Dépouillements

How near - miss events amplify or attenuate risky decision making / Catherine H. Tinsley in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1596-1613 Titre : How near - miss events amplify or attenuate risky decision making Type de document : texte imprimé Auteurs : Catherine H. Tinsley, Auteur ; Robin L. Dillon, Auteur ; Matthew A. Cronin, Auteur Année de publication : 2012 Article en page(s) : pp.1596-1613 Note générale : Management Langues : Anglais (eng) Mots-clés : Near  miss  Risk  Decision  making  Natural  disasters  Organizational  hazards  Hurricanes  Oil  spills Résumé : In the aftermath of many natural and man-made disasters, people often wonder why those affected were underprepared, especially when the disaster was the result of known or regularly occurring hazards (e.g., hurricanes). We study one contributing factor: prior near-miss experiences. Near misses are events that have some nontrivial expectation of ending in disaster but, by chance, do not. We demonstrate that when near misses are interpreted as disasters that did not occur, people illegitimately underestimate the danger of subsequent hazardous situations and make riskier decisions (e.g., choosing not to engage in mitigation activities for the potential hazard). On the other hand, if near misses can be recognized and interpreted as disasters that almost happened, this will counter the basic “near-miss” effect and encourage more mitigation. We illustrate the robustness of this pattern across populations with varying levels of real expertise with hazards and different hazard contexts (household evacuation for a hurricane, Caribbean cruises during hurricane season, and deep-water oil drilling). We conclude with ideas to help people manage and communicate about risk. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/04/13/mnsc.1120.1517.abstra [...] [article] How near - miss events amplify or attenuate risky decision making [texte imprimé] / Catherine H. Tinsley, Auteur ; Robin L. Dillon, Auteur ; Matthew A. Cronin, Auteur . - 2012 . - pp.1596-1613. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1596-1613 Mots-clés : Near  miss  Risk  Decision  making  Natural  disasters  Organizational  hazards  Hurricanes  Oil  spills Résumé : In the aftermath of many natural and man-made disasters, people often wonder why those affected were underprepared, especially when the disaster was the result of known or regularly occurring hazards (e.g., hurricanes). We study one contributing factor: prior near-miss experiences. Near misses are events that have some nontrivial expectation of ending in disaster but, by chance, do not. We demonstrate that when near misses are interpreted as disasters that did not occur, people illegitimately underestimate the danger of subsequent hazardous situations and make riskier decisions (e.g., choosing not to engage in mitigation activities for the potential hazard). On the other hand, if near misses can be recognized and interpreted as disasters that almost happened, this will counter the basic “near-miss” effect and encourage more mitigation. We illustrate the robustness of this pattern across populations with varying levels of real expertise with hazards and different hazard contexts (household evacuation for a hurricane, Caribbean cruises during hurricane season, and deep-water oil drilling). We conclude with ideas to help people manage and communicate about risk. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/04/13/mnsc.1120.1517.abstra [...]

