asymptotic loss functions. In addition, we show that the “plug‐in” estimator is efficient, and devise a consistent bootstrap procedure for estimating its limiting distribution. The setting we examine is related to an incomplete linear model studied in Beresteanu and Molinari (2008) and Bontemps, Magnac, and Maurin (2012), which further enables us to establish the semiparametric efficiency of their proposed estimators for that problem.     

Assessment of delay factors in construction of sport facilities through multi criteria decision making

Abstract

The construction of sports facilities widened drastically as the number of sport events gradually increased during the last two decades in the global environment. The requirements of International Federations to host these sports events impact the construction of these facilities. Construction complexity, budget and time constraints and pressure from the project stakeholders play an important role on delivery time of such facilities. The aim of this paper is to identify and evaluate the most significant delay factors that affecting the delivery of sport projects worldwide. From previous literatures and one-to-one meetings with technical experts, a list of 37 delays attributes were identified. These factors were categorised in 8 groups and distributed through an online questionnaire portal to sport facility professionals. 101 completed responses were collected and analysed through different ranking approaches and multi criteria decision making methods (Relative Importance Index (RII), Spearman’s Rank Correlation, T-Test and Analytical Hierarchy Process (AHP). The analysis of AHP concluded that “low level of consultant experience”, “low level of contractor experience”, “shortage of construction materials” and “difficulties in financing the project by contractor” were the most critical delay factors, while “delays related to contractor capabilities” was the most critical delay group. The value of this paper is to provide the industry professionals with the most significant delay factors in construction of sports facilities to take proper managerial actions to reduce delays.     

Generalized Steiner Problems and Other Variants

In this paper, we examine combinatorial optimization problems by considering the case where the set N (the ground set of elements) is expressed as a union of a finite number of m nonempty distinct subsets N ₁,...,N _m. The term we use is the generalized Steiner problems coined after the Generalized Traveling Salesman Problem. We have collected a short list of classical combinatorial optimization problems and we have recast each of these problems in this broader framework in an attempt to identify a linkage between these “generalized” problems. In the literature one finds generalized problems such as the Generalized Minimum Spanning Tree (GMST), Generalized Traveling Salesman Problem (GTSP) and Subset Bin-packing (SBP). Casting these problems into the new problem setting has important implications in terms of the time effort required to compute an optimal solution or a “good” solution to a problem. We examine questions like “is the GTSP “harder” than the TSP?” for a number of paradigmatic problems starting with “easy” problems such as the Minimal Spanning Tree, Assignment Problem, Chinese Postman, Two-machine Flow Shop, and followed by “hard” problems such as the Bin-packing, and the TSP.     

Co‐opetition and Investment for Supply‐Chain Resilience

This paper considers the problem of disruption risk management in global supply chains. We consider a supply chain with two participants, who face interdependent losses resulting from supply chain disruptions such as terrorist strikes and natural hazards. The Harsanyi–Selten–Nash bargaining framework is used to model the supply chain participants' choice of risk mitigation investments. The bargaining approach allows a framing of both joint financing of mitigation activities before the fact and loss‐sharing net of insurance payouts after the fact. The disagreement outcome in the bargaining game is assumed to be the result of the corresponding non‐cooperative game. We describe an incentive‐compatible contract that leads to First Best investment and equal “gain” for all players, when the solution is “interior” (as it almost certainly is in practice). A supplier that has superior security practices (i.e., is inherently safer) exploits its informational advantage by extracting an “information rent” in the usual spirit of incomplete information games. We also identify a special case of this contract, which is robust to moral hazard. The role of auditing in reinforcing investment incentives is also examined.     

具有时间转换约束的离散时间-费用权衡问题研究

离散时间-费用权衡问题(DTCTP)是项目进度中研究最多的双目标优化问题,它通常以三种形式出现:(1)P1:截止日期问题,在项目截止日期约束下使完成项目的总费用最小;(2)P2:预算问题,在费用预算约束下使项目工期最短;(3)P3:工期-费用曲线问题,找出全部有效的工期-费用模式集合。然而,考虑时间转换约束(TSC)的DTCTP却很少被关注。本文首先介绍时间转换约束的问题描述,在此基础上,建立具有活动类型时间转换约束的DTCTPTSC-P2模型;从实用角度出发,设计求解模型的遗传算法;最后,用一个真实项目实例说明模型的合理性和算法的有效性,对算例分析结果表明,该模型对承包商更准确地进行项目工期-费用权衡决策具有借鉴意义。     

Co-determination and Personnel Turnover: The German Experience

ABSTRACT: It has often been argued, that within the German system of co-determination the works council has an unparalleled participative role, which goes well beyond any voice function of trade unions in the Anglo Saxon tradition. Nevertheless, there is surprisingly little empirical evidence, whether and to what extent works councils influence employers’dismissal and employees’quit decisions. Analyzing a representative sample of private sector firms that have to obey the Dismissal Protection Act of 1969 and the Works Constitution Act of 1972, the paper finds that firms with a works council have an annual dismissal rate which is 1.6 percentage points lower than the one experienced by firms wthout a plant-level interest representation. At the same time, firms with a works council have a quit rate which is 1.5 percentage points lower than the one in firms without such interest representation. Union density, on the other hand, has no statistically significant influence on either the dismissal or the quit rate. Apparently, it is the works councils that in both cases act as a collective “voice institution”, serving as a direct channel of communication between workers and management. Although it is difficult to reach a safe conclusion about the net economic impact of works councils on the employment behavior of firms, the findings lend some support to the following assumption: since hiring and training costs are usually higher than firing costs, firms on average benefit from the presence of a works council with regard to their user costs of labor: the “savings” due to avoided voluntary quits apparently more than compensate for the additional spendings for severance payments and the costs of co-determination.     

