Dépouillements

The visible hand? / Gal Oestreicher-Singer in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 1963-1981 Titre : The visible hand? : Demand effects of recommendation networks in electronic markets Type de document : texte imprimé Auteurs : Gal Oestreicher-Singer, Auteur ; Arun Sundararajan, Auteur Année de publication : 2013 Article en page(s) : pp. 1963-1981 Note générale : Management Langues : Anglais (eng) Mots-clés : Social  network  Social  media  Peer  effects  Homophily  Slotting  Selection  Electronic  markets  Electronic  commerce  Product  networks Résumé : Online commercial interactions have increased dramatically over the last decade, leading to the emergence of networks that link the electronic commerce landing pages of related products to one another. Our paper conjectures that the explicit visibility of such “product networks”can alter demand spillovers across their constituent items. We test this conjecture empirically using data about the copurchase networks and demand levels associated with more than 250,000 interconnected books offered on Amazon.com over the period of one year while controlling for alternative explanations of demand correlation using a variety of approaches. Our findings suggest that on average the explicit visibility of a copurchase relationship can lead to up to an average threefold amplification of the influence that complementary products have on each others' demand levels. We also find that newer and more popular products “use” the attention they garner from their network position more efficiently and that diversity in the sources of spillover further amplifies the demand effects of the recommendation network. Our paper presents new evidence quantifying the role of network position in electronic markets and highlights the power of basing (virtual) shelf position on consumer preferences that are explicitly revealed through shared purchasing patterns. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/1963.abstract [article] The visible hand? : Demand effects of recommendation networks in electronic markets [texte imprimé] / Gal Oestreicher-Singer, Auteur ; Arun Sundararajan, Auteur . - 2013 . - pp. 1963-1981. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 1963-1981 Mots-clés : Social  network  Social  media  Peer  effects  Homophily  Slotting  Selection  Electronic  markets  Electronic  commerce  Product  networks Résumé : Online commercial interactions have increased dramatically over the last decade, leading to the emergence of networks that link the electronic commerce landing pages of related products to one another. Our paper conjectures that the explicit visibility of such “product networks”can alter demand spillovers across their constituent items. We test this conjecture empirically using data about the copurchase networks and demand levels associated with more than 250,000 interconnected books offered on Amazon.com over the period of one year while controlling for alternative explanations of demand correlation using a variety of approaches. Our findings suggest that on average the explicit visibility of a copurchase relationship can lead to up to an average threefold amplification of the influence that complementary products have on each others' demand levels. We also find that newer and more popular products “use” the attention they garner from their network position more efficiently and that diversity in the sources of spillover further amplifies the demand effects of the recommendation network. Our paper presents new evidence quantifying the role of network position in electronic markets and highlights the power of basing (virtual) shelf position on consumer preferences that are explicitly revealed through shared purchasing patterns. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/1963.abstract

Men too sometimes shy away from competition / Marie-Pierre Dargnies in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 1982-2000 Titre : Men too sometimes shy away from competition : The case of team competition Type de document : texte imprimé Auteurs : Marie-Pierre Dargnies, Auteur Année de publication : 2013 Article en page(s) : pp. 1982-2000 Note générale : Management Langues : Anglais (eng) Mots-clés : Teams  Gender  gap  Tournament Résumé : Recent results in experimental and personnel economics indicate that women do not like competitive environments as much as men. This paper presents an experimental design that gives participants the opportunity to enter a tournament as part of a team rather than alone. Although a large and significant gender gap in entry in the individual tournament is found, in line with the literature, no gender gap is found in entry in the team tournament. Women do not enter the tournament significantly more often when it is team based, but men enter significantly less when they are part of a team than when alone. The main reason for men's disaffection with team competition appears to be linked to the uncertainty of their teammate's performance in a team tournament. More precisely, high-performing men fear being the victims of the free-riding behavior of their teammate. Women, especially low-performing women, tend to enter the team tournament more often than the individual one when they know they will be matched to a teammate of the same level as their own. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/1982.abstract [article] Men too sometimes shy away from competition : The case of team competition [texte imprimé] / Marie-Pierre Dargnies, Auteur . - 2013 . - pp. 1982-2000. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 1982-2000 Mots-clés : Teams  Gender  gap  Tournament Résumé : Recent results in experimental and personnel economics indicate that women do not like competitive environments as much as men. This paper presents an experimental design that gives participants the opportunity to enter a tournament as part of a team rather than alone. Although a large and significant gender gap in entry in the individual tournament is found, in line with the literature, no gender gap is found in entry in the team tournament. Women do not enter the tournament significantly more often when it is team based, but men enter significantly less when they are part of a team than when alone. The main reason for men's disaffection with team competition appears to be linked to the uncertainty of their teammate's performance in a team tournament. More precisely, high-performing men fear being the victims of the free-riding behavior of their teammate. Women, especially low-performing women, tend to enter the team tournament more often than the individual one when they know they will be matched to a teammate of the same level as their own. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/1982.abstract