The Relational advantages of intermediation / Elena Belavina in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1614-1631 Titre : The Relational advantages of intermediation Type de document : texte imprimé Auteurs : Elena Belavina, Auteur ; Karan Girotra, Auteur Année de publication : 2012 Article en page(s) : pp.1614-1631 Note générale : Management Langues : Anglais (eng) Mots-clés : Global  sourcing  Intermediaries  Supply  chain  relationships  Relational  contracts  Flexibility  Li  &  Fung  Repeated  games Résumé : This paper provides a novel explanation for the use of supply chain intermediaries. We find that even in the absence of the well-known transactional and informational advantages of mediation, intermediaries improve supply chain performance. In particular, intermediaries facilitate responsive adaptation of the buyers' supplier base to their changing needs while simultaneously ensuring that suppliers behave as if they had long-term sourcing commitments from buying firms. In the face of changing buyer needs, an intermediary that sources on behalf of multiple buyers can responsively change the composition of future business committed to a supplier such that a sufficient level of business comes from the buyer(s) that most prefer this supplier. On the other hand, direct buyers that source only for themselves must provide all their committed business to a supplier from their own sourcing needs, even if they no longer prefer this supplier. Unlike existing theories of intermediation, our theory better explains the observed phenomenon that although transactional barriers and information asymmetries have steadily decreased, the use of intermediaries has soared, even among large companies such as Walmart. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1614.abstract [article] The Relational advantages of intermediation [texte imprimé] / Elena Belavina, Auteur ; Karan Girotra, Auteur . - 2012 . - pp.1614-1631. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1614-1631 Mots-clés : Global  sourcing  Intermediaries  Supply  chain  relationships  Relational  contracts  Flexibility  Li  &  Fung  Repeated  games Résumé : This paper provides a novel explanation for the use of supply chain intermediaries. We find that even in the absence of the well-known transactional and informational advantages of mediation, intermediaries improve supply chain performance. In particular, intermediaries facilitate responsive adaptation of the buyers' supplier base to their changing needs while simultaneously ensuring that suppliers behave as if they had long-term sourcing commitments from buying firms. In the face of changing buyer needs, an intermediary that sources on behalf of multiple buyers can responsively change the composition of future business committed to a supplier such that a sufficient level of business comes from the buyer(s) that most prefer this supplier. On the other hand, direct buyers that source only for themselves must provide all their committed business to a supplier from their own sourcing needs, even if they no longer prefer this supplier. Unlike existing theories of intermediation, our theory better explains the observed phenomenon that although transactional barriers and information asymmetries have steadily decreased, the use of intermediaries has soared, even among large companies such as Walmart. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1614.abstract

Firm survival and industry evolution in vertically related populations / John M. Figueiredo in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1632-1650 Titre : Firm survival and industry evolution in vertically related populations Type de document : texte imprimé Auteurs : John M. Figueiredo, Auteur ; Brian S. Silverman, Auteur Année de publication : 2012 Article en page(s) : pp.1632-1650 Note générale : Management Langues : Anglais (eng) Mots-clés : Organizational  ecology  Strategy  Vertical  integration  Computer-electronic  industries Résumé : This paper examines how the density and governance of vertically related populations affect the life chances of organizations. We integrate the literatures on organizational ecology and vertical integration to develop a theory of how (1) specialized upstream industries affect downstream survival rates, (2) the prevalence of different governance forms among upstream and downstream organizations moderates this relationship, and (3) different forms of governance exert differential competitive pressures on focal organizations. We find evidence supporting our hypotheses in an empirical examination of the downstream laser printer industry and upstream laser engine industry. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1632.short [article] Firm survival and industry evolution in vertically related populations [texte imprimé] / John M. Figueiredo, Auteur ; Brian S. Silverman, Auteur . - 2012 . - pp.1632-1650. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1632-1650 Mots-clés : Organizational  ecology  Strategy  Vertical  integration  Computer-electronic  industries Résumé : This paper examines how the density and governance of vertically related populations affect the life chances of organizations. We integrate the literatures on organizational ecology and vertical integration to develop a theory of how (1) specialized upstream industries affect downstream survival rates, (2) the prevalence of different governance forms among upstream and downstream organizations moderates this relationship, and (3) different forms of governance exert differential competitive pressures on focal organizations. We find evidence supporting our hypotheses in an empirical examination of the downstream laser printer industry and upstream laser engine industry. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1632.short

