Notes and Communications APPLICATIONS OF MANAGEMENT SCIENCE IN BANKING

This paper identifies and classifies 164 journal articles on management science in banking according to technique and application area. An analysis provides some interesting insights into historical trends and future prospects for research.     

Solving hybrid flow shop problem using energetic reasoning and global operations

This paper shows that the use of satisfiability tests and time-bound adjustments based on energetic reasoning and global operations can enhance the efficiency of branch and bound procedures for optimally solving the hybrid flow shop scheduling problem. Procedures to use energetic reasoning and extended forms of global adjustment techniques are described and are empirically evaluated. Computational results show that the proposed approaches outperform the best known procedures to optimally solve the hybrid flow shop problem.     

International acquisition performance and experience: A resource-based view. Evidence from French acquisitions in the United States (1988–2004)

Does an acquirer with extensive acquisition experience outperform an acquirer with little or no acquisition experience? Does an acquirer with varied growth mode experience (i.e. a company undertaking not only acquisitions but also joint ventures) outperform a company that has very homogeneous experience (i.e. a company growing exclusively through acquisitions)? The main purpose of our article is to examine these two questions in-depth and to attempt to provide some answers. The questions led us to analyze the valuation effect of the acquirer's experience for 291 French acquisitions in the United States. The results were mixed with regard to the relationship between acquisition performance, acquisition experience and heterogeneous experience. On the one hand we found no relationship between the acquisition performance and heterogeneous experience of French acquirers, which is not consistent with the literature on stock market valuation of homogeneous “experience trajectories” [Singh, H., Zollo, M., 1998. The impact of knowledge codification, experience trajectories and integration strategies on the performance of corporate acquisitions. Working Paper INSEAD, 98,62,SM.]. On the other hand, our findings indicate that the relationship between the acquisition performance and acquisition experience of French acquirers follows a curvilinear (inverted U-shaped) distribution.     

Quantitative Risk Assessment from Farm to Fork and Beyond: A Global Bayesian Approach Concerning Food-Borne Diseases

A novel approach to the quantitative assessment of food-borne risks is proposed. The basic idea is to use Bayesian techniques in two distinct steps: first by constructing a stochastic core model via a Bayesian network based on expert knowledge, and second, using the data available to improve this knowledge. Unlike the Monte Carlo simulation approach as commonly used in quantitative assessment of food-borne risks where data sets are used independently in each module, our consistent procedure incorporates information conveyed by data throughout the chain. It allows "back-calculation" in the food chain model, together with the use of data obtained "downstream" in the food chain. Moreover, the expert knowledge is introduced more simply and consistently than with classical statistical methods. Other advantages of this approach include the clear framework of an iterative learning process, considerable flexibility enabling the use of heterogeneous data, and a justified method to explore the effects of variability and uncertainty. As an illustration, we present an estimation of the probability of contracting a campylobacteriosis as a result of broiler contamination, from the standpoint of quantitative risk assessment. Although the model thus constructed is oversimplified, it clarifies the principles and properties of the method proposed, which demonstrates its ability to deal with quite complex situations and provides a useful basis for further discussions with different experts in the food chain.     

Longitudinal profiles of bounded outcome scores as predictors for disease activity in rheumatoid arthritis patients: a joint modeling approach

A variety of statistical approaches have been suggested in the literature for the analysis of bounded outcome scores (BOS). In this paper, we suggest a statistical approach when BOSs are repeatedly measured over time and used as predictors in a regression model. Instead of directly using the BOS as a predictor, we propose to extend the approaches suggested in [16 E. Lesaffre, D. Rizopoulos, and R. Tsonaka, The logistics-transform for bounded outcome scores, Biostatistics 8 (2007), pp. 72–85. doi: 10.1093/biostatistics/kxj034[Crossref], [PubMed], [Web of Science ®] , [Google Scholar],21 M. Molas and E. Lesaffre, A comparison of the three random effects approaches to analyse repeated bounded outcome scores with an application in a stroke revalidation study, Stat. Med. 27 (2008), pp. 6612–6633. doi: 10.1002/sim.3432[Crossref], [PubMed], [Web of Science ®] , [Google Scholar],28 R. Tsonaka, D. Rizopoulos, and E. Lesaffre, Power and sample size calculations for discrete bounded outcome scores, Stat. Med. 25 (2006), pp. 4241–4252. doi: 10.1002/sim.2679[Crossref], [PubMed], [Web of Science ®] , [Google Scholar]] to a joint modeling setting. Our approach is illustrated on longitudinal profiles of multiple patients’ reported outcomes to predict the current clinical status of rheumatoid arthritis patients by a disease activities score of 28 joints (DAS28). Both a maximum likelihood as well as a Bayesian approach is developed.     

Ambiguous life expectancy and the demand for annuities

In this paper, ambiguity aversion to uncertain survival probabilities is introduced in a static life-cycle model with a bequest motive to study the optimal demand for annuities. Provided that annuities’ return is sufficiently large, and notably when it is fair, positive annuitization is known to be the optimal strategy of ambiguity neutral individuals. Conversely, we show that the demand for annuities decreases with ambiguity aversion and that there exists a finite degree of aversion above which the demand is non-positive: the optimal strategy is then to either sell annuities short or to hold zero annuities if the former option is not available. To conclude, ambiguity aversion appears to be a relevant candidate for explaining the annuity puzzle.