Empirical investigation of retail expansion and cannibalization in a dynamic environment / Joseph Pancras in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2001-2018 Titre : Empirical investigation of retail expansion and cannibalization in a dynamic environment Type de document : texte imprimé Auteurs : Joseph Pancras, Auteur ; S. Sriram, Auteur ; V. Kumar, Auteur Année de publication : 2013 Article en page(s) : pp. 2001-2018 Note générale : Management Langues : Anglais (eng) Mots-clés : Marketing  Retailing  and  wholesaling  Advertising  and  media  Economics  Econometrics Résumé : Managers of retail chains who seek to add new stores or close existing ones need to know the net impact of a store's opening/closure on the overall chain performance. This requires inferring the extent to which each store generates incremental sales as opposed to competing with other stores belonging to the chain for the same set of customers. However, when the chain is experiencing a growth or a decline in sales, not accounting for these dynamics in goodwill is likely to yield misleading estimates of incremental sales versus cannibalization. Moreover, firms might have been strategic in opening outlets in locations with favorable characteristics. We need to control for this location endogeneity while inferring the marginal effect of store opening/closure. In this paper, we develop a demand model that accounts for dynamics in goodwill, location endogeneity, and spatial competition between geographically proximate retail outlets. We calibrate the model parameters on both attitudinal and behavioral data for a fast food chain in a large U.S. city. The results imply that consumers perceive a travel cost of $0.60 per mile. As regards the composition of sales at individual stores, on average, 86.7% of sales constitute incremental purchases with the rest derived from cannibalized sales from nearby stores belonging to the chain. We also find significant decay in cannibalization with distance such that when the distance between stores increases by one mile, the sales lost due to cannibalization decreases by 28.1%; there is virtually no cannibalization at a distance of 10 miles. In terms of managerial applications, we discuss how managers can use the model presented in this paper to make two key decisions: (a) isolating locations that can be closed by identifying stores that yield the lowest marginal benefit to the chain and (b) dealing with franchisees' potential concerns about cannibalization. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2001.abstract [article] Empirical investigation of retail expansion and cannibalization in a dynamic environment [texte imprimé] / Joseph Pancras, Auteur ; S. Sriram, Auteur ; V. Kumar, Auteur . - 2013 . - pp. 2001-2018. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2001-2018 Mots-clés : Marketing  Retailing  and  wholesaling  Advertising  and  media  Economics  Econometrics Résumé : Managers of retail chains who seek to add new stores or close existing ones need to know the net impact of a store's opening/closure on the overall chain performance. This requires inferring the extent to which each store generates incremental sales as opposed to competing with other stores belonging to the chain for the same set of customers. However, when the chain is experiencing a growth or a decline in sales, not accounting for these dynamics in goodwill is likely to yield misleading estimates of incremental sales versus cannibalization. Moreover, firms might have been strategic in opening outlets in locations with favorable characteristics. We need to control for this location endogeneity while inferring the marginal effect of store opening/closure. In this paper, we develop a demand model that accounts for dynamics in goodwill, location endogeneity, and spatial competition between geographically proximate retail outlets. We calibrate the model parameters on both attitudinal and behavioral data for a fast food chain in a large U.S. city. The results imply that consumers perceive a travel cost of $0.60 per mile. As regards the composition of sales at individual stores, on average, 86.7% of sales constitute incremental purchases with the rest derived from cannibalized sales from nearby stores belonging to the chain. We also find significant decay in cannibalization with distance such that when the distance between stores increases by one mile, the sales lost due to cannibalization decreases by 28.1%; there is virtually no cannibalization at a distance of 10 miles. In terms of managerial applications, we discuss how managers can use the model presented in this paper to make two key decisions: (a) isolating locations that can be closed by identifying stores that yield the lowest marginal benefit to the chain and (b) dealing with franchisees' potential concerns about cannibalization. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2001.abstract

