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 Annals of Operations Research   [SJR: 1.186]   [H-I: 78]   [8 followers]  Follow         Hybrid journal (It can contain Open Access articles)    ISSN (Print) 1572-9338 - ISSN (Online) 0254-5330    Published by Springer-Verlag  [2335 journals]
• Decision models for sustainable supply chain design and management
• Authors: Behnam Fahimnia; Joseph Sarkis; Angappa Gunasekaran; Reza Farahani
Pages: 277 - 278
PubDate: 2017-03-01
DOI: 10.1007/s10479-017-2428-0
Issue No: Vol. 250, No. 2 (2017)

• Influence of non-price and environmental sustainability factors on
• Authors: R. Jothi Basu; Nachiappan Subramanian; Angappa Gunasekaran; P. L. K. Palaniappan
Pages: 363 - 388
Abstract: In practice, manufacturers select their logistics service providers mainly based on total procurement cost. In addition to this, they will also consider allied services such as cargo insurance, electronic documentation, even though practitioners emphasize importance of other factors such as on time delivery and carbon emissions. This study proposes sustainable decision model which includes various non-price and environmental sustainability factors and analyzes their influences in allocating typical routes to the carriers,while establishing a truck load contract. Multiple case studies are carried out in automotive and logistics companies to prioritize factors using Analytic Hierarchy Process (AHP). Factor prioritization is used to formulate carrier assignment problem as a multiple objective optimization model using the influencing factors identified and applies a heuristic methodology to derive the near-optimal solution. This study reveals that carbon footprint, route optimization and on time delivery will have huge impact on procurement decision.
PubDate: 2017-03-01
DOI: 10.1007/s10479-016-2170-z
Issue No: Vol. 250, No. 2 (2017)

• Social enterprise tree network games
• Authors: Darko Skorin-Kapov
Abstract: We investigate the cost allocation strategy associated with the problem of providing service among network users residing at nodes of a social network. We assume that the social network platform is established in a symmetric complete network. There is a cost associated with each link and the service between any pair of nodes can be delivered via a directed path. The example of a cost efficient solution for such network is a (non-rooted) minimum cost directed spanning tree. The network cost should be distributed among users who might have conflicting interests. The objective of this paper is to formulate the above cost allocation problem as a cooperative game, to be referred to as a Social Enterprise Tree Network (SETN) game, and develop a “fair” and efficient cost allocation scheme. The SETN game is related to the minimum cost spanning tree game. The profound difference is that in the minimum cost spanning tree game the service is delivered from some common source node to the rest of the network, while under the social network platform there is no source and the service is established through the interaction among all participating nodes. The input to our cost allocation problem is the optimal non-rooted directed spanning tree SETN. We formulate several associated SETN games in characteristic function form. Then we construct a couple of efficient cost allocation algorithms that find some points in the core of those SETN games and thus result in subsidy-free cost allocations.
PubDate: 2017-03-17
DOI: 10.1007/s10479-017-2460-0

• Computational methods and applications in queueing theory
• Authors: Onno Boxma; Joris Walraevens
PubDate: 2017-03-16
DOI: 10.1007/s10479-017-2464-9

• Product costing in the strategic formation of a supply chain
• Authors: Renato de Matta
Abstract: This study presents manufacturing and distribution network models for strategic supply chain planning. Where prices of intermediate products in the supply chain are not readily available, we study the influence on the formation of the supply chain of using either direct product costing or full absorption costing for setting internal prices. We develop a generalized Benders decomposition-based approach to solve the models. Problems representing a variety of scenarios that simulates different economic environments are solved. Our computational results show that the product costing method could influence the concentration of production activities at potential manufacturing locations, production and shipment quantities, product prices, and allocation of profits in the supply chain.
PubDate: 2017-03-16
DOI: 10.1007/s10479-017-2463-x

