Dépouillements

The effects of problem structure and team diversity on brainstorming effectiveness / Stylianos Kavadias in Management science, Vol. 55 N° 12 (Décembre 2009) 

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1899-1913 Titre : The effects of problem structure and team diversity on brainstorming effectiveness Type de document : texte imprimé Auteurs : Stylianos Kavadias, Auteur ; Svenja C. Sommer, Auteur Article en page(s) : pp. 1899-1913 Note générale : Gestion Langues : Anglais (eng) Mots-clés : Brainstorming  process  New  product  development  team  Ideation  complexity Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Since Osborn's Applied Imagination book in 1953 (Osborn, A. F. 1953. Applied Imagination: Principles and Procedures of Creative Thinking. Charles Scribner's Sons, New York), the effectiveness of brainstorming has been widely debated. While some researchers and practitioners consider it the standard idea generation and problem-solving method in organizations, part of the social science literature has argued in favor of nominal groups, i.e., the same number of individuals generating solutions in isolation. In this paper, we revisit this debate, and we explore the implications that the underlying problem structure and the team diversity have on the quality of the best solution as obtained by the different group configurations. We build on the normative search literature of new product development, and we show that no group configuration dominates. Therefore, nominal groups perform better in specialized problems, even when the factors that affect the solution quality exhibit complex interactions (problem complexity). In cross-functional problems, the brainstorming group exploits the competence diversity of its participants to attain better solutions. However, their advantage vanishes for extremely complex problems. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1899?maxtoshow=&hit [...] [article] The effects of problem structure and team diversity on brainstorming effectiveness [texte imprimé] / Stylianos Kavadias, Auteur ; Svenja C. Sommer, Auteur . - pp. 1899-1913. Gestion Langues : Anglais (eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1899-1913 Mots-clés : Brainstorming  process  New  product  development  team  Ideation  complexity Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Since Osborn's Applied Imagination book in 1953 (Osborn, A. F. 1953. Applied Imagination: Principles and Procedures of Creative Thinking. Charles Scribner's Sons, New York), the effectiveness of brainstorming has been widely debated. While some researchers and practitioners consider it the standard idea generation and problem-solving method in organizations, part of the social science literature has argued in favor of nominal groups, i.e., the same number of individuals generating solutions in isolation. In this paper, we revisit this debate, and we explore the implications that the underlying problem structure and the team diversity have on the quality of the best solution as obtained by the different group configurations. We build on the normative search literature of new product development, and we show that no group configuration dominates. Therefore, nominal groups perform better in specialized problems, even when the factors that affect the solution quality exhibit complex interactions (problem complexity). In cross-functional problems, the brainstorming group exploits the competence diversity of its participants to attain better solutions. However, their advantage vanishes for extremely complex problems. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1899?maxtoshow=&hit [...]

The shape and term structure of the index option smirk / Peter Christoffersen in Management science, Vol. 55 N° 12 (Décembre 2009) 

