Rebalancing an investment portfolio in the presence of convex transaction costs,including market impact costs

The inclusion of transaction costs is an essential element of any realistic portfolio optimization. We extend the standard portfolio optimization problem to consider convex transaction costs incurred when rebalancing an investment portfolio. Market impact costs measure the effect on the price of a security that result from an effort to buy or sell the security, and they can constitute a large part of the total transaction costs. The loss to a portfolio from market impact costs is often modelled with a convex function that can be expressed using second-order cone constraints. The Markowitz framework of mean-variance efficiency is used. In order to properly represent the variance of the resulting portfolio, we suggest rescaling by the funds available after paying the transaction costs. This results in a fractional programming problem, which we show can be reformulated as an equivalent convex program of size comparable to the model without transaction costs. We show that an optimal solution to the convex program can always be found that does not discard assets.     

On search cost and the long tail: the moderating role of search cost

E-commerce researchers and managers have argued that long tail effects on pricing and product purchase are an important way in which Internet retail differs from traditional “brick & mortar” businesses. These effects have been attributed to several factors including increase assortment size and the reduction of search costs amongst others. While the Internet by its nature lowers search costs, its effect is not uniform. This study looks at that heterogeneity. Specifically, we investigate whether the role of reduced search costs in the long tail phenomenon is better conceptualized as a direct effect, or as a moderating effect. We contribute to the literature by combining the rationale from variety seeking behavior and need for uniqueness found in marketing with information systems research on search costs. Using consumer purchase information for over 16,000 purchases in a single product category, from over 4000 households, we perform a direct test of the impact of search costs on the Internet by comparing the product dispersion of purchases within homes with broadband service to those in homes with dial-up service. This study provides evidence that the conventional view that search costs directly impact consumer propensity to purchase a niche good can be improved by looking at search costs as an environmental condition which alters purchase behavior. Specifically, we find that search costs act primarily as a moderating factor for socio-economic status independent variables, altering the impact of classic consumer purchase factors.     

服务水平约束下的粮油库存控制策略研究*

从保持库存的稳定性出发,分析了商品变质率、缺货成本和库存率等因素对库存成本的影响,在受服务水平约束的条件下,建立库存控制模型.在模型的基础上对变质成本与库存成本的关系进行了研究,并给出了求解最优库存和最小成本的方法.最后通过实例仿真,证明了该模型能较好地解决此类问题.     

A framework of interaction costs in information visualization

Interaction cost is an important but poorly understood factor in visualization design. We propose a framework of interaction costs inspired by Norman’s Seven Stages of Action to facilitate study. From 484 papers, we collected 61 interaction-related usability problems reported in 32 user studies and placed them into our framework of seven costs: (1) Decision costs to form goals; (2) System-power costs to form system operations; (3) Multiple input mode costs to form physical sequences; (4) Physical-motion costs to execute sequences; (5) Visual-cluttering costs to perceive state; (6) View-change costs to interpret perception; (7) State-change costs to evaluate interpretation. We also suggested ways to narrow the gulfs of execution (2–4) and evaluation (5–7) based on collected reports. Our framework suggests a need to consider decision costs (1) as the gulf of goal formation.     

Justifying investments in industrial ergonomics

This paper describes current research work aimed at developing an evaluation process as well as an accounting framework specifically tailored to industrial ergonomics and which concentrate on the following economic issues related to ergonomic or health and safety costs: identifying and classifying health and safety costs within a comprehensive cost classification; studying the behavior of health and safety costs; allocating health and safety costs to cost objects.     

Understanding online customers’ ties to merchants: the moderating influence of trust on the relationship between switching costs and e-loyalty

Fostering customer loyalty is a key objective for online businesses. Initial transactions with new customers are less profitable than transactions with existing customers, making loyalty an important strategy. Drawing on research examining online customer loyalty (termed e-loyalty), switching costs, and trust, this study provides an empirical test of the relative influence of trust vs switching costs on e-loyalty for e-service providers. We further examine whether trust moderates the relationship between switching costs and e-loyalty. We propose that in the presence of high customer trust, e-service providers should have less need to rely on switching costs as a driver of e-loyalty. We test the hypothesized relationships using data collected from 299 repeat users of online travel services. Our results confirm that trust is a more important predictor of e-loyalty than switching costs. In addition, we find that the impact of switching costs on e-loyalty depends on the level of trust felt by customers. This study extends our understanding of customer loyalty, switching costs, and trust in e-commerce environments and provides practical, theory-driven guidelines to e-businesses seeking to develop customer loyalty programmes.     

