Contract negotiation and risk preferences in dual-channel supply chain coordination

This study employs profit-sharing contracts to coordinate dual-channel supply chains and examines the selection of profit-sharing parameters and the allocation of extra system profit gained from coordination. We characterise the Pareto-optimal contracts for the two- and three-stage dual-channel supply chains, by developing and maximising system utility function related to risk preferences and negotiating power. Under the optimal profit-sharing parameter in a two-stage supply chain, both members are reluctant to cooperate; however, in a three-stage supply chain, under the optimal two profit-sharing parameters selected by optimising the system utility function, the retailer is always reluctant to cooperate, but the distributor or the supplier may have incentives to deviate from cooperation. In this case, the distributor and the supplier will negotiate again as in a two-stage supply chain so that all three members can benefit from coordination with profit-sharing contracts. Besides acting independently, the distributor, in the process of contract negotiation, may choose to form an alliance with the upstream supplier or the downstream retailer, which means the relationship among the three members involving profit allocation after coordination is quite different from that for a two-stage supply chain and is not necessarily interest-contrary. In the contract negotiation, in any kind of scenario, risk aversion and negotiation power have a significant impact on the selection of optimal profit-sharing parameters and the allocation of extra system profit. One member’s risk aversion or its negotiation power may be advantageous to the other. Mathematical examples are illustrated to clarify the contract negotiation process.     

考虑航空战略联盟风险因素的Shapley值收益分配模型

航空联盟已经成为全球航空公司之间重要的合作方式,对航空公司降低成本、提高收入、扩展国际市场等有正向的影响。当航空公司加入航空联盟后,如何对合作后的收益进行合理的分配,将对航空公司的绩效以及航空联盟的稳定性产生重要的影响。为此,本文构建收益最大化为目标的决策模型,分别讨论集中决策和分散决策下两个模型的最优定价和航班频率,以及最优决策下的航空公司和航空联盟的收益。在此基础上,通过模糊综合评价方法评估航空联盟的风险,结合考虑风险的Shapley值方法对联盟的最大化收益进行公平、合理的分配,为加入航空联盟的航空公司提供有效的收益分配解决方案。最后,结合南航的实际情况,将提出的收益分配模型用于制定南航的联盟收益分配方案。     

随机损耗下考虑公平偏好的生鲜农产品供应链协调

将生鲜农产品供应链中生产商的公平偏好纳入研究视角,在考虑生鲜农产品的有效供给和变质随机性的基础上,通过构建博弈模型,分析了生产商的公平偏好对生鲜农产品供应链的运作产生的影响,并设计了基于;风险分担+收益共享;的协调机制。研究表明,在分散决策下,生产商的公平感知系数和不公平规避系数的不同取值会对生鲜农产品供应链的运作产生不同的影响,且生鲜农产品供应链的最优决策和利润对公平偏好的敏感程度与相应的非易腐品供应链不同;在契约参数满足一定的条件下,所设计的协调机制不仅能够实现生鲜农产品供应链的完美共赢协调,还能够消除生产商的公平偏好。     

突发事件冲击下带通胀的动态资产配置问题研究

本文研究在通胀环境和突发事件冲击下,跳和通胀因素对投资者最优资产配置策略的影响.首先,在事件风险模型的基础上,利用通货膨胀率对资产价格进行折算,得到了折算后的资产价格动力学,建立了考虑通胀的动态资产配置问题的随机控制模型,其中风险事件模型中的资产价格和收益波动率都是跳扩散过程.其次,在幂效用的假设下,利用随机动态规划方法获得了投资者最优资产配置策略的近似解析解.最后,通过简化模型,利用Matlab数学软件,分析了通胀波动率、资产价格跳大小和资产收益波动率跳大小对投资者最优资产配置策略的影响.     

ERP项目实施中风险分担影响因素的实证研究

通过文献分析、现场访谈等途径归结出影响ERP项目风险分担的相关因素,建立了风险分担影响因素的理论模型,并通过问卷调查对其进行了相关分析,得出了关键影响因素,包括风险控制能力、风险预期损失、承担风险意愿、风险损失承担能力和风险控制成本。     

Optimization in CNC end milling of UNS C34000 medimum leaded brass with multiple surface roughnesses characteristics