Link to success / Dina Mayzlin in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1651-1668 Titre : Link to success : How blogs build an audience by promoting rivals Type de document : texte imprimé Auteurs : Dina Mayzlin, Auteur ; Hema Yoganarasimhan, Auteur Année de publication : 2012 Article en page(s) : pp.1651-1668 Note générale : Management Langues : Anglais (eng) Mots-clés : Game  theory  Social  media  Linking  Signaling  Blogs Résumé : Empirically, we find that Web logs (or “blogs”) often link to other blogs in the same category. We present an analytical model that explains why a rational blogger may choose to link to another blog. We allow bloggers to differ along two dimensions: (1) the ability to post news-breaking content, and (2) the ability to find news in other blogs. By linking, a blog signals to the reader that it will be able to direct her to news in other blogs in the future. The downside of a link is that it is a positive signal on the rival's news-breaking ability. We show that linking will be in equilibrium when the heterogeneity on the ability to break news is low relative to the heterogeneity on the ability to find news in other blogs. One implication of the linking mechanism is that blogs that are high on the news-breaking ability are more likely to gain readers. Hence, despite the fact that bloggers link for purely selfish reasons, the macro effects of this activity is that readers' learning is enhanced. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1651.short [article] Link to success : How blogs build an audience by promoting rivals [texte imprimé] / Dina Mayzlin, Auteur ; Hema Yoganarasimhan, Auteur . - 2012 . - pp.1651-1668. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1651-1668 Mots-clés : Game  theory  Social  media  Linking  Signaling  Blogs Résumé : Empirically, we find that Web logs (or “blogs”) often link to other blogs in the same category. We present an analytical model that explains why a rational blogger may choose to link to another blog. We allow bloggers to differ along two dimensions: (1) the ability to post news-breaking content, and (2) the ability to find news in other blogs. By linking, a blog signals to the reader that it will be able to direct her to news in other blogs in the future. The downside of a link is that it is a positive signal on the rival's news-breaking ability. We show that linking will be in equilibrium when the heterogeneity on the ability to break news is low relative to the heterogeneity on the ability to find news in other blogs. One implication of the linking mechanism is that blogs that are high on the news-breaking ability are more likely to gain readers. Hence, despite the fact that bloggers link for purely selfish reasons, the macro effects of this activity is that readers' learning is enhanced. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1651.short

Comparing business and household sector innovation in consumer products / Eric Von Hippel in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1669-1681 Titre : Comparing business and household sector innovation in consumer products : Findings from a representative study in the united kingdom Type de document : texte imprimé Auteurs : Eric Von Hippel, Auteur ; Jeroen P. J. Jong, Auteur ; Stephen Flowers, Auteur Année de publication : 2012 Article en page(s) : pp.1669-1681 Note générale : Management Langues : Anglais (eng) Mots-clés : User  innovation  Consumer  innovation  Measurement  Research  and  development Résumé : In a first survey of its type, we measure development and modification of consumer products by product users in a representative sample of 1,173 UK consumers age 18 and older. We estimate this previously unmeasured type of household sector innovation to be quite large: 6.1% of UK consumers—nearly 2.9 million individuals—have engaged in consumer product innovation during the prior three years. In aggregate, consumers' annual product development expenditures are more than 1.4 times larger than the annual consumer product R&D expenditures of all firms in the United Kingdom combined. Consumers engage in many small projects that seem complementary to the innovation efforts of incumbent producers. Consumer innovators very seldom protect their innovations via intellectual property, and 17% diffuse to others. These results imply that, at the country level, productivity studies yield inflated effect sizes for producer innovation in consumer goods. They also imply that existing companies should reconfigure their product development systems to find and build on prototypes developed by consumers. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1669.short [article] Comparing business and household sector innovation in consumer products : Findings from a representative study in the united kingdom [texte imprimé] / Eric Von Hippel, Auteur ; Jeroen P. J. Jong, Auteur ; Stephen Flowers, Auteur . - 2012 . - pp.1669-1681. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1669-1681 Mots-clés : User  innovation  Consumer  innovation  Measurement  Research  and  development Résumé : In a first survey of its type, we measure development and modification of consumer products by product users in a representative sample of 1,173 UK consumers age 18 and older. We estimate this previously unmeasured type of household sector innovation to be quite large: 6.1% of UK consumers—nearly 2.9 million individuals—have engaged in consumer product innovation during the prior three years. In aggregate, consumers' annual product development expenditures are more than 1.4 times larger than the annual consumer product R&D expenditures of all firms in the United Kingdom combined. Consumers engage in many small projects that seem complementary to the innovation efforts of incumbent producers. Consumer innovators very seldom protect their innovations via intellectual property, and 17% diffuse to others. These results imply that, at the country level, productivity studies yield inflated effect sizes for producer innovation in consumer goods. They also imply that existing companies should reconfigure their product development systems to find and build on prototypes developed by consumers. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1669.short