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1914-1932 Titre : The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well Type de document : texte imprimé Auteurs : Peter Christoffersen, Auteur ; Steven Heston, Auteur ; Kris Jacobs, Auteur Article en page(s) : pp. 1914-1932 Note générale : Gestion Langues : Anglais (eng) Mots-clés : Stochastic  correlation  Stochastic  volatility  Equity  index  options  Multifactor  model  Persistence  Affine  Out-of-sample Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : State-of-the-art stochastic volatility models generate a "volatility smirk" that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk moves up and down in response to changes in risk. However, the data indicate that the slope and the level of the smirk fluctuate largely independently. Although single-factor stochastic volatility models can capture the slope of the smirk, they cannot explain such largely independent fluctuations in its level and slope over time. We propose to model these movements using a two-factor stochastic volatility model. Because the factors have distinct correlations with market returns, and because the weights of the factors vary over time, the model generates stochastic correlation between volatility and stock returns. Besides providing more flexible modeling of the time variation in the smirk, the model also provides more flexible modeling of the volatility term structure. Our empirical results indicate that the model improves on the benchmark Heston stochastic volatility model by 24% in-sample and 23% out-of-sample. The better fit results from improvements in the modeling of the term structure dimension as well as the moneyness dimension. En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1914?maxtoshow=&hit [...] [article] The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well [texte imprimé] / Peter Christoffersen, Auteur ; Steven Heston, Auteur ; Kris Jacobs, Auteur . - pp. 1914-1932. Gestion Langues : Anglais (eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1914-1932 Mots-clés : Stochastic  correlation  Stochastic  volatility  Equity  index  options  Multifactor  model  Persistence  Affine  Out-of-sample Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : State-of-the-art stochastic volatility models generate a "volatility smirk" that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk moves up and down in response to changes in risk. However, the data indicate that the slope and the level of the smirk fluctuate largely independently. Although single-factor stochastic volatility models can capture the slope of the smirk, they cannot explain such largely independent fluctuations in its level and slope over time. We propose to model these movements using a two-factor stochastic volatility model. Because the factors have distinct correlations with market returns, and because the weights of the factors vary over time, the model generates stochastic correlation between volatility and stock returns. Besides providing more flexible modeling of the time variation in the smirk, the model also provides more flexible modeling of the volatility term structure. Our empirical results indicate that the model improves on the benchmark Heston stochastic volatility model by 24% in-sample and 23% out-of-sample. The better fit results from improvements in the modeling of the term structure dimension as well as the moneyness dimension. En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1914?maxtoshow=&hit [...]

Ambiguity aversion and the preference for established brands / A. V. Muthukrishnan in Management science, Vol. 55 N° 12 (Décembre 2009) 

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1933 - 1941 Titre : Ambiguity aversion and the preference for established brands Type de document : texte imprimé Auteurs : A. V. Muthukrishnan, Auteur ; Luc Wathieu, Auteur ; Alison Jing Xu, Auteur Article en page(s) : pp. 1933 - 1941 Note générale : Gestion Langues : Anglais (eng) Mots-clés : Ambiguity  Brand  preference  Decisions  under  uncertainty  Multiattribute  choice Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We propose that ambiguity aversion, as introduced in the literature on decision making under uncertainty, drives a preference for established brands in multiattribute choices among branded alternatives. Established brands are those for which belief in quality is held with greater confidence, even if specific attributes might be inferior to those of competing, less-established brands. In five experiments, we examine the role of ambiguity aversion in the preference for dominated, established brands. We first show a correlation between ambiguity aversion (revealed through choices among monetary lotteries) and the preference for established brands. We then show that the preference for established brands is enhanced when ambiguity aversion is made more salient in unrelated preceding lottery choices. Thus, ambiguity aversion carries across choices. In addition, ambiguity aversion and the preference for established brands are both enhanced when subjects anticipate that others will evaluate their lottery choices. Finally, ambiguous information about brand attributes tends to increase the preference for established brands. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/gca?allch=&SEARCHID=1&VOLUME=55&FIRSTINDEX [...] [article] Ambiguity aversion and the preference for established brands [texte imprimé] / A. V. Muthukrishnan, Auteur ; Luc Wathieu, Auteur ; Alison Jing Xu, Auteur . - pp. 1933 - 1941. Gestion Langues : Anglais (eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1933 - 1941 Mots-clés : Ambiguity  Brand  preference  Decisions  under  uncertainty  Multiattribute  choice Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We propose that ambiguity aversion, as introduced in the literature on decision making under uncertainty, drives a preference for established brands in multiattribute choices among branded alternatives. Established brands are those for which belief in quality is held with greater confidence, even if specific attributes might be inferior to those of competing, less-established brands. In five experiments, we examine the role of ambiguity aversion in the preference for dominated, established brands. We first show a correlation between ambiguity aversion (revealed through choices among monetary lotteries) and the preference for established brands. We then show that the preference for established brands is enhanced when ambiguity aversion is made more salient in unrelated preceding lottery choices. Thus, ambiguity aversion carries across choices. In addition, ambiguity aversion and the preference for established brands are both enhanced when subjects anticipate that others will evaluate their lottery choices. Finally, ambiguous information about brand attributes tends to increase the preference for established brands. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/gca?allch=&SEARCHID=1&VOLUME=55&FIRSTINDEX [...]