需求损失下两产品联合生产动态批量决策及预测时阈

研究需求损失下两产品联合生产(采购)动态批量决策问题.在各周期成本变动情形下分析多周期动态批量决策的预测时阈和决策时阈,构建包含联合启动成本、两产品的单独启动成本、库存持有成本、变动生产成本和需求损失成本在内的成本最小化模型.在最优解结构特性的基础上,设计出前向动态规划算法求解问题,通过建立两产品生产点的单调性和建立生产集,给出求解预测时阈和决策时阈的充分条件.通过数值算例分析预测时阈求解的具体过程,表明所构建模型的有效性.     

基于CBT的多源Steiner树构造算法

构造最小代价树问题可形式化为图论中Steiner树问题。而Steiner树的求解已经被证明是一个NP-complete问题,不可能在多项式时间求得其精确解,所以出现许多启发式算法：在可接受时间内,得到一棵近似的最优多播树。这些算法一般先指定所有链接边的费用,通过一定方法或规则,找出包含源端和所有目的端的一棵近似最优的多播树。很显然,它们并没有考虑由于路径的共享重叠而引起最小生成树链接边费用的变化。现利用CBT算法思想对变化的费用进行建模并对典型启发式算法作了改进,以适应不断变化了的链路费用。     

考虑电池损耗的电动冷藏车路径及充电策略

电池充电造成的电池损耗对企业运营成本影响较大,以不同SOC区间内一次充电造成的电池容量衰退成本模型估计电池损耗成本,研究了车辆途中可多次进入充电站充电的路径优化问题,在考虑运输成本、制冷成本、货损成本、充电时间成本、惩罚成本的基础上,将电动冷藏车的电池损耗成本纳入总成本最小的目标函数,并建立了线性规划数学模型。采用增加粒子间共享信息类型的改进粒子群算法对该模型进行求解。将改进粒子群算法应用于构造的算例中,得到包括充电策略在内的车辆最优路径方案和最小运营成本,结果表明充电上限为80%的车辆路径方案可得到最低的运营成本,同时与标准粒子群算法求得的计算结果进行了比较分析,证明该改进粒子群算法在求解该问题上的可行性。     

Applying on-line bitmap indexing to reduce counting costs in mining association rules

Counting costs have a great impact on efficiency of mining association rules in a large database of sales transactions. In this paper, we first formally analyze the facts that determine counting costs. Secondly, we present an on-line bitmap indexing technique to speed-up the counting process. Besides theoretical analysis, our implementation reports suggest that this indexing technique may reduce counting costs up to 50%, and almost at no costs.     

Cost function analysis in the structural optimization of steel frames

An objective function used in structural optimization should be formulated in such a way that the most economic solution can be found. However, the objective function is usually simplified to represent the weight, disregarding the fabrication and erection costs of the structure. The paper presents a very detailed objective function that considers the self-manufacturing costs of the whole structure. The cost function includes all essential fabrication and erection activities. It considers both manufacturing costs as well as material costs. It is formulated in an open manner, offering users the possibility to define their own parameters on the basis of a certain production line. The cost function is implemented into the optimization system for planar steel frames.     

The rectilinear distance minisum problem with minimum distance constraints:

This paper describes a mathematical model for locating a single facility on a continuous plane, which considers transportation (or service) costs between the facility and a set of demand points as well as social costs arising from the undesirable characteristics of the facility. The transportation costs are given by a standard minisum objective function, while the social costs appear implicitly in the form of lower bound constraints on the distances between the facility and the demand points. The model is analyzed under the assumption that distances are measured by the rectilinear norm, and an efficient branch-and-bound algorithm is derived to solve this case.     