The present study highlights a multi-objective optimization problem by applying utility concept coupled with Taguchi method through a case study in CNC end milling of UNS C34000 medium leaded brass. The study aimed at evaluating the best process environment which could simultaneously satisfy multiple requirements of surface quality. In view of the fact, the traditional Taguchi method cannot solve a multi-objective optimization problem; to overcome this limitation, utility theory has been coupled with Taguchi method. Depending on Taguchi’s Lower-the-Better (LB) response criteria; individual surface quality characteristics has been transformed into corresponding utility values. Individual utility values have been aggregated finally to compute overall utility degree which serves as representative objective function for optimizing using Taguchi method. Utility theory has been adopted to convert a multi-response optimization problem into a single response optimization problem; in which overall utility degree serves as the representative single objective function for optimization. The study of combined utility theory and Taguchi method for predicting optimal setting. Based on Taguchi’s Signal-to-Noise ratio (S/N), analysis has been made on the overall utility degree and optimal process environment has been selected finally which corresponds to highest S/N Ratio. Optimal result has been verified through confirmatory test. The case study indicates application feasibility of the aforesaid methodology proposed for multiresponse optimization and off-line control of multiple surface quality characteristics in CNC end milling.     

Optimal option purchase decision of a loss-averse retailer under emergent replenishment

This paper studies the optimal option purchase of a loss-averse retailer under emergent replenishment. It is assumed that all or part of the excess demands in a stock-out situation can be replenished, and the loss-averse retailer's optimal option purchase quantity is investigated. It is found that the loss-averse retailer should not purchase options and only needs to replenish the inventory under certain conditions. When maximizing the expected utility without shortage cost, the loss-averse retailer's optimal option purchase quantity is decreasing in the loss aversion coefficient. To maximise the expected utility with shortage cost, a larger shortage cost implies a bigger option purchase quantity. If the shortage cost exists, there will be a loss on the expected profit and utility for the loss-averse retailer who selects an optimal option purchase quantity without shortage cost. Given the optimal option purchase quantity, it is proven that the loss-averse retailer's expected profit is decreasing in the loss aversion coefficient. Therefore the retailer should choose a proper loss aversion preference to balance between the two objectives of profit maximization and loss aversion preference. As a result of these findings, some management insights are recommended to the loss-averse retailer in selecting the option purchase quantity.     

Real option-based optimization for financial incentive allocation in infrastructure projects under public–private partnerships

Financial incentives that stimulate energy investments under public–private partnerships are considered scarce public resources, which require deliberate allocation to the most economically justified projects to maximize the social benefits. This study aims to solve the financial incentive allocation problem through a real option-based nonlinear integer programming approach. Real option theory is leveraged to determine the optimal timing and the corresponding option value of providing financial incentives. The ambiguity in the evolution of social benefits, the decision-maker’s attitude toward ambiguity, and the uncertainty in social benefits and incentive costs are all considered. Incentives are offered to the project portfolio that generates the maximum total option value. The project portfolio selection is formulated as a stochastic knapsack problem with random option values in the objective function and random incentive costs in the probabilistic budget constraint. The linear probabilistic budget constraint is subsequently transformed into a nonlinear deterministic one. Finally, the integer non-linear programming problem is solved, and the optimality gap is computed to assess the quality of the optimal solution. A case study is presented to illustrate how the limited financial incentives can be optimally allocated under uncertainty and ambiguity, which demonstrates the efficacy of the proposed method.     

Power Allocation in a Wireless Network Using Scheduling and Stochastic Programming with Penalty Functions

This paper studies the optimal allocation of transmit power in a wireless communication network. First, a stochastic programming formulation is introduced, based on penalizing violations of quality-of-service constraints. The maximization of the certainty equivalent signal-to-interference ratio under Rayleigh fading corresponds to a penalty model where (max-min) fairness is explicitly taken into consideration. Second, optimum dynamic power allocation is discussed. Efficient dynamic resource allocation under both linear and logarithmic utility functions is addressed. The dynamic model studies the optimal trade-off between instantaneous quality-of-service and a delay-penalized reliable quality-of-service. Related work on optimal stochastic power control is summarized.     

政府干预下考虑双重行为偏好特征的闭环供应链决策与协调

将供应链成员双重行为偏好特征考虑到政府奖惩干预下的闭环供应链决策模型中,采用均值-标准差风险度量准则探讨了决策者行为偏好对闭环供应链最优决策和协调性的影响。结论表明：公平关切行为只是闭环供应链系统内部利润分配的一种手段,零售商和回收商公平关切行为会促使制造商出让部分利润,从而有利于自身利润的提高;回收商风险偏好行为影响回收转移价和回收价,当供应链成员以效用最大化为决策目标时,回收商越喜好风险,对制造商越不利,越厌恶风险,对零售商越不利;有效协调区域受到双重行为偏好特征的影响,供应链成员过度公平关切以及过度喜好风险或过度规避风险都将使收益共享-费用分担契约难以实现供应链协调,当供应链成员的行为偏好在各成员可接受的合理范围内,收益共享-费用分担契约能够实现闭环供应链Pareto改善。     