Combining equity and utilitarianism in a mathematical programming model / J. N. Hooker in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1682-1693 Titre : Combining equity and utilitarianism in a mathematical programming model Type de document : texte imprimé Auteurs : J. N. Hooker, Auteur ; H. P. Williams, Auteur Année de publication : 2012 Article en page(s) : pp.1682-1693 Note générale : Management Langues : Anglais (eng) Résumé : We discuss the problem of combining the conflicting objectives of equity and utilitarianism, for social policy making, in a single mathematical programming model. The definition of equity we use is the Rawlsian one of maximizing the minimum utility over individuals or classes of individuals. However, when the disparity of utility becomes too great, the objective becomes progressively utilitarian. Such a model is particularly applicable not only to health provision but to other areas as well. Building a mixed-integer/linear programming (MILP) formulation of the problem raises technical issues, because the objective function is nonconvex and the hypograph is not MILP representable in its initial form. We present a succinct formulation and show that it is “sharp” in the sense that its linear programming relaxation describes the convex hull of the feasible set (before extra resource allocation or policy constraints are added). We apply the formulation to a healthcare planning problem and show that instances of realistic size are easily solved by standard MILP software. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1682.short [article] Combining equity and utilitarianism in a mathematical programming model [texte imprimé] / J. N. Hooker, Auteur ; H. P. Williams, Auteur . - 2012 . - pp.1682-1693. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1682-1693 Résumé : We discuss the problem of combining the conflicting objectives of equity and utilitarianism, for social policy making, in a single mathematical programming model. The definition of equity we use is the Rawlsian one of maximizing the minimum utility over individuals or classes of individuals. However, when the disparity of utility becomes too great, the objective becomes progressively utilitarian. Such a model is particularly applicable not only to health provision but to other areas as well. Building a mixed-integer/linear programming (MILP) formulation of the problem raises technical issues, because the objective function is nonconvex and the hypograph is not MILP representable in its initial form. We present a succinct formulation and show that it is “sharp” in the sense that its linear programming relaxation describes the convex hull of the feasible set (before extra resource allocation or policy constraints are added). We apply the formulation to a healthcare planning problem and show that instances of realistic size are easily solved by standard MILP software. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1682.short

Supply - side story / Mehmet Gumus in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1694-1714 Titre : Supply - side story : Risks, guarantees, competition, and information asymmetry Type de document : texte imprimé Auteurs : Mehmet Gumus, Auteur ; Saibal Ray, Auteur ; Haresh Gurnani, Auteur Année de publication : 2012 Article en page(s) : pp.1694-1714 Note générale : Management Langues : Anglais (eng) Mots-clés : Supply-risk  management  Asymmetric  information  Signaling  Guarantees  Stochastic  spot  market Résumé : The risk of supply disruption increases as firms seek to procure from cheaper, but unproven, suppliers. We model a supply chain consisting of a single buyer and two suppliers, both of which compete for the buyer's order and face risk of supply disruption. One supplier is comparatively more reliable but also more expensive, whereas the other one is less reliable but cheaper and faces higher risk of disruption. Moreover, the risk level of the unreliable supplier may be private information, and this lack of visibility increases the buyer's purchasing risk. In such settings, the unreliable supplier often provides a price and quantity (P&Q) guarantee to the buyer. Our objective is to study the underlying motivation for the guarantee offer and its effects on the competitive intensity and the performance of the chain partners. Our model also includes a spot market that can be utilized by any party to buy or to sell. The spot market price is random, partially depends on the available capacity of the two suppliers, and has a positive spread between buying and selling prices. We analytically characterize the equilibrium contracts for the two suppliers and the buyer's optimal procurement strategy. First, our analysis shows that P&Q guarantee allows the unreliable supplier to better compete against the more reliable one by providing supply assurance to the buyer. More importantly, when information asymmetry risk is high, use of a guarantee may enable the unreliable supplier to credibly signal her true risk, thereby improving visibility into the chain. This signal can also be used by the buyer to infer the expected spot market price. In spite of these benefits, a guarantee offer in an asymmetric setting may not always be desirable for the buyer. Rather, it can reduce competition between the suppliers, resulting in higher costs for the buyer. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1694.short [article] Supply - side story : Risks, guarantees, competition, and information asymmetry [texte imprimé] / Mehmet Gumus, Auteur ; Saibal Ray, Auteur ; Haresh Gurnani, Auteur . - 2012 . - pp.1694-1714. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1694-1714 Mots-clés : Supply-risk  management  Asymmetric  information  Signaling  Guarantees  Stochastic  spot  market Résumé : The risk of supply disruption increases as firms seek to procure from cheaper, but unproven, suppliers. We model a supply chain consisting of a single buyer and two suppliers, both of which compete for the buyer's order and face risk of supply disruption. One supplier is comparatively more reliable but also more expensive, whereas the other one is less reliable but cheaper and faces higher risk of disruption. Moreover, the risk level of the unreliable supplier may be private information, and this lack of visibility increases the buyer's purchasing risk. In such settings, the unreliable supplier often provides a price and quantity (P&Q) guarantee to the buyer. Our objective is to study the underlying motivation for the guarantee offer and its effects on the competitive intensity and the performance of the chain partners. Our model also includes a spot market that can be utilized by any party to buy or to sell. The spot market price is random, partially depends on the available capacity of the two suppliers, and has a positive spread between buying and selling prices. We analytically characterize the equilibrium contracts for the two suppliers and the buyer's optimal procurement strategy. First, our analysis shows that P&Q guarantee allows the unreliable supplier to better compete against the more reliable one by providing supply assurance to the buyer. More importantly, when information asymmetry risk is high, use of a guarantee may enable the unreliable supplier to credibly signal her true risk, thereby improving visibility into the chain. This signal can also be used by the buyer to infer the expected spot market price. In spite of these benefits, a guarantee offer in an asymmetric setting may not always be desirable for the buyer. Rather, it can reduce competition between the suppliers, resulting in higher costs for the buyer. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1694.short