Product market efficiency / Thomas H. Noe in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2019-2036 Titre : Product market efficiency : The bright side of myopic, uninformed, and passive external finance Type de document : texte imprimé Auteurs : Thomas H. Noe, Auteur ; Michael J. Rebello, Auteur ; Thomas A. Rietz, Auteur Année de publication : 2013 Article en page(s) : pp. 2019-2036 Note générale : Management Langues : Anglais (eng) Mots-clés : Adverse  selection  Financing  Reputation Résumé : We model the effect of external financing on a firm's ability to maintain a reputation for high-quality production. Producing high quality is first best. Defecting to low quality is tempting because it lowers current costs while revenue remains unchanged because consumers and outside investors cannot immediately observe the defection. However, defection to low quality impairs the firm's reputation, which lowers cash flows and inhibits production over the long term. Financing via short-term claims discourages defection to low quality because the gains from defection are mostly captured by outside investors through an increase in the value of their claims. Therefore, if the firm relies on short-term external financing, it is more likely to produce over the long run, produce high-quality goods, and enjoy high profitability. The aggregate results from a laboratory experiment generally accord with these predictions. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2019.abstract [article] Product market efficiency : The bright side of myopic, uninformed, and passive external finance [texte imprimé] / Thomas H. Noe, Auteur ; Michael J. Rebello, Auteur ; Thomas A. Rietz, Auteur . - 2013 . - pp. 2019-2036. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2019-2036 Mots-clés : Adverse  selection  Financing  Reputation Résumé : We model the effect of external financing on a firm's ability to maintain a reputation for high-quality production. Producing high quality is first best. Defecting to low quality is tempting because it lowers current costs while revenue remains unchanged because consumers and outside investors cannot immediately observe the defection. However, defection to low quality impairs the firm's reputation, which lowers cash flows and inhibits production over the long term. Financing via short-term claims discourages defection to low quality because the gains from defection are mostly captured by outside investors through an increase in the value of their claims. Therefore, if the firm relies on short-term external financing, it is more likely to produce over the long run, produce high-quality goods, and enjoy high profitability. The aggregate results from a laboratory experiment generally accord with these predictions. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2019.abstract