Owner’s Risk Allocation and Contractor’s Role Behavior in a Project: A Parallel-mediation Model

Risk allocation decisions are of critical importance in project management. The present study proposes an explanation for how risk allocation in a contract motivates a contractor to cooperate with a project owner. Theories of risk allocation and trust were used to motivate the research. Using a survey methodology, we collected data concerning 124 construction projects in China. We found that risk allocation influenced the contractor’s role behavior through the contractor’s feeling of being trusted but not the contractor’s trust in the owner. Feeling of being trusted partially mediated the effect of risk allocation on the contractor’s in-role (i.e., contractual) behavior and fully mediated the effect on extra-role behavior. The study introduces a social and psychological view of the impacts of risk allocation to the project and engineering management literature. We contribute to theory by arguing and demonstrating the mediating effect of trust on the relationship between risk allocation and contractor behavior. From a practical standpoint, we conclude that contractual risk allocation has a significant impact on building a trusting relationship between owners and contractors and that contractors who feel trusted perform both contractually mandated actions and actions external to the contract more diligently, resulting in the likelihood of improved outcomes for both parties.     

A Comprehensive Utility Function for Resource Allocation in Mobile Edge Computing

In mobile edge computing (MEC), one of the important challenges is how much resources of which mobile edge server (MES) should be allocated to which user equipment (UE). The existing resource allocation schemes only consider CPU as the requested resource and assume utility for MESs as either a random variable or dependent on the requested CPU only. This paper presents a novel comprehensive utility function for resource allocation in MEC. The utility function considers the heterogeneous nature of applications that a UE offloads to MES. The proposed utility function considers all important parameters, including CPU, RAM, hard disk space, required time, and distance, to calculate a more realistic utility value for MESs. Moreover, we improve upon some general algorithms, used for resource allocation in MEC and cloud computing, by considering our proposed utility function. We name the improved versions of these resource allocation schemes as comprehensive resource allocation schemes. The UE requests are modeled to represent the amount of resources requested by the UE as well as the time for which the UE has requested these resources. The utility function depends upon the UE requests and the distance between UEs and MES, and serves as a realistic means of comparison between different types of UE requests. Choosing (or selecting) an optimal MES with the optimal amount of resources to be allocated to each UE request is a challenging task. We show that MES resource allocation is sub-optimal if CPU is the only resource considered. By taking into account the other resources, i.e., RAM, disk space, request time, and distance in the utility function, we demonstrate improvement in the resource allocation algorithms in terms of service rate, utility, and MES energy consumption.     

Certainty preference and the Arrow-Pratt measure

Abstract. In Schmidt (1998) a new axiomatic model of decision making under risk has been developed, which can accommodate the certainty effect and is, apart from this property, equivalent to expected utility in all other choice problems. A central feature of this model, termed expected utility with certainty preference, is to allow for a measurement of the certainty effect analogously to the measurement of risk aversion by the Arrow-Pratt measure. The purpose of the present paper is to provide a complete characterization of certainty preference. Therefore, among other things, all standard concepts in the theory of risk aversion are defined and analyzed in the framework of certainty preference. This investigation reveals that the measurement of the certainty effect has the same theoretical capabilities as the measurement of risk aversion by the Arrow-Pratt measure. Additionally, expected utility with certainty preference is compared with the existing literature on non-expected utility models.     

Performance, smoke characteristics and economics of pre-heated used vegetable oil utilization in Philippine public utility jeepneys

An experimental investigation has been carried out to analyze the performance of a compression ignition engine fueled with pre-heated waste cooking oil and its corresponding effects on the economics when used in public utility jeepneys relative to mineral diesel. Oil pre-heating in the experiments to reduce the oil’s viscosity is provided by a heat exchanger utilizing waste heat from the engine’s cooling system. The performance parameters evaluated were brake specific fuel consumption (BSFC) and smoke opacity. Fuel mileage was simulated by instantaneous modeling utilizing public utility jeepney drive cycles from major routes in Metro Manila. Results indicated that it resulted in minimal reduction in power. Average power drop across the various operational points was recorded at 5.8%. The average BSFC is higher by 19% while its effect on public utility jeepneys’ fuel mileage is much lower at 8.5% reduction. With the lower cost of waste cooking oil, its use could cut down public utility jeepney fuel expenses by 28.5% on the average. The savings provide a waste cooking oil pre-heating kit loan payout period between 5 and 15 months. It was also found to reduce smoke opacity by 54%. Pre-heated waste cooking oil has a good potential for use in public utility jeepneys in Metro Manila.     