Multiattribute utility satisfying a preference for combining good with bad / Ilia Tsetlin in Management science, Vol. 55 N° 12 (Décembre 2009) 

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1942-1952 Titre : Multiattribute utility satisfying a preference for combining good with bad Type de document : texte imprimé Auteurs : Ilia Tsetlin, Auteur ; Robert L. Winkler, Auteur Article en page(s) : pp. 1942-1952 Note générale : Gestion Langues : Anglais (eng) Mots-clés : Multiattribute  utility  Combining  good  with  bad  Mixex  utility  Risk  aversion  Multivariate  one-switch  property  Sumex  utility  Multivariate  Laplace  transform Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : An important challenge in multiattribute decision analysis is the choice of an appropriate functional form for the utility function. We show that if a decision maker prefers more of any attribute to less and prefers to combine good lotteries with bad, as opposed to combining good with good and bad with bad, her utility function should be a weighted average (a mixture) of multiattribute exponential utilities ("mixex utility"). In the single-attribute case, mixex utility satisfies properties typically thought to be desirable and encompasses most utility functions commonly used in decision analysis. In the multiattribute case, mixex utility implies aversion to any multivariate risk. Risk aversion with respect to any attribute decreases as that attribute increases. Under certain restrictions, such risk aversion also decreases as any other attribute increases, and a multivariate one-switch property is satisfied. One of the strengths of mixex utility is its ability to represent cases where utility independence does not hold, but mixex utility can be consistent with mutual utility independence and take on a multilinear form. An example illustrates the fitting of mixex utility to preference assessments. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1942?maxtoshow=&hit [...] [article] Multiattribute utility satisfying a preference for combining good with bad [texte imprimé] / Ilia Tsetlin, Auteur ; Robert L. Winkler, Auteur . - pp. 1942-1952. Gestion Langues : Anglais (eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1942-1952 Mots-clés : Multiattribute  utility  Combining  good  with  bad  Mixex  utility  Risk  aversion  Multivariate  one-switch  property  Sumex  utility  Multivariate  Laplace  transform Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : An important challenge in multiattribute decision analysis is the choice of an appropriate functional form for the utility function. We show that if a decision maker prefers more of any attribute to less and prefers to combine good lotteries with bad, as opposed to combining good with good and bad with bad, her utility function should be a weighted average (a mixture) of multiattribute exponential utilities ("mixex utility"). In the single-attribute case, mixex utility satisfies properties typically thought to be desirable and encompasses most utility functions commonly used in decision analysis. In the multiattribute case, mixex utility implies aversion to any multivariate risk. Risk aversion with respect to any attribute decreases as that attribute increases. Under certain restrictions, such risk aversion also decreases as any other attribute increases, and a multivariate one-switch property is satisfied. One of the strengths of mixex utility is its ability to represent cases where utility independence does not hold, but mixex utility can be consistent with mutual utility independence and take on a multilinear form. An example illustrates the fitting of mixex utility to preference assessments. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1942?maxtoshow=&hit [...]

Contracting in supply chains / Elena Katok in Management science, Vol. 55 N° 12 (Décembre 2009) 