Dynamic Pricing with Financial Milestones / Omar Besbes in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1715-1731 Titre : Dynamic Pricing with Financial Milestones : Feedback-Form Policies Type de document : texte imprimé Auteurs : Omar Besbes, Auteur ; Costis Maglaras, Auteur Année de publication : 2012 Article en page(s) : pp.1715-1731 Note générale : Management Langues : Anglais (eng) Mots-clés : Revenue  management  Dynamic  pricing  Market  uncertainty  Estimation  Feedback  Real  estate  Asymptotic  analysis Résumé : We study a seller that starts with an initial inventory of goods, has a target horizon over which to sell the goods, and is subject to a set of financial milestone constraints on the revenues and sales that need to be achieved at different time points along the sales horizon. We characterize the revenue maximizing dynamic pricing policy for the seller and highlight the effect of revenue and sales milestones on its structure. The optimal policy can be written in feedback form, where the price at each point in time is selected so as to track the most stringent among all future milestones. Building on that observation, we propose a discrete-review policy that aims to dynamically track the appropriate milestone constraint and show that this simple and practical policy is near optimal in settings with large initial capacity and long sales horizons even in settings with no advance demand model information. One motivating application comes from the sales of new multiunit, residential real estate developments, where intermediate milestone constraints play an important role in their financing and construction. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1715.short [article] Dynamic Pricing with Financial Milestones : Feedback-Form Policies [texte imprimé] / Omar Besbes, Auteur ; Costis Maglaras, Auteur . - 2012 . - pp.1715-1731. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1715-1731 Mots-clés : Revenue  management  Dynamic  pricing  Market  uncertainty  Estimation  Feedback  Real  estate  Asymptotic  analysis Résumé : We study a seller that starts with an initial inventory of goods, has a target horizon over which to sell the goods, and is subject to a set of financial milestone constraints on the revenues and sales that need to be achieved at different time points along the sales horizon. We characterize the revenue maximizing dynamic pricing policy for the seller and highlight the effect of revenue and sales milestones on its structure. The optimal policy can be written in feedback form, where the price at each point in time is selected so as to track the most stringent among all future milestones. Building on that observation, we propose a discrete-review policy that aims to dynamically track the appropriate milestone constraint and show that this simple and practical policy is near optimal in settings with large initial capacity and long sales horizons even in settings with no advance demand model information. One motivating application comes from the sales of new multiunit, residential real estate developments, where intermediate milestone constraints play an important role in their financing and construction. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/9/1715.short