考虑通胀风险的个人最优行为投资决策

通胀风险是影响投资决策的一个重要因素,同时,投资者的行为特质因素对投资决策的影响也不容忽视．本文将探讨考虑通胀风险的个人最优行为的投资决策问题．首先,在金融市场中,引入通胀指数债券来对冲通胀风险．并且假设投资者具有损失厌恶的行为特质,建立了考虑通胀风险的个人最优行为投资组合模型．其次,最大化投资者最终财富值超过参考点部分的期望效用,通过鞅方法求解出最优投资策略以及最终财富的解析解,并对最优投资策略进行了性质分析和数值模拟．最后,分析结果表明,通胀风险以及投资者的损失厌恶行为特质会对最优投资策略产生较大的影响．     

集装箱空箱合作博弈模型及其机制设计

船公司通过共享集装箱形成联盟,提高集装箱利用率,降低空箱调运成本.由于每个成员追求各自利益最大化,成员与联盟的最优决策往往是不一致的,进而导致联盟不稳定.以合作博弈和数学规划为理论工具,建立了船公司联盟的合作博弈模型,并且设计了有效的收益分配机制,这个机制为成员提供了补偿性支付.在该模型中,分别对联盟和成员的决策过程进...     

基于策略消费者风险偏好的供应链协调研究

在传统的策略消费者的报童模型基础上,探讨了消费者风险偏好对供应链协调的影响,引入消费者风险偏好系数,证明了在此影响下销售商的最优定价和订货量会降低,从而减少了供应链的收益。为改善这种状况,提出两部定价法,同样考虑消费者的风险偏好,得出了在相同的风险偏好下,这种批发价格随着订货量递减的两部定价策略与单一线性价格策略相比,前者的销售商的最优订货量会增加,最优销售价格会降低,使消费者获得更多的剩余价值,从而使供应链整体的效益提高。通过算例对结论进行了验证。     

A risk-based sensor placement methodology

A risk-based sensor placement methodology is proposed to solve the problem of optimal location of sensors to protect population against the exposure to, and effects of, known and/or postulated chemical, biological, and/or radiological threats. Risk is calculated as a quantitative value representing population at risk from exposure at standard exposure levels. Historical meteorological data are used to characterize weather conditions as the frequency of wind speed and direction pairs. The meteorological data drive atmospheric transport and dispersion modeling of the threats, the results of which are used to calculate risk values. Sensor locations are determined via an iterative dynamic programming algorithm whereby threats detected by sensors placed in prior iterations are removed from consideration in subsequent iterations. In addition to the risk-based placement algorithm, the proposed methodology provides a quantification of the marginal utility of each additional sensor. This is the fraction of the total risk accounted for by placement of the sensor. Thus, the criteria for halting the iterative process can be the number of sensors available, a threshold marginal utility value, and/or a minimum cumulative utility achieved with all sensors.     

风险规避型航空联盟的收益共享机制研究

构建了由2个风险规避的航空公司组成的航空联盟网络的决策模型,并利用均值-标准差(mean standard deviation)风险度量准则建立了航空联盟成员的决策目标函数。首先,分析了航空联盟网络在集中决策下的均衡模型。研究发现航空公司的风险规避特性将会降低机票价格,进而减少联盟整体的效用。其次,研究了航空联盟实施收益共享机制下的分散决策模型,研究结果表明收益共享机制不仅可以实现联盟成员个人的效用最大化,同时可以达到联盟整体效用的最大化。研究还发现,实施收益共享机制可以提高航空联盟成员的绩效水平。绩效水平提升的幅度与价格弹性系数、国内与国际航线的运作成本的比值、航空公司的风险规避度及收益共享系数等因素密切相关。此外,通过数值分析研究了不同参数对航空联盟成员实施收益共享机制后提升的绩效水平的影响程度。     

Risk hedging via options contracts for physical delivery

We develop an analytical framework for the valuation of options contracts for physical delivery that enable risk-sharing between the trading partners. The spot market price risk, the buyer's demand risk and the seller's marginal cost risk, which are key to many industrial settings such as the chemical industry, are explicitly incorporated. Analytical expressions for the buyer's optimal reservation quantity and the seller's optimal tariff are derived and related to the risk management needs in the industry. The ensuing discussion shows how contingency contracts for physical delivery can complement financial derivative instruments within a company's risk management approach.