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1953-1968 Titre : Contracting in supply chains : a laboratory investigation Type de document : texte imprimé Auteurs : Elena Katok, Auteur ; Diana Yan Wu, Auteur Article en page(s) : pp. 1953-1968 Note générale : Gestion Langues : Anglais (eng) Mots-clés : Supply  chain  contracts  Experimental  economics Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The coordination of supply chains by means of contracting mechanisms has been extensively explored theoretically but not tested empirically. We investigate the performance of three commonly studied supply chain contracting mechanisms: the wholesale price contract, the buyback contract, and the revenue-sharing contract. The simplified setting we consider utilizes a two-echelon supply chain in which the retailer faces the newsvendor problem, the supplier has no capacity constraints, and delivery occurs instantaneously. We compare the three mechanisms in a laboratory setting using a novel design that fully controls for strategic interactions between the retailer and the supplier. Results indicate that although the buyback and revenue-sharing contracts improve supply chain efficiency relative to the wholesale price contract, the improvement is smaller than the theory predicts. We also find that although the buyback and revenue-sharing contracts are mathematically equivalent, they do not generally result in equivalent supply chain performance. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1953?maxtoshow=&hit [...] [article] Contracting in supply chains : a laboratory investigation [texte imprimé] / Elena Katok, Auteur ; Diana Yan Wu, Auteur . - pp. 1953-1968. Gestion Langues : Anglais (eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1953-1968 Mots-clés : Supply  chain  contracts  Experimental  economics Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The coordination of supply chains by means of contracting mechanisms has been extensively explored theoretically but not tested empirically. We investigate the performance of three commonly studied supply chain contracting mechanisms: the wholesale price contract, the buyback contract, and the revenue-sharing contract. The simplified setting we consider utilizes a two-echelon supply chain in which the retailer faces the newsvendor problem, the supplier has no capacity constraints, and delivery occurs instantaneously. We compare the three mechanisms in a laboratory setting using a novel design that fully controls for strategic interactions between the retailer and the supplier. Results indicate that although the buyback and revenue-sharing contracts improve supply chain efficiency relative to the wholesale price contract, the improvement is smaller than the theory predicts. We also find that although the buyback and revenue-sharing contracts are mathematically equivalent, they do not generally result in equivalent supply chain performance. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1953?maxtoshow=&hit [...]

The duration of patent examination at the European Patent Office / Dietmar Harhoff in Management science, Vol. 55 N° 12 (Décembre 2009) 

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1969-1984 Titre : The duration of patent examination at the European Patent Office Type de document : texte imprimé Auteurs : Dietmar Harhoff, Auteur ; Stefan Wagner, Auteur Article en page(s) : pp. 1969-1984 Note générale : Gestion Langues : Anglais (eng) Mots-clés : Patents  Patent  examination  Survival  analysis  Patent  citations  European  Patent  Office Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We analyze the duration and outcomes of patent examination at the European Patent Office utilizing an unusually rich data set covering a random sample of 215,265 applications filed between 1982 and 1998. In our empirical analysis, we distinguish between three groups of determinants: applicant characteristics, indicators of patent quality and value, and determinants that affect the complexity of the examination task. The results from an accelerated failure time model indicate that more controversial claims lead to slower grants but faster withdrawals, whereas well-documented applications are approved faster and withdrawn more slowly. We find strong evidence that applicants accelerate grant proceedings for their most valuable patents, but that they also prolong the battle for such patents if a withdrawal or refusal is imminent. This paper develops implications of these results for managerial decision making in research and development and innovation management. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1969?maxtoshow=&hit [...] [article] The duration of patent examination at the European Patent Office [texte imprimé] / Dietmar Harhoff, Auteur ; Stefan Wagner, Auteur . - pp. 1969-1984. Gestion Langues : Anglais (eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1969-1984 Mots-clés : Patents  Patent  examination  Survival  analysis  Patent  citations  European  Patent  Office Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We analyze the duration and outcomes of patent examination at the European Patent Office utilizing an unusually rich data set covering a random sample of 215,265 applications filed between 1982 and 1998. In our empirical analysis, we distinguish between three groups of determinants: applicant characteristics, indicators of patent quality and value, and determinants that affect the complexity of the examination task. The results from an accelerated failure time model indicate that more controversial claims lead to slower grants but faster withdrawals, whereas well-documented applications are approved faster and withdrawn more slowly. We find strong evidence that applicants accelerate grant proceedings for their most valuable patents, but that they also prolong the battle for such patents if a withdrawal or refusal is imminent. This paper develops implications of these results for managerial decision making in research and development and innovation management. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1969?maxtoshow=&hit [...]