Robust portfolio choice with learning in the framework of regret / Andrew E. B. Lim in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1732-1746 Titre : Robust portfolio choice with learning in the framework of regret : Single - period case Type de document : texte imprimé Auteurs : Andrew E. B. Lim, Auteur ; J. George Shanthikumar, Auteur ; Gah-Yi Vahn, Auteur Année de publication : 2012 Article en page(s) : pp.1732-1746 Note générale : Management Langues : Anglais (eng) Mots-clés : Parameter  uncertainty  Ambiguity  Model  uncertainty  Learning  Regret  Relative  regret  Competitive  analysis  Portfolio  selection  Bayesian  methods  Objective-based  loss  functions  Convex  duality Résumé : In this paper, we formulate a single-period portfolio choice problem with parameter uncertainty in the framework of relative regret. Relative regret evaluates a portfolio by comparing its return to a family of benchmarks, where the benchmarks are the wealths of fictitious investors who invest optimally given knowledge of the model parameters, and is a natural objective when there is concern about parameter uncertainty or model ambiguity. The optimal relative regret portfolio is the one that performs well in relation to all the benchmarks over the family of possible parameter values. We analyze this problem using convex duality and show that it is equivalent to a Bayesian problem, where the Lagrange multipliers play the role of the prior distribution, and the learning model involves Bayesian updating of these Lagrange multipliers/prior. This Bayesian problem is unusual in that the prior distribution is endogenously chosen by solving the dual optimization problem for the Lagrange multipliers, and the objective function involves the family of benchmarks from the relative regret problem. These results show that regret is a natural means by which robust decision making and learning can be combined. ISSN : 0025-1909 En ligne : http://mansci.highwire.org/content/early/2012/07/18/mnsc.1120.1518.short?rss=1&s [...] [article] Robust portfolio choice with learning in the framework of regret : Single - period case [texte imprimé] / Andrew E. B. Lim, Auteur ; J. George Shanthikumar, Auteur ; Gah-Yi Vahn, Auteur . - 2012 . - pp.1732-1746. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1732-1746 Mots-clés : Parameter  uncertainty  Ambiguity  Model  uncertainty  Learning  Regret  Relative  regret  Competitive  analysis  Portfolio  selection  Bayesian  methods  Objective-based  loss  functions  Convex  duality Résumé : In this paper, we formulate a single-period portfolio choice problem with parameter uncertainty in the framework of relative regret. Relative regret evaluates a portfolio by comparing its return to a family of benchmarks, where the benchmarks are the wealths of fictitious investors who invest optimally given knowledge of the model parameters, and is a natural objective when there is concern about parameter uncertainty or model ambiguity. The optimal relative regret portfolio is the one that performs well in relation to all the benchmarks over the family of possible parameter values. We analyze this problem using convex duality and show that it is equivalent to a Bayesian problem, where the Lagrange multipliers play the role of the prior distribution, and the learning model involves Bayesian updating of these Lagrange multipliers/prior. This Bayesian problem is unusual in that the prior distribution is endogenously chosen by solving the dual optimization problem for the Lagrange multipliers, and the objective function involves the family of benchmarks from the relative regret problem. These results show that regret is a natural means by which robust decision making and learning can be combined. ISSN : 0025-1909 En ligne : http://mansci.highwire.org/content/early/2012/07/18/mnsc.1120.1518.short?rss=1&s [...]

Intermediated blind portfolio auctions / Michael Padilla in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1747-1760 Titre : Intermediated blind portfolio auctions Type de document : texte imprimé Auteurs : Michael Padilla, Auteur ; Benjamin Van Roy, Auteur Année de publication : 2012 Article en page(s) : pp.1747-1760 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance  Games–group  decisions  Bidding–auctions  Information  systems  IT  policy  and  management  Electronic  commerce Résumé : As much as 12% of the daily volume on the New York Stock Exchange, and similar volumes on other major world exchanges, involves sales by institutional investors to brokers through blind portfolio auctions. Such transactions typically take the form of a first-price sealed-bid auction in which the seller engages a few potential brokers and provides limited information about the portfolio being sold. Uncertainty about the portfolio contents reduces bids, effectively increasing the transaction cost paid by the seller. We consider the use of a trusted intermediary or equivalent cryptographic protocol to reduce transaction costs. In particular, we propose a mechanism through which each party provides relevant private information to an intermediary who ultimately reveals only the portfolio contents and price paid, and only to the seller and winning broker. Through analysis of a game-theoretic model, we demonstrate substantial potential benefits to sellers. For example, under reasonable assumptions a seller can reduce expected transaction costs by more than 10%. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/06/15/mnsc.1120.1521.abstra [...] [article] Intermediated blind portfolio auctions [texte imprimé] / Michael Padilla, Auteur ; Benjamin Van Roy, Auteur . - 2012 . - pp.1747-1760. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1747-1760 Mots-clés : Finance  Games–group  decisions  Bidding–auctions  Information  systems  IT  policy  and  management  Electronic  commerce Résumé : As much as 12% of the daily volume on the New York Stock Exchange, and similar volumes on other major world exchanges, involves sales by institutional investors to brokers through blind portfolio auctions. Such transactions typically take the form of a first-price sealed-bid auction in which the seller engages a few potential brokers and provides limited information about the portfolio being sold. Uncertainty about the portfolio contents reduces bids, effectively increasing the transaction cost paid by the seller. We consider the use of a trusted intermediary or equivalent cryptographic protocol to reduce transaction costs. In particular, we propose a mechanism through which each party provides relevant private information to an intermediary who ultimately reveals only the portfolio contents and price paid, and only to the seller and winning broker. Through analysis of a game-theoretic model, we demonstrate substantial potential benefits to sellers. For example, under reasonable assumptions a seller can reduce expected transaction costs by more than 10%. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/06/15/mnsc.1120.1521.abstra [...]