• Cooperation strategy of technology licensing based on evolutionary game
• Authors: Jinshi Cheng; Bengang Gong; Bangyi Li
Abstract: This study analyzes the issue of technology-licensing cooperation between a firm with production patent technology and a firm with inferior production technology, and obtains the evolution trend of the technology-licensing deal and cooperation strategy under fixed-fee licensing and royalty licensing situation. We find that the probability of successful cooperation between the two firms increases when fixed technology-license fees and cost savings from technology licensing increase simultaneously, and change of fixed technology license fees and cost savings affects the willingness to cooperate of the firm with inferior production technology, and not the firm with production patent technology. Furthermore, modest royalty fees promote successful cooperation. In both licensing situations, for the firm with production patent technology, an increase in the market share of its products or non-licensing resource sharing cost-saving value reduces the cooperation probability. Meanwhile, for the firm with inferior production technology, an increase in the market share of its products promotes successful cooperation in the royalty licensing case, but requires conditions for fixed technology-licensing fees and cost savings lower than a certain value in the fixed-fee licensing case.
PubDate: 2017-03-11
DOI: 10.1007/s10479-017-2461-z

• The reverse TAL-family of rules for bankruptcy problems
• Authors: René van den Brink; Juan D. Moreno-Ternero
Abstract: This paper analyzes a family of rules for bankruptcy problems that generalizes the so-called reverse Talmud rule and encompasses both the constrained equal-awards rule and the constrained equal-losses rule. The family, introduced by van den Brink et al. (Eur J Oper Res 228:413–417, 2013), is a counterpart to the so-called TAL-family of rules, introduced and studied by Moreno-Ternero and Villar (Soc Choice Welf 27:231–249, 2006a), and it is included within the so-called CIC-family of rules introduced by Thomson (Soc Choice Welf 31:667–692, 2008). We provide a systematic study of the structural properties of the rules within the family, as well as its connections with the existing related literature.
PubDate: 2017-03-10
DOI: 10.1007/s10479-017-2455-x

• Identification of customer groups in the German term life market: a
benefit segmentation
• Authors: Florian Schreiber
Abstract: We run a benefit segmentation of 2017 insurance consumers in order to analyze the structure and heterogeneity of the German term life insurance market. The consumers’ preference information has been obtained through a choice-based conjoint (CBC) experiment and a subsequent hierarchical Bayes (HB) estimation routine. Drawing on their part-worth utility profiles, we first construct a diverse cluster ensemble, comprising a total of 1624 hierarchical and k-means solutions based on different linkage criterions and sensibly drawn starting points. Then, final group memberships are determined by means of consensus clustering. Our empirical results indicate that the market divides into three segments characterized by substantially different consumer types with distinct demands and needs. While the first group is clearly driven by the premium, the opposite holds true for the brand-loyal group. Additionally, the market is completed by a third segment with in-between preference structures. Hence, both brand insurers and companies with a lower reputation face consumer groups that almost perfectly fit their provider profiles. More specifically, by offering segment-oriented products, an efficient resource allocation is fostered and the basis for long-term business relationships is laid. This is becoming increasingly important, because ongoing regulatory efforts, low interest rates, and market entrances from InsuranceTech start-ups and tech giants aiming to utilize the market’s enormous hidden potential are changing the competitive environment significantly. A consequent alignment of important strategic decisions related to product innovations, pricing, and distribution channels to our identified consumer segments enables incumbents to maintain a stable and sustainable market share and profitability.
PubDate: 2017-03-09
DOI: 10.1007/s10479-017-2446-y

• Rapid screening algorithms for stochastically constrained problems
• Authors: Shing Chih Tsai; Tse Yang
Abstract: A simulation optimization framework containing three fundamental stages (feasibility check, screening, and selection) is proposed for solving the zero-one optimization via simulation problem in the presence of a single stochastic constraint. We present three rapid screening algorithms that combine these three stages in different manners, such that various sampling mechanisms are applied, therefore yielding different statistical guarantees. An empirical evaluation for the efficiency comparison between the proposed algorithms and other existing works is provided.
PubDate: 2017-03-08
DOI: 10.1007/s10479-017-2459-6