Optimal search for product information / Fernando Branco in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2037-2056 Titre : Optimal search for product information Type de document : texte imprimé Auteurs : Fernando Branco, Auteur ; Monic Sun, Auteur ; J. Miguel Villas-Boas, Auteur Année de publication : 2013 Article en page(s) : pp. 2037-2056 Note générale : Management Langues : Anglais (eng) Mots-clés : Marketing  Pricing  Search  costs  Information  Learning Résumé : Consumers often need to search for product information before making purchase decisions. We consider a tractable (continuous-time) model of gradual learning, in which consumers incur search costs to learn further product information, and update their expected utility of the product at each search occasion. We characterize the optimal stopping rules for either purchase, or no purchase, as a function of search costs and of the importance/informativeness of each attribute. This paper also characterizes how the likelihood of purchase changes with the ex ante expected utility, search costs, and the importance/informativeness of each attribute. We discuss optimal pricing, the impact of consumer search on profits and social welfare, and how the seller chooses its price to strategically affect the extent of the consumers' search behavior. We show that lower search costs can hurt the consumer because the seller may then choose to charge higher prices. Discounting creates asymmetry in the purchase and no-purchase search thresholds, and may lead to lower prices if search occurs in equilibrium, or higher prices if there is no search in equilibrium. This paper also considers searching for signals of the value of the product, heterogeneous importance of attributes, endogenous intensity of search, and social learning. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2037.abstract [article] Optimal search for product information [texte imprimé] / Fernando Branco, Auteur ; Monic Sun, Auteur ; J. Miguel Villas-Boas, Auteur . - 2013 . - pp. 2037-2056. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2037-2056 Mots-clés : Marketing  Pricing  Search  costs  Information  Learning Résumé : Consumers often need to search for product information before making purchase decisions. We consider a tractable (continuous-time) model of gradual learning, in which consumers incur search costs to learn further product information, and update their expected utility of the product at each search occasion. We characterize the optimal stopping rules for either purchase, or no purchase, as a function of search costs and of the importance/informativeness of each attribute. This paper also characterizes how the likelihood of purchase changes with the ex ante expected utility, search costs, and the importance/informativeness of each attribute. We discuss optimal pricing, the impact of consumer search on profits and social welfare, and how the seller chooses its price to strategically affect the extent of the consumers' search behavior. We show that lower search costs can hurt the consumer because the seller may then choose to charge higher prices. Discounting creates asymmetry in the purchase and no-purchase search thresholds, and may lead to lower prices if search occurs in equilibrium, or higher prices if there is no search in equilibrium. This paper also considers searching for signals of the value of the product, heterogeneous importance of attributes, endogenous intensity of search, and social learning. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2037.abstract

When does it pay to delay supplier qualification? / Zhixi Wan in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2057-2075 Titre : When does it pay to delay supplier qualification? : Theory and experiments Type de document : texte imprimé Auteurs : Zhixi Wan, Auteur ; Damian R. Beil, Auteur ; Elena Katok, Auteur Année de publication : 2013 Article en page(s) : pp. 2057-2075 Note générale : Management Langues : Anglais (eng) Mots-clés : Procurement  auctions  Supplier  qualification  Experiments Résumé : We study a procurement setting in which the buyer seeks a low price but will not allocate the contract to a supplier who has not passed qualification screening. Qualification screening is costly for the buyer, involving product tests, site visits, and interviews. In addition to a qualified incumbent supplier, the buyer has an entrant of unknown qualification. The buyer wishes to run a price-only, open-descending reverse auction between the incumbent and the entrant, and faces a strategic choice about whether to perform qualification screening on the entrant before or after the auction. We analytically study the buyer's optimal strategy, accounting for the fact that under postauction qualification, the incumbent knows he could lose the auction but still win the contract. In our analysis, we derive the incumbent's optimal bidding strategy under postauction qualification and find that he follows a threshold structure in which high-cost incumbents hold back on bidding—or even boycott the auction—to preserve their profit margin, and only lower-cost incumbents bid to win. These results are strikingly different from the usual open-descending auction analysis where all bidders are fully qualified and bidding to win is always a dominant strategy. We test our analytical results in the laboratory, with human subjects. We find that qualitatively our theoretical predictions hold up quite well, although incumbent suppliers bid somewhat more aggressively than the theory predicts, making buyers more inclined to use postauction qualification. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2057.abstract [article] When does it pay to delay supplier qualification? : Theory and experiments [texte imprimé] / Zhixi Wan, Auteur ; Damian R. Beil, Auteur ; Elena Katok, Auteur . - 2013 . - pp. 2057-2075. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2057-2075 Mots-clés : Procurement  auctions  Supplier  qualification  Experiments Résumé : We study a procurement setting in which the buyer seeks a low price but will not allocate the contract to a supplier who has not passed qualification screening. Qualification screening is costly for the buyer, involving product tests, site visits, and interviews. In addition to a qualified incumbent supplier, the buyer has an entrant of unknown qualification. The buyer wishes to run a price-only, open-descending reverse auction between the incumbent and the entrant, and faces a strategic choice about whether to perform qualification screening on the entrant before or after the auction. We analytically study the buyer's optimal strategy, accounting for the fact that under postauction qualification, the incumbent knows he could lose the auction but still win the contract. In our analysis, we derive the incumbent's optimal bidding strategy under postauction qualification and find that he follows a threshold structure in which high-cost incumbents hold back on bidding—or even boycott the auction—to preserve their profit margin, and only lower-cost incumbents bid to win. These results are strikingly different from the usual open-descending auction analysis where all bidders are fully qualified and bidding to win is always a dominant strategy. We test our analytical results in the laboratory, with human subjects. We find that qualitatively our theoretical predictions hold up quite well, although incumbent suppliers bid somewhat more aggressively than the theory predicts, making buyers more inclined to use postauction qualification. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2057.abstract

