Dépouillements

Fighting city hall / Robert C. Seamans in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 461-475 Titre : Fighting city hall : Entry deterrence and technology upgrades in cable TV markets Type de document : texte imprimé Auteurs : Robert C. Seamans, Auteur Année de publication : 2012 Article en page(s) : pp. 461-475 Note générale : Management Langues : Anglais (eng) Mots-clés : Entry  Entry  deterrence  Technology  Public–private  interaction Résumé : This article investigates how private firms respond to potential entry from public firms. This paper uses a data set of over 3,000 U.S. cable TV systems to present evidence consistent with entry deterrence. Incumbent cable TV firms upgrade faster when located in markets with a potential municipal entrant. However, the same systems are then slower to offer new products enabled by the upgrade, suggesting upgrades in these markets occur for strategic reasons. Incumbent cable systems also upgrade faster in response to municipal entry threats than to private entry threats. Understanding how private firms respond to potential entry from public firms is especially important in light of recent U.S. government entry into several industries. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Fighting city hall : Entry deterrence and technology upgrades in cable TV markets [texte imprimé] / Robert C. Seamans, Auteur . - 2012 . - pp. 461-475. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 461-475 Mots-clés : Entry  Entry  deterrence  Technology  Public–private  interaction Résumé : This article investigates how private firms respond to potential entry from public firms. This paper uses a data set of over 3,000 U.S. cable TV systems to present evidence consistent with entry deterrence. Incumbent cable TV firms upgrade faster when located in markets with a potential municipal entrant. However, the same systems are then slower to offer new products enabled by the upgrade, suggesting upgrades in these markets occur for strategic reasons. Incumbent cable systems also upgrade faster in response to municipal entry threats than to private entry threats. Understanding how private firms respond to potential entry from public firms is especially important in light of recent U.S. government entry into several industries. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Constant proportion debt obligations / Michael B. Gordy in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 476-492 Titre : Constant proportion debt obligations : A postmortem analysis of rating models Type de document : texte imprimé Auteurs : Michael B. Gordy, Auteur ; Søren Willemann, Auteur Année de publication : 2012 Article en page(s) : pp. 476-492 Note générale : Management Langues : Anglais (eng) Mots-clés : Credit  risk  Securitization  Structured  credit  Rating  agencies  Stochastic  volatility Résumé : In its complexity and its vulnerability to market volatility, the constant proportion debt obligation (CPDO) might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a case study in model risk in the rating of complex structured products. We demonstrate that the models used by Standard and Poor's (S&P) and Moody's fail in-sample specification tests even during the precrisis period and in particular understate the kurtosis of spread changes. Because stochastic volatility is the most natural explanation for the excess kurtosis, we estimate an extended version of the S&P model with stochastic volatility and find that the volatility-of-volatility is large and significant. An implication is that agency model-implied probabilities of attaining high spread levels were biased downward, which in turn biased the rating upward. We conclude with larger lessons for the rating of complex products and for modeling credit risk in general. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Constant proportion debt obligations : A postmortem analysis of rating models [texte imprimé] / Michael B. Gordy, Auteur ; Søren Willemann, Auteur . - 2012 . - pp. 476-492. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 476-492 Mots-clés : Credit  risk  Securitization  Structured  credit  Rating  agencies  Stochastic  volatility Résumé : In its complexity and its vulnerability to market volatility, the constant proportion debt obligation (CPDO) might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a case study in model risk in the rating of complex structured products. We demonstrate that the models used by Standard and Poor's (S&P) and Moody's fail in-sample specification tests even during the precrisis period and in particular understate the kurtosis of spread changes. Because stochastic volatility is the most natural explanation for the excess kurtosis, we estimate an extended version of the S&P model with stochastic volatility and find that the volatility-of-volatility is large and significant. An implication is that agency model-implied probabilities of attaining high spread levels were biased downward, which in turn biased the rating upward. We conclude with larger lessons for the rating of complex products and for modeling credit risk in general. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Cutting in line / Gad Allon in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 493-506 Titre : Cutting in line : Social norms in queues Type de document : texte imprimé Auteurs : Gad Allon, Auteur ; Eran Hanany, Auteur Année de publication : 2012 Article en page(s) : pp. 493-506 Note générale : Management Langues : Anglais (eng) Mots-clés : Queues  Games  Group  decisions  Social  norms Résumé : Although the norm in many retail banks is to serve customers on a first-come, first-served basis, some customers try to cut the line, usually by providing an excuse for their urgency. In other queues, however, this behavior is considered unacceptable and is aggressively banned. In all of these cases, customer exhibit strategies that have not yet been explored in the operations literature: they choose whether or not to cut the line and must also decide whether to accept or reject such intrusions by others. This paper derives conditions for the emergence of such behavior in equilibrium among the customers themselves, i.e., when the queue manager is not involved in granting priorities and the customers have to use community enforcement to sustain such equilibria. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Cutting in line : Social norms in queues [texte imprimé] / Gad Allon, Auteur ; Eran Hanany, Auteur . - 2012 . - pp. 493-506. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 493-506 Mots-clés : Queues  Games  Group  decisions  Social  norms Résumé : Although the norm in many retail banks is to serve customers on a first-come, first-served basis, some customers try to cut the line, usually by providing an excuse for their urgency. In other queues, however, this behavior is considered unacceptable and is aggressively banned. In all of these cases, customer exhibit strategies that have not yet been explored in the operations literature: they choose whether or not to cut the line and must also decide whether to accept or reject such intrusions by others. This paper derives conditions for the emergence of such behavior in equilibrium among the customers themselves, i.e., when the queue manager is not involved in granting priorities and the customers have to use community enforcement to sustain such equilibria. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Calendar cycles, infrequent decisions, and the cross section of stock returns / Ravi Jagannathan in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 507-522 Titre : Calendar cycles, infrequent decisions, and the cross section of stock returns Type de document : texte imprimé Auteurs : Ravi Jagannathan, Auteur ; Srikant Marakani, Auteur ; Hitoshi Takehara, Auteur Année de publication : 2012 Article en page(s) : pp. 507-522 Note générale : Management Langues : Anglais (eng) Mots-clés : CCAPM  Japanese  stock  market  UK  stock  market  Cross  section  of  stock  returns  Infrequent  decisions  Deterministic  cycles  Calendar  cycles Résumé : We show that when investors review their consumption and investment plans infrequently at different points in time with interim information flows, the standard consumption-based capital asset pricing model (CCAPM) will continue to hold only at those points in time when all investors review their plans. Stylized facts suggest that the end of the tax year is a candidate for one such points in time. Therefore, we should expect more support for the CCAPM during the period surrounding the end of the tax year, i.e., the fourth and first quarters in Japan where the tax year ends in December, and the first and second quarters in the United Kingdom where the tax year ends in April. Our empirical findings are consistent with these expectations. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Calendar cycles, infrequent decisions, and the cross section of stock returns [texte imprimé] / Ravi Jagannathan, Auteur ; Srikant Marakani, Auteur ; Hitoshi Takehara, Auteur . - 2012 . - pp. 507-522. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 507-522 Mots-clés : CCAPM  Japanese  stock  market  UK  stock  market  Cross  section  of  stock  returns  Infrequent  decisions  Deterministic  cycles  Calendar  cycles Résumé : We show that when investors review their consumption and investment plans infrequently at different points in time with interim information flows, the standard consumption-based capital asset pricing model (CCAPM) will continue to hold only at those points in time when all investors review their plans. Stylized facts suggest that the end of the tax year is a candidate for one such points in time. Therefore, we should expect more support for the CCAPM during the period surrounding the end of the tax year, i.e., the fourth and first quarters in Japan where the tax year ends in December, and the first and second quarters in the United Kingdom where the tax year ends in April. Our empirical findings are consistent with these expectations. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Is leasing greener than selling? / Vishal V. Agrawal in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 523-533 Titre : Is leasing greener than selling? Type de document : texte imprimé Auteurs : Vishal V. Agrawal, Auteur ; Mark Ferguson, Auteur ; L. Beril Toktay, Auteur Année de publication : 2012 Article en page(s) : pp. 523-533 Note générale : Management Langues : Anglais (eng) Mots-clés : Durable  goods  Sustainable  operations  Green  marketing  Environment  Servicizing Résumé : Based on the proposition that leasing is environmentally superior to selling, some firms have adopted a leasing strategy and others promote their existing leasing programs as environmentally superior to “green” their image. The argument is that because a leasing firm retains ownership of the off-lease units, it has an incentive to remarket them or invest in designing a more durable