• Investigating the impact of behavioral factors on supply network
efficiency: insights from banking’s corporate bond networks
• Authors: Mehrdokht Pournader; Andrew Kach; Seyed Hossein Razavi Hajiagha; Ali Emrouznejad
Abstract: This paper highlights the role of behavioral factors for efficiency measurement in supply networks. To this aim, behavioral issues are investigated among interrelations between decision makers involved in corporate bond service networks. The corporate bond network was considered in three consecutive stages, where each stage represents the relations between two members of the network: issuer–underwriter, underwriter–bank, and bank–investor. Adopting a multi-method approach, we collected behavioral data by conducting semi-structured interviews and applying the critical incident technique. Financial and behavioral data, collected from each stage in 20 corporate bond networks, were analyzed using fuzzy network data envelopment analysis to obtain overall and stage-wise efficiency scores for each network. Sensitivity analyzes of the findings revealed inefficiencies in the relations between underwriters–issuers, banks–underwriters, and banks–investors stemming from certain behavioral factors. The results show that incorporating behavioral factors provides a better means of efficiency measurement in supply networks.
PubDate: 2017-03-07
DOI: 10.1007/s10479-017-2457-8

• Embedding carbon impact assessment in multi-criteria supplier segmentation
using ELECTRE TRI-rC
• Authors: Jafar Rezaei; Miłosz Kadziński; Chrysoula Vana; Lori Tavasszy
Abstract: In the past decade, there has been an increasing interest in green supply chain management, which integrates environmental thinking into supply chain management. Assessing a supplier’s potential for improvement is very important when an organization wants to achieve certain environmental targets concerning their supply base, taking into account the limited resources available. In this paper, incorporating environmental evaluation criteria into a comprehensive supplier segmentation approach called ‘supplier potential matrix’ (SPM), a green supplier segmentation is proposed to segment the suppliers. Two overarching dimensions—supplier’s capabilities and supplier’s willingness—are used to evaluate the supplier’s green potential. The two dimensions are measured by multiple criteria. A sorting method called ELECTRE TRI-rC is used to solve the resulted multi-criteria decision-making problem. In order to make a more meaningful distinction, a simple method is also proposed to assess the suppliers with respect to the carbon footprint of the raw materials they supply. The results of this assessment are combined with the ones of the SPM, resulting in a more useful segmentation. The proposed model is applied to a sample containing the suppliers of a large international company.
PubDate: 2017-03-07
DOI: 10.1007/s10479-017-2454-y

• Basic theoretical foundations and insights on bilevel models and their
applications to power systems
• Authors: David Pozo; Enzo Sauma; Javier Contreras
Abstract: Decision making in the operation and planning of power systems is, in general, economically driven, especially in deregulated markets. To better understand the participants’ behavior in power markets, it is necessary to include concepts of microeconomics and operations research in the analysis of power systems. Particularly, game theory equilibrium models have played an important role in shaping participants’ behavior and their interactions. In recent years, bilevel games and their applications to power systems have received growing attention. Bilevel optimization models, Mathematical Program with Equilibrium Constraints and Equilibrium Problem with Equilibrium Constraints are examples of bilevel games. This paper provides an overview of the full range of formulations of non-cooperative bilevel games. Our aim is to present, in an unified manner, the theoretical foundations, classification and main techniques for solving bilevel games and their applications to power systems.
PubDate: 2017-03-06
DOI: 10.1007/s10479-017-2453-z

• Convexity adjustment for constant maturity swaps in a multi-curve
framework
• Authors: Nikolaos Karouzakis; John Hatgioannides; Kostas Andriosopoulos
Abstract: In this paper we propose a double curving setup with distinct forward and discount curves to price constant maturity swaps (CMS). Using separate curves for discounting and forwarding, we develop a new convexity adjustment, by departing from the restrictive assumption of a flat term structure, and expand our setting to incorporate the more realistic and even challenging case of term structure tilts. We calibrate CMS spreads to market data and numerically compare our adjustments against the Black and SABR (stochastic alpha beta rho) CMS adjustments widely used in the market. Our analysis suggests that the proposed convexity adjustment is significantly larger compared to the Black and SABR adjustments and offers a consistent and robust valuation of CMS spreads across different market conditions.
PubDate: 2017-03-06
DOI: 10.1007/s10479-017-2430-6