Coordination of price promotions in complementary categories / Maxim Sinitsyn in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2076-2094 Titre : Coordination of price promotions in complementary categories Type de document : texte imprimé Auteurs : Maxim Sinitsyn, Auteur Année de publication : 2013 Article en page(s) : pp. 2076-2094 Note générale : Management Langues : Anglais (eng) Mots-clés : Price  promotions  Complementary  products  Heterogeneous  consumers Résumé : In this paper, I investigate the outcome of a price competition between two firms, each producing two complementary products. Specifically, I study each firm's decision to coordinate price promotions of its products. Consumers are divided into loyals, who purchase both products from their preferred firm, and heterogeneous switchers, who choose between four possible bundles or buy a product in a single category. The switchers are willing to pay some price premium in order to purchase two complementary products that share the same brand name and are produced by the same firm, because they believe that these products are a better match than two complementary products with different brand names. I find that each firm predominantly promotes its complementary products together. This finding is correlationally supported by data in the shampoo and conditioner and in the cake mix and cake frosting categories. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2076.abstract [article] Coordination of price promotions in complementary categories [texte imprimé] / Maxim Sinitsyn, Auteur . - 2013 . - pp. 2076-2094. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2076-2094 Mots-clés : Price  promotions  Complementary  products  Heterogeneous  consumers Résumé : In this paper, I investigate the outcome of a price competition between two firms, each producing two complementary products. Specifically, I study each firm's decision to coordinate price promotions of its products. Consumers are divided into loyals, who purchase both products from their preferred firm, and heterogeneous switchers, who choose between four possible bundles or buy a product in a single category. The switchers are willing to pay some price premium in order to purchase two complementary products that share the same brand name and are produced by the same firm, because they believe that these products are a better match than two complementary products with different brand names. I find that each firm predominantly promotes its complementary products together. This finding is correlationally supported by data in the shampoo and conditioner and in the cake mix and cake frosting categories. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2076.abstract

Aspirational preferences and their representation by risk measures / Brown, David B. in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2095-2113 Titre : Aspirational preferences and their representation by risk measures Type de document : texte imprimé Auteurs : Brown, David B., Auteur ; Enrico De Giorgi, Auteur ; Melvyn Sim, Auteur Année de publication : 2013 Article en page(s) : pp. 2095-2113 Note générale : Management Langues : Anglais (eng) Mots-clés : Representation  of  choice  Risk  measures  Aspiration  levels  Decision  theory  paradoxes Résumé : We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk of beating the target at that level is acceptable. This representation may help to uncover new models of choice. One that we explore in detail is the special case when the targets are bounded. This case corresponds to a type of satisficing and has descriptive relevance. Moreover, the model is amenable to large-scale optimization. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2095.abstract [article] Aspirational preferences and their representation by risk measures [texte imprimé] / Brown, David B., Auteur ; Enrico De Giorgi, Auteur ; Melvyn Sim, Auteur . - 2013 . - pp. 2095-2113. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2095-2113 Mots-clés : Representation  of  choice  Risk  measures  Aspiration  levels  Decision  theory  paradoxes Résumé : We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferences share a representation in terms of a family of measures of risk and targets. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk of beating the target at that level is acceptable. This representation may help to uncover new models of choice. One that we explore in detail is the special case when the targets are bounded. This case corresponds to a type of satisficing and has descriptive relevance. Moreover, the model is amenable to large-scale optimization. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2095.abstract