Total-cost procurement auctions / Dimitris Kostamis in Management science, Vol. 55 N° 12 (Décembre 2009) 

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1985-1999 Titre : Total-cost procurement auctions : impact of suppliers'cost adjustments on auction format choice Type de document : texte imprimé Auteurs : Dimitris Kostamis, Auteur ; Damian R. Beil, Auteur ; Izak Duenyas, Auteur Article en page(s) : pp. 1985-1999 Note générale : Gestion Langues : Anglais (eng) Mots-clés : Procurement  auctions  Informed  buyer  Information  disclosure Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We consider sealed- and open-bid total-cost procurement auctions where two attributes are used for contract award decisions: price, which is bid by the supplier, and a fixed cost adjustment, which is included by the buyer to capture nonprice factors such as logistics costs. Suppliers know only their own true production cost and their own cost adjustment, and the buyer does not know the suppliers' true production costs but does know all suppliers' cost adjustments, which she herself sets in order to make an informed total-cost decision. The buyer, who seeks to minimize her total (price and cost adjustment) procurement cost, can choose to run a first-price sealed-bid auction, where suppliers' bids are affected by their beliefs about each other's total costs, or a descending open-bid auction, where only the actual realizations of suppliers' total costs drive the auction outcome. We characterize the buyer's choice between the two formats as a threshold decision over suppliers' cost adjustments and analyze the effect of supplier beliefs on her decision. We also study the impact of additional suppliers on the buyer's decision, the effect of correlation between suppliers' production costs and their cost adjustments, and additive as well as multiplicative total-cost functions. The results suggest that procurement managers can use their evaluations of suppliers' cost adjustments to make better auction format decisions. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1985?maxtoshow=&hit [...] [article] Total-cost procurement auctions : impact of suppliers'cost adjustments on auction format choice [texte imprimé] / Dimitris Kostamis, Auteur ; Damian R. Beil, Auteur ; Izak Duenyas, Auteur . - pp. 1985-1999. Gestion Langues : Anglais (eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 1985-1999 Mots-clés : Procurement  auctions  Informed  buyer  Information  disclosure Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We consider sealed- and open-bid total-cost procurement auctions where two attributes are used for contract award decisions: price, which is bid by the supplier, and a fixed cost adjustment, which is included by the buyer to capture nonprice factors such as logistics costs. Suppliers know only their own true production cost and their own cost adjustment, and the buyer does not know the suppliers' true production costs but does know all suppliers' cost adjustments, which she herself sets in order to make an informed total-cost decision. The buyer, who seeks to minimize her total (price and cost adjustment) procurement cost, can choose to run a first-price sealed-bid auction, where suppliers' bids are affected by their beliefs about each other's total costs, or a descending open-bid auction, where only the actual realizations of suppliers' total costs drive the auction outcome. We characterize the buyer's choice between the two formats as a threshold decision over suppliers' cost adjustments and analyze the effect of supplier beliefs on her decision. We also study the impact of additional suppliers on the buyer's decision, the effect of correlation between suppliers' production costs and their cost adjustments, and additive as well as multiplicative total-cost functions. The results suggest that procurement managers can use their evaluations of suppliers' cost adjustments to make better auction format decisions. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/1985?maxtoshow=&hit [...]