Consumer valuation of modularly upgradeable products / Sezer Ulku in Management science, Vol 58 N°9 (Septembre 2012) 

Public ISBD [article]  in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1761-1776 Titre : Consumer valuation of modularly upgradeable products Type de document : texte imprimé Auteurs : Sezer Ulku, Auteur ; Claudiu V. Dimofte, Auteur ; Glen M. Schmidt, Auteur Année de publication : 2012 Article en page(s) : pp.1761-1776 Note générale : Management Langues : Anglais (eng) Mots-clés : Product  architecture  Modularity  Product  upgrades  Product  replacement  Pricing  Temporal  construal  Hyperbolic  discounting  Resource  slack Résumé : Although product modularity is often advocated as a design strategy in the operations management literature, little is known about how consumers respond to modular products. In this research we undertake several experiments to explore consumer response to modularly upgradeable products in settings featuring technological change. We consider both the initial product choice (between a modularly upgradeable product and an integral one) and the subsequent upgrade decision (replacement of a module versus full product replacement). First, we show that consumers tend to discount the cost savings associated with modular upgrades excessively (insufficiently) when the time between the initial purchase and the upgrade is short (long). This suggests that modular upgradability as a product feature has higher profit potential for slowly rather than rapidly improving products. Second, we observe a preference reversal between the initial purchase and the point of upgrade: At the point of initial purchase, people foresee making a full product replacement in the future, yet, when faced with the actual upgrade decision, they are more likely to revert to modular upgrades. Finally, we discuss and test several pricing and product design strategies that the firm can use to respond to these cognitive biases. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/04/27/mnsc.1120.1519.abstra [...] [article] Consumer valuation of modularly upgradeable products [texte imprimé] / Sezer Ulku, Auteur ; Claudiu V. Dimofte, Auteur ; Glen M. Schmidt, Auteur . - 2012 . - pp.1761-1776. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1761-1776 Mots-clés : Product  architecture  Modularity  Product  upgrades  Product  replacement  Pricing  Temporal  construal  Hyperbolic  discounting  Resource  slack Résumé : Although product modularity is often advocated as a design strategy in the operations management literature, little is known about how consumers respond to modular products. In this research we undertake several experiments to explore consumer response to modularly upgradeable products in settings featuring technological change. We consider both the initial product choice (between a modularly upgradeable product and an integral one) and the subsequent upgrade decision (replacement of a module versus full product replacement). First, we show that consumers tend to discount the cost savings associated with modular upgrades excessively (insufficiently) when the time between the initial purchase and the upgrade is short (long). This suggests that modular upgradability as a product feature has higher profit potential for slowly rather than rapidly improving products. Second, we observe a preference reversal between the initial purchase and the point of upgrade: At the point of initial purchase, people foresee making a full product replacement in the future, yet, when faced with the actual upgrade decision, they are more likely to revert to modular upgrades. Finally, we discuss and test several pricing and product design strategies that the firm can use to respond to these cognitive biases. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/04/27/mnsc.1120.1519.abstra [...]

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