• Multilocus phylogenetic analysis with gene tree clustering
• Authors: Ruriko Yoshida; Kenji Fukumizu; Chrysafis Vogiatzis
Abstract: Both theoretical and empirical evidence point to the fact that phylogenetic trees of different genes (loci) do not display precisely matched topologies. Nonetheless, most genes do display related phylogenies; this implies they form cohesive subsets (clusters). In this work, we discuss gene tree clustering, focusing on the normalized cut (Ncut) framework as a suitable method for phylogenetics. We proceed to show that this framework is both efficient and statistically accurate when clustering gene trees using the geodesic distance between them over the Billera–Holmes–Vogtmann tree space. We also conduct a computational study on the performance of different clustering methods, with and without preprocessing, under different distance metrics, and using a series of dimensionality reduction techniques. Our results with simulated data reveal that Ncut accurately clusters the set of gene trees, given a species tree under the coalescent process. Other observations from our computational study include the similar performance displayed by Ncut and k-means under most dimensionality reduction schemes, the worse performance of hierarchical clustering, and the significantly better performance of the neighbor-joining method with the p-distance compared to the maximum-likelihood estimation method. Supplementary material, all codes, and the data used in this work are freely available at http://polytopes.net/research/cluster/ online.
PubDate: 2017-03-04
DOI: 10.1007/s10479-017-2456-9

• Investor-friendly and robust portfolio selection model integrating
forecasts for financial tendency and risk-averse
• Authors: Takashi Hasuike; Mukesh Kumar Mehlawat
Abstract: This paper proposes an investor-friendly random fuzzy portfolio selection model considering both robustness and adjustment of future asset returns derived from investor’s forecasts for financial tendency using a fuzzy inference method. It is important to predict the price or the return of each asset appropriately considering current market trends in portfolio optimization. In this paper, a standard multi-factor model, namely Arbitrage Pricing Theory (APT), is introduced as an asset pricing model. In addition, in order to extend standard APT by integrating important rules of current markets trends derived from technical analysis and fundamental analysis, each factor of APT is assumed to be a random fuzzy variable whose mean is adjusted by the fuzzy reasoning method, particularly product–sum-gravity method. Furthermore, it is also important for the investor to reduce the worst case of the total loss in terms of risk-averse. Therefore, worst-case conditional Value-at-Risk, which is a robust programming approach without assuming some specific random distribution, is considered. Since the proposed model is formulated as a biobjective programming problem both minimizing the value of worst-case conditional Value-at-Risk and maximizing the total expected return, it is equivalently transformed into the deterministic nonlinear programming problem using the satisficing trade-off method, and the efficient algorithm to obtain the optimal portfolio is developed. By solving our proposed model, the investor can obtain the risk-averse optimal portfolio with the large total return complying with current market trends.
PubDate: 2017-03-04
DOI: 10.1007/s10479-017-2458-7

• A flow based pruning scheme for enumerative equitable coloring algorithms
• Authors: A. M. C. A. Koster; R. Scheidweiler; M. Tieves
Abstract: An equitable graph coloring is a proper vertex coloring of a graph G where the sizes of the color classes differ by at most one. The equitable chromatic number, denoted by $$\chi _{eq}(G),$$ is the smallest number k such that G admits such equitable k-coloring. We focus on enumerative algorithms for the computation of $$\chi _{eq}(G)$$ and propose a general scheme to derive pruning rules for them: We show how the extendability of a partial coloring into an equitable coloring can be modeled via network flows. Thus, we obtain pruning rules which can be checked via flow algorithms. Computational experiments show that the search tree of enumerative algorithms can be significantly reduced in size by these rules and, in most instances, such naive approach even yields a faster algorithm. Moreover, the stability, i.e., the number of solved instances within a given time limit, is greatly improved. Since the execution of flow algorithms at each node of a search tree is time consuming, we derive arithmetic pruning rules (generalized Hall-conditions) from the network model. Adding these rules to an enumerative algorithm yields an even larger runtime improvement.
PubDate: 2017-03-03
DOI: 10.1007/s10479-017-2451-1