product, resulting in a lower volume of new production and disposal. However, leasing might be environmentally inferior because of the direct control the firm has over the off-lease products, which may prompt the firm to remove them from the market to avoid cannibalizing the demand for new products. Motivated by these issues, we adopt a life-cycle environmental impact perspective and analytically investigate if leasing can be both more profitable and have a lower total environmental impact. We find that leasing can be environmentally worse despite remarketing all off-lease products and greener than selling despite the mid-life removal of off-lease products. Our analysis also provides insights for environmental groups and entities that use different approaches to improve the environmental performance of business practices. We show that imposing disposal fees or encouraging remanufacturing, under some conditions, can actually lead to higher environmental impact. We also identify when educating consumers to be more environmentally conscious can improve the relative environmental performance of leasing. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Is leasing greener than selling? [texte imprimé] / Vishal V. Agrawal, Auteur ; Mark Ferguson, Auteur ; L. Beril Toktay, Auteur . - 2012 . - pp. 523-533. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 523-533 Mots-clés : Durable  goods  Sustainable  operations  Green  marketing  Environment  Servicizing Résumé : Based on the proposition that leasing is environmentally superior to selling, some firms have adopted a leasing strategy and others promote their existing leasing programs as environmentally superior to “green” their image. The argument is that because a leasing firm retains ownership of the off-lease units, it has an incentive to remarket them or invest in designing a more durable product, resulting in a lower volume of new production and disposal. However, leasing might be environmentally inferior because of the direct control the firm has over the off-lease products, which may prompt the firm to remove them from the market to avoid cannibalizing the demand for new products. Motivated by these issues, we adopt a life-cycle environmental impact perspective and analytically investigate if leasing can be both more profitable and have a lower total environmental impact. We find that leasing can be environmentally worse despite remarketing all off-lease products and greener than selling despite the mid-life removal of off-lease products. Our analysis also provides insights for environmental groups and entities that use different approaches to improve the environmental performance of business practices. We show that imposing disposal fees or encouraging remanufacturing, under some conditions, can actually lead to higher environmental impact. We also identify when educating consumers to be more environmentally conscious can improve the relative environmental performance of leasing. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Density forecasting of intraday call center arrivals using models based on exponential smoothing / James W. Taylor in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 534-549 Titre : Density forecasting of intraday call center arrivals using models based on exponential smoothing Type de document : texte imprimé Auteurs : James W. Taylor, Auteur Année de publication : 2012 Article en page(s) : pp. 534-549 Note générale : Management Langues : Anglais (eng) Mots-clés : Call  centers  Arrival  rate  Density  forecasting  Exponential  smoothing  Seasonality Résumé : A key input to the call center staffing process is a forecast for the number of calls arriving. Density forecasts of arrival rates are needed for analytical call center models, which assume Poisson arrivals with a stochastic arrival rate. Density forecasts of call volumes can be used in simulation models and are also important for the analysis of outsourcing contracts. A forecasting method, which has previously shown strong potential, is Holt–Winters exponential smoothing adapted for modeling the intraday and intraweek cycles in intraday data. To enable density forecasting of the arrival volume and rate, we develop a Poisson count model, with gamma distributed arrival rate, which captures the essential features of this exponential smoothing method. The apparent stationary level in our data leads us to develop versions of the new model for series with stationary levels. We evaluate forecast accuracy up to two weeks ahead using data from three organizations. We find that the stationary level models improve prediction beyond approximately two days ahead, and that these models perform well in comparison with sophisticated benchmarks. This is confirmed by the results of a call center simulation model, which demonstrates the use of arrival rate density forecasting to support staffing decisions. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Density forecasting of intraday call center arrivals using models based on exponential smoothing [texte imprimé] / James W. Taylor, Auteur . - 2012 . - pp. 534-549. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 534-549 Mots-clés : Call  centers  Arrival  rate  Density  forecasting  Exponential  smoothing  Seasonality Résumé : A key input to the call center staffing process is a forecast for the number of calls arriving. Density forecasts of arrival rates are needed for analytical call center models, which assume Poisson arrivals with a stochastic arrival rate. Density forecasts of call volumes can be used in simulation models and are also important for the analysis of outsourcing contracts. A forecasting method, which has previously shown strong potential, is Holt–Winters exponential smoothing adapted for modeling the intraday and intraweek cycles in intraday data. To enable density forecasting of the arrival volume and rate, we develop a Poisson count model, with gamma distributed arrival rate, which captures the essential features of this exponential smoothing method. The apparent stationary level in our data leads us to develop versions of the new model for series with stationary levels. We evaluate forecast accuracy up to two weeks ahead using data from three organizations. We find that the stationary level models improve prediction beyond approximately two days ahead, and that these models perform well in comparison with sophisticated benchmarks. This is confirmed by the results of a call center simulation model, which demonstrates the use of arrival rate density forecasting to support staffing decisions. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Sequential sampling with economics of selection procedures / Stephen E. Chick in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 550-569 Titre : Sequential sampling with economics of selection procedures Type de document : texte imprimé Auteurs : Stephen E. Chick, Auteur ; Peter Frazier, Auteur Année de publication : 2012 Article en page(s) : pp. 550-569 Note générale : Management Langues : Anglais (eng) Mots-clés : Simulation  Statistical  analysis  Probability  Diffusion  Decision  analysis  Dynamic  programming  Bayesian Résumé : Sequential sampling problems arise in stochastic simulation and many other applications. Sampling is used to infer the unknown performance of several alternatives before one alternative is selected as best. This paper presents new economically motivated fully sequential sampling procedures to solve such problems, called economics of selection procedures. The optimal procedure is derived for comparing a known standard with one alternative whose unknown reward is inferred with sampling. That result motivates heuristics when multiple alternatives have unknown rewards. The resulting procedures are more effective in numerical experiments than any previously proposed procedure of which we are aware and are easily implemented. The key driver of the improvement is the use of dynamic programming to model sequential sampling as an option to learn before selecting an alternative. It accounts for the expected benefit of adaptive stopping policies for sampling, rather than of one-stage policies, as is common in the literature. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Sequential sampling with economics of selection procedures [texte imprimé] / Stephen E. Chick, Auteur ; Peter Frazier, Auteur . - 2012 . - pp. 550-569. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 550-569 Mots-clés : Simulation  Statistical  analysis  Probability  Diffusion  Decision  analysis  Dynamic  programming  Bayesian Résumé : Sequential sampling problems arise in stochastic simulation and many other applications. Sampling is used to infer the unknown performance of several alternatives before one alternative is selected as best. This paper presents new economically motivated fully sequential sampling procedures to solve such problems, called economics of selection procedures. The optimal procedure is derived for comparing a known standard with one alternative whose unknown reward is inferred with sampling. That result motivates heuristics when multiple alternatives have unknown rewards. The resulting procedures are more effective in numerical experiments than any previously proposed procedure of which we are aware and are easily implemented. The key driver of the improvement is the use of dynamic programming to model sequential sampling as an option to learn before selecting an alternative. It accounts for the expected benefit of adaptive stopping policies for sampling, rather than of one-stage policies, as is common in the literature. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Bayesian dynamic pricing policies / J. Michael Harrison in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 570-586 Titre : Bayesian dynamic pricing policies : Learning and earning under a binary prior distribution Type de document : texte imprimé Auteurs : J. Michael Harrison, Auteur ; N. Bora Keskin, Auteur ; Assaf Zeevi, Auteur Année de publication : 2012 Article en page(s) : pp. 570-586 Note générale : Management Langues : Anglais (eng) Mots-clés : Revenue  management  Pricing  Estimation  Bayesian  learning  Exploration–exploitation Résumé : Motivated by applications in financial services, we consider a seller who offers prices sequentially to a stream of potential customers, observing either success or failure in each sales attempt. The parameters of the underlying demand model are initially unknown, so each price decision involves a trade-off between learning and earning. Attention is restricted to the simplest kind of model uncertainty, where one of two demand models is known to apply, and we focus initially on performance of the myopic Bayesian policy (MBP), variants of which are commonly used in practice. Because learning is passive under the MBP (that is, learning only takes place as a by-product of actions that have a different purpose), it can lead to incomplete learning and poor profit performance. However, under one additional assumption, a constrained variant of the myopic policy is shown to have the following strong theoretical virtue: the expected performance gap relative to a clairvoyant who knows the underlying demand model is bounded by a constant as the number of sales attempts becomes large. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Bayesian dynamic pricing policies : Learning and earning under a binary prior distribution [texte imprimé] / J. Michael Harrison, Auteur ; N. Bora Keskin, Auteur ; Assaf Zeevi, Auteur . - 2012 . - pp. 570-586. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 570-586 Mots-clés : Revenue  management  Pricing  Estimation  Bayesian  learning  Exploration–exploitation Résumé : Motivated by applications in financial services, we consider a seller who offers prices sequentially to a stream of potential customers, observing either success or failure in each sales attempt. The parameters of the underlying demand model are initially unknown, so each price decision involves a trade-off between learning and earning. Attention is restricted to the simplest kind of model uncertainty, where one of two demand models is known to apply, and we focus initially on performance of the myopic Bayesian policy (MBP), variants of which are commonly used in practice. Because learning is passive under the MBP (that is, learning only takes place as a by-product of actions that have a different purpose), it can lead to incomplete learning and poor profit performance. However, under one additional assumption, a constrained variant of the myopic policy is shown to have the following strong theoretical virtue: the expected performance gap relative to a clairvoyant who knows the underlying demand model is bounded by a constant as the number of sales attempts becomes large. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Chasing a moving target / Hart E. Posen in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 587-601 Titre : Chasing a moving target : Exploitation and exploration in dynamic Type de document : texte imprimé Auteurs : Hart E. Posen, Auteur ; Daniel A. Levinthal, Auteur Année de publication : 2012 Article en page(s) : pp. 587-601 Note générale : Management Langues : Anglais (eng) Mots-clés : Adaptation  Learning  Exploration  Exploitation  Turbulence Résumé : A common justification for organizational change is that the circumstances in which the organization finds itself have changed, thereby eroding the value of utilizing existing knowledge. On the surface, the claim that organizations should adapt by generating new knowledge seems obvious and compelling. However, this standard wisdom overlooks the possibility that the reward to generating new knowledge may itself be eroded if change is an ongoing property of the environment. This observation in turn suggests that environmental change is not a self-evident call for strategies of greater exploration. Indeed, under some conditions the appropriate response to environmental change is a renewed focus on exploiting existing knowledge and opportunities. We develop a computational model based on the canonical multiarmed bandit formulation of exploration and exploitation. We endeavor to understand the mechanisms by which environmental change acts to make purposeful efforts at organizational adaptation less (or more) valuable. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Chasing a moving target : Exploitation and exploration in dynamic [texte imprimé] / Hart E. Posen, Auteur ; Daniel A. Levinthal, Auteur . - 2012 . - pp. 587-601. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 587-601 Mots-clés : Adaptation  Learning  Exploration  Exploitation  Turbulence Résumé : A common justification for organizational change is that the circumstances in which the organization finds itself have changed, thereby eroding the value of utilizing existing knowledge. On the surface, the claim that organizations should adapt by generating new knowledge seems obvious and compelling. However, this standard wisdom overlooks the possibility that the reward to generating new knowledge may itself be eroded if change is an ongoing property of the environment. This observation in turn suggests that environmental change is not a self-evident call for strategies of greater exploration. Indeed, under some conditions the appropriate response to environmental change is a renewed focus on exploiting existing knowledge and opportunities. We develop a computational model based on the canonical multiarmed bandit formulation of exploration and exploitation. We endeavor to understand the mechanisms by which environmental change acts to make purposeful efforts at organizational adaptation less (or more) valuable. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Multiattribute one-switch utility / Ilia Tsetlin in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 602-605 Titre : Multiattribute one-switch utility Type de document : texte imprimé Auteurs : Ilia Tsetlin, Auteur ; Robert L. Winkler, Auteur Année de publication : 2012 Article en page(s) : pp. 602-605 Note générale : Management Langues : Anglais (eng) Mots-clés : Decision  analysis  Multiattribute  utility  One-switch  property  Utility  assessment  Sumex  utility Résumé : The one-switch property states that the preference between any two lotteries switches at most once as wealth increases. Working within the expected utility framework, we extend the one-switch notion to the multiattribute case and identify the families of multiattribute utility functions that are one-switch. We then show that all multiattribute one-switch utility functions can be approximated by a sum of two multiattribute exponential utilities (sumex utility). Finally, we discuss how the one-switch property, when appropriate, can simplify the assessment of multiattribute utility. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Multiattribute one-switch utility [texte imprimé] / Ilia Tsetlin, Auteur ; Robert L. Winkler, Auteur . - 2012 . - pp. 602-605. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 602-605 Mots-clés : Decision  analysis  Multiattribute  utility  One-switch  property  Utility  assessment  Sumex  utility Résumé : The one-switch property states that the preference between any two lotteries switches at most once as wealth increases. Working within the expected utility framework, we extend the one-switch notion to the multiattribute case and identify the families of multiattribute utility functions that are one-switch. We then show that all multiattribute one-switch utility functions can be approximated by a sum of two multiattribute exponential utilities (sumex utility). Finally, we discuss how the one-switch property, when appropriate, can simplify the assessment of multiattribute utility. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Managing delegated search over design spaces / Sanjiv Erat in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 606-623 Titre : Managing delegated search over design spaces Type de document : texte imprimé Auteurs : Sanjiv Erat, Auteur ; Vish Krishnan, Auteur Année de publication : 2012 Article en page(s) : pp. 606-623 Note générale : Management Langues : Anglais (eng) Mots-clés : Research  and  development  Open  innovation  Product  design  Clustering  Search Résumé : Organizations increasingly seek solutions to their open-ended design problems by employing a contest approach in which search over a solution space is delegated to outside agents. We study this new class of problems, which are costly to specify, pose credibility issues for the focal firm, and require finely tuned awards for meeting the firm's needs. Through an analytical model, we examine the relationship between problem specification, award structure, and breadth of solution space searched by outside agents toward characterizing how a firm should effectively manage such open-ended design contests. Our results independently establish and offer a causal explanation for an interesting phenomenon observed in design contests—clustering of searchers in specific regions of the solution space. The analysis also yields a cautionary finding—although the breadth of search increases with number of searchers, the relationship is strongly sublinear (logarithmic). Finally, from the practical perspective of managing the delegated search process, our results offer rules of thumb on how many and what size awards should be offered, as well as the extent to which firms should undertake problem specification, contingent on the nature (open-endedness and uncertainty) of the design problem solution being delegated to outside agents. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Managing delegated search over design spaces [texte imprimé] / Sanjiv Erat, Auteur ; Vish Krishnan, Auteur . - 2012 . - pp. 606-623. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 606-623 Mots-clés : Research  and  development  Open  innovation  Product  design  Clustering  Search Résumé : Organizations increasingly seek solutions to their open-ended design problems by employing a contest approach in which search over a solution space is delegated to outside agents. We study this new class of problems, which are costly to specify, pose credibility issues for the focal firm, and require finely tuned awards for meeting the firm's needs. Through an analytical model, we examine the relationship between problem specification, award structure, and breadth of solution space searched by outside agents toward characterizing how a firm should effectively manage such open-ended design contests. Our results independently establish and offer a causal explanation for an interesting phenomenon observed in design contests—clustering of searchers in specific regions of the solution space. The analysis also yields a cautionary finding—although the breadth of search increases with number of searchers, the relationship is strongly sublinear (logarithmic). Finally, from the practical perspective of managing the delegated search process, our results offer rules of thumb on how many and what size awards should be offered, as well as the extent to which firms should undertake problem specification, contingent on the nature (open-endedness and uncertainty) of the design problem solution being delegated to outside agents. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Pricing kernels with stochastic skewness and volatility risk / Fousseni Chabi-Yo in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 624-640 Titre : Pricing kernels with stochastic skewness and volatility risk Type de document : texte imprimé Auteurs : Fousseni Chabi-Yo, Auteur Année de publication : 2012 Article en page(s) : pp. 624-640 Note générale : Management Langues : Anglais (eng) Mots-clés : Pricing  kernels  Risk  aversion  Skewness  preference  Volatility  risk Résumé : I derive pricing kernels in which the market volatility is endogenously determined. Using the Taylor expansion series of the representative investor's marginal utility, I show that the price of market volatility risk is restricted by the investor's risk aversion and skewness preference. The risk aversion is estimated to be between two and five and is significant. The price of the market volatility is negative. Consistent with economic theory, I find that the pricing kernel decreases in the market index return and increases in market volatility. The projection of the estimated pricing kernel onto a polynomial function of the market return produces puzzling behaviors, which can be observed in the pricing kernel and absolute risk aversion functions. The inclusion of additional terms in the Taylor expansion series of the investor's marginal utility produces a pricing kernel function of market stochastic volatility, stochastic skewness, and stochastic kurtosis. The prices of risk of these moments are restricted by the investor's risk aversion, skewness preference, and kurtosis preference. The prices of risk of these moments should not be confused with the price of risk of powers of the market return, such as coskewness and cokurtosis. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Pricing kernels with stochastic skewness and volatility risk [texte imprimé] / Fousseni Chabi-Yo, Auteur . - 2012 . - pp. 624-640. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 624-640 Mots-clés : Pricing  kernels  Risk  aversion  Skewness  preference  Volatility  risk Résumé : I derive pricing kernels in which the market volatility is endogenously determined. Using the Taylor expansion series of the representative investor's marginal utility, I show that the price of market volatility risk is restricted by the investor's risk aversion and skewness preference. The risk aversion is estimated to be between two and five and is significant. The price of the market volatility is negative. Consistent with economic theory, I find that the pricing kernel decreases in the market index return and increases in market volatility. The projection of the estimated pricing kernel onto a polynomial function of the market return produces puzzling behaviors, which can be observed in the pricing kernel and absolute risk aversion functions. The inclusion of additional terms in the Taylor expansion series of the investor's marginal utility produces a pricing kernel function of market stochastic volatility, stochastic skewness, and stochastic kurtosis. The prices of risk of these moments are restricted by the investor's risk aversion, skewness preference, and kurtosis preference. The prices of risk of these moments should not be confused with the price of risk of powers of the market return, such as coskewness and cokurtosis. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

Optimal compensation and pay-performance sensitivity in a continuous-time principal-agent model / Nengjiu Ju in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 641-657 Titre : Optimal compensation and pay-performance sensitivity in a continuous-time principal-agent model Type de document : texte imprimé Auteurs : Nengjiu Ju, Auteur ; Xuhu Wan, Auteur Année de publication : 2012 Article en page(s) : pp. 641-657 Note générale : Management Langues : Anglais (eng) Mots-clés : Continuous-time  principal-agent  models  Optimal  concave  contract  Stochastic  optimal  effort  Pay-performance  sensitivity Résumé : This paper studies the optimal contract between risk-neutral shareholders and a constant relative risk-aversion manager in a continuous-time model. Several interesting results are obtained. First, the optimal compensation is increasing but concave in output value if the manager is more risk averse than a log-utility manager. Second, when the manager has a log utility, a linear contract is optimal when there is no explicit lower bound on the compensation, and an option contract is optimal when there is an explicit lower bound. Third, optimal effort is stochastic (state dependent). Fourth, consistent with empirical findings and contrary to standard agency theory predictions, the relationship between pay-performance sensitivity and firm performance and that between pay-performance sensitivity and firm risk can be nonmonotonic. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Optimal compensation and pay-performance sensitivity in a continuous-time principal-agent model [texte imprimé] / Nengjiu Ju, Auteur ; Xuhu Wan, Auteur . - 2012 . - pp. 641-657. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 641-657 Mots-clés : Continuous-time  principal-agent  models  Optimal  concave  contract  Stochastic  optimal  effort  Pay-performance  sensitivity Résumé : This paper studies the optimal contract between risk-neutral shareholders and a constant relative risk-aversion manager in a continuous-time model. Several interesting results are obtained. First, the optimal compensation is increasing but concave in output value if the manager is more risk averse than a log-utility manager. Second, when the manager has a log utility, a linear contract is optimal when there is no explicit lower bound on the compensation, and an option contract is optimal when there is an explicit lower bound. Third, optimal effort is stochastic (state dependent). Fourth, consistent with empirical findings and contrary to standard agency theory predictions, the relationship between pay-performance sensitivity and firm performance and that between pay-performance sensitivity and firm risk can be nonmonotonic. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc

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