Efficient committed budget for implementing target audit probability for many inspectees / Andrew Yim in Management science, Vol. 55 N° 12 (Décembre 2009) 

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 2000-2018 Titre : Efficient committed budget for implementing target audit probability for many inspectees Type de document : texte imprimé Auteurs : Andrew Yim, Auteur Article en page(s) : pp. 2000-2018 Note générale : Gestion Langues : Anglais (eng) Mots-clés : Audit  sampling  plan  Audit  budget  Tax  audit  Tax  compliance  Tax  evasion  Inspection  game  Appropriation  and  rescission Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Strategic models of auditor-inspectee interaction have neglected implementation details in multiple-inspectee settings. With multiple inspectees, the target audit probability derived from the standard analysis can be implemented with sampling plans differing in the budgets committed to support them. Overly committed audit budgets tie up unneeded resources that could have been allocated for better uses. This paper studies the minimum committed budget required to implement a target audit probability when (i) the audit sample can be contingent on "red flags" due to signals of inspectees' private information (e.g., from self-reporting) and (ii) the number of inspectees is large. It proposes an audit rule called bounded simple random sampling (SRS), which is shown to require no more committed budget to support than two other rules naturally generalized from the one-to-one analysis. When the number of inspectees is large enough, bounded SRS is nearly as good as any efficient audit rule, which demands the lowest committed budget necessary to implement the target audit probability. The results offer insights on how audit sampling plans may be formulated to reduce inefficiency and what budget usage ratios should be expected accordingly. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/2000?maxtoshow=&hit [...] [article] Efficient committed budget for implementing target audit probability for many inspectees [texte imprimé] / Andrew Yim, Auteur . - pp. 2000-2018. Gestion Langues : Anglais (eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 2000-2018 Mots-clés : Audit  sampling  plan  Audit  budget  Tax  audit  Tax  compliance  Tax  evasion  Inspection  game  Appropriation  and  rescission Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Strategic models of auditor-inspectee interaction have neglected implementation details in multiple-inspectee settings. With multiple inspectees, the target audit probability derived from the standard analysis can be implemented with sampling plans differing in the budgets committed to support them. Overly committed audit budgets tie up unneeded resources that could have been allocated for better uses. This paper studies the minimum committed budget required to implement a target audit probability when (i) the audit sample can be contingent on "red flags" due to signals of inspectees' private information (e.g., from self-reporting) and (ii) the number of inspectees is large. It proposes an audit rule called bounded simple random sampling (SRS), which is shown to require no more committed budget to support than two other rules naturally generalized from the one-to-one analysis. When the number of inspectees is large enough, bounded SRS is nearly as good as any efficient audit rule, which demands the lowest committed budget necessary to implement the target audit probability. The results offer insights on how audit sampling plans may be formulated to reduce inefficiency and what budget usage ratios should be expected accordingly. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/2000?maxtoshow=&hit [...]

Conditional Monte Carlo estimation of quantile sensitives / Michael C. Fu in Management science, Vol. 55 N° 12 (Décembre 2009)

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 2019-2027 Titre : Conditional Monte Carlo estimation of quantile sensitives Type de document : texte imprimé Auteurs : Michael C. Fu, Auteur ; L. Jeff Hong, Auteur ; Jian-Qiang Hu, Auteur Article en page(s) : pp. 2019-2027 Note générale : Gestion Langues : Anglais (eng) Mots-clés : Quantiles  Value  at  risk  Credit  risk  Monte  Carlo  simulation  Gradient  estimation Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Estimating quantile sensitivites is important in many optimizations, from hedging in financial engineering to service-level constraints in inventory control to more general chance constraints in stochastic programming. Recently, Hong (Hong, L. J. 2009. Estimating Quantile sensitivities. Oper. Res. 57 118-130) derived a batched infinitesimal perturbation analysis estimator for quantile sensitivities, and Liu and Hong (Liu, G., L. J. Hong. 2009. Kernel estimation of quantile sensitivities. Naval Res. Logist. 56 511-525) derived a kernel estimator. Both of these estimators are consistent with convergence rates bounded by n-1/3 and n-2/5 , respectively. In this paper, we use conditional Monte Carlo to derive a consistent quantile sensitivity estimator that improves upon these convergence rates and requires no batching or binning. We illustrate the new estimator using a simple but realistic portfolio credit risk example, for which the previous work is inapplicable. DEWEY : 658 ISSN : 0025-1909 [article] Conditional Monte Carlo estimation of quantile sensitives [texte imprimé] / Michael C. Fu, Auteur ; L. Jeff Hong, Auteur ; Jian-Qiang Hu, Auteur . - pp. 2019-2027. Gestion Langues : Anglais (eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 2019-2027 Mots-clés : Quantiles  Value  at  risk  Credit  risk  Monte  Carlo  simulation  Gradient  estimation Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Estimating quantile sensitivites is important in many optimizations, from hedging in financial engineering to service-level constraints in inventory control to more general chance constraints in stochastic programming. Recently, Hong (Hong, L. J. 2009. Estimating Quantile sensitivities. Oper. Res. 57 118-130) derived a batched infinitesimal perturbation analysis estimator for quantile sensitivities, and Liu and Hong (Liu, G., L. J. Hong. 2009. Kernel estimation of quantile sensitivities. Naval Res. Logist. 56 511-525) derived a kernel estimator. Both of these estimators are consistent with convergence rates bounded by n-1/3 and n-2/5 , respectively. In this paper, we use conditional Monte Carlo to derive a consistent quantile sensitivity estimator that improves upon these convergence rates and requires no batching or binning. We illustrate the new estimator using a simple but realistic portfolio credit risk example, for which the previous work is inapplicable. DEWEY : 658 ISSN : 0025-1909