• Computational study of valid inequalities for the maximum k -cut problem
• Authors: Vilmar Jefté Rodrigues de Sousa; Miguel F. Anjos; Sébastien Le Digabel
Abstract: We consider the maximum k-cut problem that consists in partitioning the vertex set of a graph into k subsets such that the sum of the weights of edges joining vertices in different subsets is maximized. We focus on identifying effective classes of inequalities to tighten the semidefinite programming relaxation. We carry out an experimental study of four classes of inequalities from the literature: clique, general clique, wheel and bicycle wheel. We considered 10 combinations of these classes and tested them on both dense and sparse instances for $$k \in \{3,4,5,7\}$$ . Our computational results suggest that the bicycle wheel and wheel are the strongest inequalities for $$k=3$$ , and that for $$k \in \{4,5,7\}$$ the wheel inequalities are the strongest by far. Furthermore, we observe an improvement in the performance for all choices of k when both bicycle wheel and wheel are used, at the cost of 72% more CPU time on average when compared with using only one of them.
PubDate: 2017-03-03
DOI: 10.1007/s10479-017-2448-9

• Solving cardinality constrained mean-variance portfolio problems via MILP
• Authors: Nasim Dehghan Hardoroudi; Abolfazl Keshvari; Markku Kallio; Pekka Korhonen
Abstract: Controlling the number of active assets (cardinality of the portfolio) in a mean-variance portfolio problem is practically important but computationally demanding. Such task is ordinarily a mixed integer quadratic programming (MIQP) problem. We propose a novel approach to reformulate the problem as a mixed integer linear programming (MILP) problem for which computer codes are readily available. For numerical tests, we find cardinality constrained minimum variance portfolios of stocks in S&P500. A significant gain in robustness and computational effort by our MILP approach relative to MIQP is reported. Similarly, our MILP approach also competes favorably against cardinality constrained portfolio optimization with risk measures CVaR and MASD. For illustrations, we depict portfolios in a portfolio map where cardinality provides a third criterion in addition to risk and return. Fast solution allows an interactive search for a desired portfolio.
PubDate: 2017-03-02
DOI: 10.1007/s10479-017-2447-x

• Understanding risk management for intentional supply chain disruptions:
risk detection, risk mitigation, and risk recovery
• Authors: Scott DuHadway; Steven Carnovale; Benjamin Hazen
Abstract: Strategies to mitigate supply chain risk tend to treat disruptive events as homogenous, despite having different causes and requiring different risk management strategies. We develop a framework to understand effective risk management strategies by considering whether a disruption was caused by an intentional or inadvertent act and whether the source of the disruption was endogenous or exogenous to the supply chain. Based on exploring evidence from risk management strategies for specific disruptions, we find that risk detection is important for both intentional and inadvertent disruptions, while effective risk management practices differ in terms of risk mitigation (relational versus process based approaches) and risk recovery (restructuring versus resilience). The resultant theory-based framework provides a new theoretical perspective on supply chain disruptions and posits that understanding intent and the source of the disruption is critical for appropriate risk management strategies.
PubDate: 2017-03-02
DOI: 10.1007/s10479-017-2452-0

• Constant proportion portfolio insurance in defined contribution pension
plan management
• Authors: Busra Zeynep Temocin; Ralf Korn; A. Sevtap Selcuk-Kestel
Abstract: We consider the optimal portfolio problem with minimum guarantee protection in a defined contribution pension scheme. We compare various versions of guarantee concepts in a labor income coupled CPPI-framework with random future labor income. Besides classical deterministic guarantees we also introduce path-dependent guarantees. To ensure that there is no bias in the comparison, we obtain the optimal CPPI-multiplier for each guarantee framework via using a classical stochastic control approach.
PubDate: 2017-03-01
DOI: 10.1007/s10479-017-2449-8

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