The Distinction Between Risk and Hazard: Understanding and Use in Stakeholder Communication

A major issue in all risk communication efforts is the distinction between the terms “risk” and “hazard.” The potential to harm a target such as human health or the environment is normally defined as a hazard, whereas risk also encompasses the probability of exposure and the extent of damage. What can be observed again and again in risk communication processes are misunderstandings and communication gaps related to these crucial terms. We asked a sample of 53 experts from public authorities, business and industry, and environmental and consumer organizations in Germany to outline their understanding and use of these terms using both the methods of expert interviews and focus groups. The empirical study made clear that the terms risk and hazard are perceived and used very differently in risk communication depending on the perspective of the stakeholders. Several factors can be identified, such as responsibility for hazard avoidance, economic interest, or a watchdog role. Thus, communication gaps can be reduced to a four‐fold problem matrix comprising a semantic, conceptual, strategic, and control problem. The empirical study made clear that risks and hazards are perceived very differently depending on the stakeholders’ perspective. Their own worldviews played a major role in their specific use of the two terms hazards and risks in communication.     

Contingent capital makes credit crunches less likely: but do banks want to have it?

We analyze whether the use of CoCo bonds as a financing instrument improves credit supply and therefore reduces the likelihood of a credit crunch. In our simple model, banks decide about granting an additional loan. In case of the bank violating the regulatory constraint, it needs to issue equity associated with adjustment costs. The contribution of the paper is threefold: First, this simple model explains credit crunches in the sense that the loan decision does not only depend on loan characteristics but also on the bank’s prospects. Second, CoCo bonds can always be designed such that all loans with non-negative net present value are granted, which prevents the danger of a credit crunch. Third, banks might not want to issue CoCo bonds even though these instruments help to improve credit supply. This problem primarily concerns banks with favorable prospects, thereby challenging the notion that CoCo bonds should be issued in good times as a protection during bad times.     

Technology,productivity and economic analysis

A commonly held view is that innovation, deriving directly from expenditure on research and development, brings increased productivity, lower costs, increased profitability and growth, and that these relationships form a economically virtuous circle.However, this view is not supported either by the research results reported here or by other empirical findings. A richer and deeper framework of analysis than this “mythology” provides is required for management decision making in innovation and in this and the subsequent paper the author outlines the necessary features of such a framework.A model of a “network of productivity relationships” with six components is described which traces the effects of innovation, at any point in the network, on input productivities. The model points up the futility of single input measures of innovatory effects. This network is then combined with cost factors to show the effect on categories of unit costs and on total unit cost. Finally, profitability is related to the physical and cost factors to provide managerial control ratios which offer the relevent criteria by which innovation many be appraised.The history of innovation in the U.S. Basic Steel Industry is examined in the light of the model described above and hypotheses are proposed to identify possible productivity and cost effects of innovation with a view ot improving general predictive capability of the results of any given type of innovation.     

含有违约风险的利率风险管理

旨在解决含有违约风险的利率风险管理问题,指出了在商业银行资产负债管理中含有违约风险债券利率风险管理问题研究的必要性,获得了违约风险债券久期的一般公式,建立了含有对违约风险的控制、平均绝对离差约束、平衡表其它相关约束以及目标约束等在内的商业银行利率风险管理的目标规划模型;并在给出数值实例的基础上,讨论了违约风险的存在对银行利率风险管理的影响.     

Corporate planning a review of questions and answers

This paper is about corporate planning, seen primarily but not exclusively from the viewpoint of operational research. The reasons for the rise of interest in corporate planning are examined, as are the contributions which O.R. has made or can make to corporate planning problems. An abstract discussion of these problems concentrates on those posed by increasing “connectedness” in the environment. After comparing the responses of the “commonsense manager”, the model-oriented operational researcher, and the cybernetician, the question is posed: “How can the operational researcher or planner enhance the adaptive capability of his organization?” A case study illustrates one possible form of solution, the “modular” approach; and another, the “zoom-lens” is outlined. The relevance of global system modelling to the widening problems of the corporate planner is also considered, and related to the concepts previously discussed.     