Robust storage assignment in unit-load warehouses / Marcus Ang in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2114-2130 Titre : Robust storage assignment in unit-load warehouses Type de document : texte imprimé Auteurs : Marcus Ang, Auteur ; Yun Fong Lim, Auteur ; Melvyn Sim, Auteur Année de publication : 2013 Article en page(s) : pp. 2114-2130 Note générale : Management Langues : Anglais (eng) Mots-clés : Inventory  Production  Uncertainty  Programming  Linear  Large  scale  systems  Transportation  Materials  handling Résumé : Assigning products to and retrieving them from proper storage locations are crucial decisions in minimizing the operating cost of a unit-load warehouse. The problem becomes intractable when the warehouse faces variable supply and uncertain demand in a multiperiod setting. We assume a factor-based demand model in which demand for each product in each period is affinely dependent on some uncertain factors. The distributions of these factors are only partially characterized. We introduce a robust optimization model that minimizes the worst-case expected total travel in the warehouse with distributional ambiguity of demand. Under a linear decision rule, we obtain a storage and retrieval policy by solving a moderate-size linear optimization problem. Surprisingly, despite imprecise specification of demand distributions, our computational studies suggest that the linear policy achieves close to the expected value given perfect information and significantly outperforms existing heuristics in the literature. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2114.abstract [article] Robust storage assignment in unit-load warehouses [texte imprimé] / Marcus Ang, Auteur ; Yun Fong Lim, Auteur ; Melvyn Sim, Auteur . - 2013 . - pp. 2114-2130. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2114-2130 Mots-clés : Inventory  Production  Uncertainty  Programming  Linear  Large  scale  systems  Transportation  Materials  handling Résumé : Assigning products to and retrieving them from proper storage locations are crucial decisions in minimizing the operating cost of a unit-load warehouse. The problem becomes intractable when the warehouse faces variable supply and uncertain demand in a multiperiod setting. We assume a factor-based demand model in which demand for each product in each period is affinely dependent on some uncertain factors. The distributions of these factors are only partially characterized. We introduce a robust optimization model that minimizes the worst-case expected total travel in the warehouse with distributional ambiguity of demand. Under a linear decision rule, we obtain a storage and retrieval policy by solving a moderate-size linear optimization problem. Surprisingly, despite imprecise specification of demand distributions, our computational studies suggest that the linear policy achieves close to the expected value given perfect information and significantly outperforms existing heuristics in the literature. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2114.abstract

Execution risk in high-frequency arbitrage / Roman Kozhan in Management science, Vol. 58 N° 11 (Novembre 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2131-2149 Titre : Execution risk in high-frequency arbitrage Type de document : texte imprimé Auteurs : Roman Kozhan, Auteur ; Wing Wah Tham, Auteur Année de publication : 2013 Article en page(s) : pp. 2131-2149 Note générale : Management Langues : Anglais (eng) Mots-clés : Execution  risk  Limit  to  arbitrage  Liquidity  High-frequency  trading  strategies Résumé : In this paper, we investigate the role of execution risk in high-frequency trading through arbitrage strategies. We show that if rational agents face uncertainty about completing their arbitrage portfolios, then arbitrage is limited even in markets with perfect substitutes and convertibility. Using a simple model, we demonstrate that this risk arises from the crowding effect of competing arbitrageurs entering the same trade and inflicting negative externalities on each other. Our empirical results provide evidence that support the relevance of execution risk in high-frequency arbitrage. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2131.abstract [article] Execution risk in high-frequency arbitrage [texte imprimé] / Roman Kozhan, Auteur ; Wing Wah Tham, Auteur . - 2013 . - pp. 2131-2149. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 11 (Novembre 2012) . - pp. 2131-2149 Mots-clés : Execution  risk  Limit  to  arbitrage  Liquidity  High-frequency  trading  strategies Résumé : In this paper, we investigate the role of execution risk in high-frequency trading through arbitrage strategies. We show that if rational agents face uncertainty about completing their arbitrage portfolios, then arbitrage is limited even in markets with perfect substitutes and convertibility. Using a simple model, we demonstrate that this risk arises from the crowding effect of competing arbitrageurs entering the same trade and inflicting negative externalities on each other. Our empirical results provide evidence that support the relevance of execution risk in high-frequency arbitrage. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/11/2131.abstract

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