Competition under generalized attraction models / Awi Federgruen in Management science, Vol. 55 N° 12 (Décembre 2009) 

Public ISBD [article]  in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 2028-2043 Titre : Competition under generalized attraction models : applications to quality competition under yield uncertainty Type de document : texte imprimé Auteurs : Awi Federgruen, Auteur ; Nan Yang, Auteur Article en page(s) : pp. 2028-2043 Note générale : Gestion Langues : Anglais (eng) Mots-clés : Inventory  production  Uncertainty  Games-group  decisions  Stochastic  models Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We characterize the equilibrium behavior in a broad class of competition models in which the competing firms' market shares are given by an attraction model, and the aggregate sales in the industry depend on the aggregate attraction value according to a general function. Each firm's revenues and costs are proportional with its expected sales volume, with a cost rate that depends on the firm's chosen attraction value according to an arbitrary increasing function. Whereas most existing competition papers with attraction models can be viewed as special cases of this general model, we apply our general results to a new set of quality competition models. Here an industry has N suppliers of a given product, who compete for the business of one or more buyers. Each of the suppliers encounters an uncertain yield factor, with a given general yield distribution. The buyers face uncertain demands over the course of a given sales season. The suppliers compete by selecting key characteristics of their yield distributions, either their means, their standard deviations, or both. These choices have implications for their per-unit cost rates. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/2028?maxtoshow=&hit [...] [article] Competition under generalized attraction models : applications to quality competition under yield uncertainty [texte imprimé] / Awi Federgruen, Auteur ; Nan Yang, Auteur . - pp. 2028-2043. Gestion Langues : Anglais (eng) in Management science > Vol. 55 N° 12 (Décembre 2009) . - pp. 2028-2043 Mots-clés : Inventory  production  Uncertainty  Games-group  decisions  Stochastic  models Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We characterize the equilibrium behavior in a broad class of competition models in which the competing firms' market shares are given by an attraction model, and the aggregate sales in the industry depend on the aggregate attraction value according to a general function. Each firm's revenues and costs are proportional with its expected sales volume, with a cost rate that depends on the firm's chosen attraction value according to an arbitrary increasing function. Whereas most existing competition papers with attraction models can be viewed as special cases of this general model, we apply our general results to a new set of quality competition models. Here an industry has N suppliers of a given product, who compete for the business of one or more buyers. Each of the suppliers encounters an uncertain yield factor, with a given general yield distribution. The buyers face uncertain demands over the course of a given sales season. The suppliers compete by selecting key characteristics of their yield distributions, either their means, their standard deviations, or both. These choices have implications for their per-unit cost rates. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/55/12/2028?maxtoshow=&hit [...]

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