PROPOSALS FOR A PROGRAM OF EMPIRICAL RESEARCH INTO THE PROPERTIES OF TRIANGLES*

Physical geometry is viewed in this essay as the prototype of a successful generalizing empirical science. Suppose that physical geometry had been studied in ancient Egypt by empirical methods similar to those commonly used today by many researchers seeking general propositions useful in explaining, predicting, or controlling phenomena of interest to practicing managers. Would these methods have produced valid and useful geometric generalizations? This intriguing question is explored in Part I by means of a parable which suggests a negative answer to the question. The reasons for this negative conclusion are developed in Part II. In the successful generalizing sciences, general propositions (or theory) have not been the result of an a posteriori“induction” from observational data, but rather the result of an a priori“construction” of a framework for the coordination of measurement operations. Such a framework, whether explicitly articulated or not, is a necessary condition for the collection of coherent and reproducible observational data and, therefore, for explanation, prediction, and control of phenomena. Yet, despite its a priori character, an acceptable framework or theory must be “empirical” in Popper's sense of being subject to refutation by observation. If the framework is logically prior to data, however, what is its source? In the successful generalizing sciences, it is argued in Part III, theories have been generalized not from data but from the skills—the coordination of operations—of practitioners. This genesis “explains” the success of the sciences, because an effective skill includes within itself tests of its range of applicability and adapts itself to changing conditions. A discussion of the implications of this argument for making management “scientific” concludes the essay.     

PITFALLS OF ROUNDING IN DISCRETE MANAGEMENT DECISION PROBLEMS

A number of articles on managerial decision making have addressed the issue of whether or not to round a fractional solution to obtain a solution for a problem involving discrete alternatives. (An example is the problem in which the decision maker must select exactly one of several investment alternatives, but attaches no meaning to selecting two-thirds of one alternative and one-third of another.) Those articles which suggest that rounding can lead to undesirable answers are seemingly supported by the numerous “textbook examples” that purport to illustrate the dangers of rounding. However, the standard examples in which rounding fails to give a workable solution involve only a few rounding possibilities (usually two or four) and do not come from real world applications. Hence, it is questionable whether they provide any insight about what is likely to occur in a practical setting. This note fills a gap in previous discussions of rounding by providing two easily understood examples that dramatically portray the difficulties that rounding can encounter. The first example belongs to an important class of practical problems. We illustrate that rounding fails not only for this example, but also fails for all problems in its class. The second example is a unique “showcase” problem which can be summarized by a 5 times 5 cost matrix. This problem contains more than a million rounding alternatives, all of them infeasible! Following these examples, we present a “rounding paradox” and we show that its resolution gives analytical support to the conclusion that rounding will produce grave difficulties in a wide variety of practical situations.     

For a New Incomes Policy: New Possibilities and Objectives

Abstract. Moving off from the lessons of the Italian incomes policy experience of the 1980s, this paper presents a new framework to interpret the performance of incomes policy (LP) agreements and institutions, and propose new strategies for the 1990s. IP is viewed as a cooperative outcome that evolves from a non-cooperative long-term game between several players (workers, unions, firms, government, parliament, etc.), along the lines of the model drawn up by Brunetta and Carraro (1988). The paper is divided into three sections. The first summarizes the history of IP in Italy, starting from the phase of the predetermination of disinflation (1983-84). We firstly outline some of the fundamental features of recent Italian development (the “Italian model”), noting how new IP measures could be taken to create an adequate response to the new European and international deadlines. The difficulties and uncertainties that presently exist at both national and international level make the introduction of IP in new, cooperative and evolutive terms, necessary. The second section examines the various topics and new objectives of a “strategic” IP resumption, particularly relevant to the concerted action on the cost of labour, presently being discussed. The topics we consider are: the link between wage reform and IP; the recent concerted agreements reached on fiscal drag (26.1.89) and on the cost of labour (25.1 and 6.7.90); the importance of the role of productivity gain-sharing; programmed inflation and price control; indexation of gross wages and safeguarding the net wage; increase of the tax base; profit-sharing. The third and final section presents a few observations which further investigate the distribution of productivity gains between sectors and uses: how it is articulated amongst the various bargaining levels (central, sectoral or enterprise). Redistribution amongst sectors is dealt with in terms of “protected” and “unprotected” areas of the economy, showing the need of a concerted regulation at the central level. Sharing between factors and allocations presents a very different case, and is dealt with at sectoral and firm level.     

考虑顾客效用和时变品质度的乳品供应链品质激励契约研究

考虑时间因素对乳制品品质的影响,构建“时变品质度”函数,结合消费者效用的敏感性,将乳品品质加成和时变特性与厂商收益管理有机结合,设计“批发价+收益共享”契约和“收益共享+品质投入成本共担”契约作为激励机制,来促进乳制品供应链上的主体企业提高品质投入水平。研究结果表明：单纯的“批发价+收益共享”契约对加工企业品质投入的激励效果有限,而“收益共享+品质投入成本共担”契约可以实现供销双方经济利润的帕累托改进,明晰供销双方在品质投入问题上的利益分配与权责关系,并在一定参数取值区间内,协调实现整体供应链利润最优。最后通过数值算例进行参数敏感性分析并验证相关结论。