Estimation of digraph costs for keyboard layout optimization

The main aim of this study was to estimate the digraph costs (interkey-stroke times) based on the digraph (two consecutive keys) tapping rates for the optimization of keyboard layouts considering the touch typing principles. The study also investigated the effects of column, row, hand and period on digraph-tapping rate. For the purpose, a laboratory experiment was performed with seven subjects using a conventional keyboard. Digraph-tapping rates of a total of 241 same hand digraphs were recorded for a duration of 2-min. The interkey-stroke times were calculated as the digraph costs for the same hand digraphs using the estimated mean digraph-tapping rates. The different hand digraph costs were calculated based on the same hand digraph costs and the results of a previous study. The results indicated significant column, row, hand and period effect on the digraph-tapping rate. Using the digraph costs and the digraph frequencies of the considered language in a quadratic assignment problem, an optimal touch typing keyboard layout can be developed to satisfy all but one of Dvorak's touch typing criteria. As an application, an optimal keyboard layout, called Turkish I-layout, is developed for Turkish language. The comparison results between I and existing Turkish F and Q layouts showed that the I-layout is superior both according to the results of the optimization and Dvorak's criteria.Relevance to industryOptimal and ergonomic keyboard layouts improve typing performance and reduce the likelihood of upper extremity disorders. The digraph-tapping rates estimated through this study are essential for the development of such layouts.     

考虑交通拥堵的冷链物流城市配送的GVRP研究

针对目前研究冷链物流车辆路径问题多未考虑交通拥堵对运营成本的影响,将道路拥堵因素融入到冷链物流绿色车辆路径（Green Vehicle Routing Problem）优化数学模型中。兼顾经济成本和环境成本,在时变网络下综合考虑冷链物流中车辆管理成本、运输能耗成本、货损成本、制冷成本以及客户需求时间窗的惩罚成本,同时引入运输和制冷过程中产生的碳排放成本,统筹安排车辆路径,使得物流企业整体运营成本最低,更绿色环保。在此基础上根据模型特点设计改进蚁群算法进行求解,用实例对模型和算法进行仿真,验证该模型和方法可以有效地规避拥堵时段,降低配送成本,促进物流企业的节能减排,可以为物流企业冷链配送路径决策提供良好的参考依据。     

Consumer electronics acceptance based on innovation attributes and switching costs: The case of e-book readers

The predictors of innovative consumer electronics product acceptance range from technology to economic factors. Prior studies assume direct effects from these predictors on acceptance behavior. We study e-book readers as an illustrative technology. We contend that consumers’ perceived innovative attributes (relative advantage, compatibility, and complexity) directly affect their acceptance behavior, and also influence their behavior via their perception of the costs (procedural, financial, and relational switching costs). Our findings reveal that complexity is a key antecedent to switching costs. The empirical results also suggest the full or partial mediating role of procedural and relational switching costs between the innovative attributes and the use of e-book readers. Financial switching costs, however, are not influential for the use of e-book readers.     

Limit load and shakedown analysis of plastic structures under stochastic uncertainty

Problems from plastic analysis are based on the convex, linear or linearised yield/strength condition and the linear equilibrium equation for the stress (state) vector. In practice one has to take into account stochastic variations of several model parameters. Hence, in order to get robust maximum load factors, the structural analysis problem with random parameters must be replaced by an appropriate deterministic substitute problem. A direct approach is proposed based on the primary costs for missing carrying capacity and the recourse costs (e.g. costs for repair, compensation for weakness within the structure, damage, failure, etc.). Based on the mechanical survival conditions of plasticity theory, a quadratic error/loss criterion is developed. The minimum recourse costs can be determined then by solving an optimisation problem having a quadratic objective function and linear constraints. For each vector a(·) of model parameters and each design vector x, one obtains then an explicit representation of the “best” internal load distribution F^∗. Moreover, also the expected recourse costs can be determined explicitly. Consequently, an explicit stochastic nonlinear program results for finding a robust maximal load factor μ^∗. The analytical properties and possible solution procedures are discussed.     

The role of sunk costs in online consumer decision-making

Sunk costs, which can cause inconsistencies between consumer behavior and economic theory, have been widely studied in different research areas and among various consumer groups. Nevertheless, the authors found that to date there has been no empirical research examining how sunk costs affect consumer behavior with regard to online shopping in different product types. Therefore, this study used the following 2 × 2 × 2 experimental design to study the effects of sunk costs on consumers’ online shopping decisions. The results show that (1) sunk costs have significant effects on consumer online shopping behavior. However, due to the different product characteristics, the impacts were weaker effective when consumers bought search goods than when they purchased experience goods; (2) the sunk costs (Membership fee vs. Deposit) of an initial choice and a new choice had interaction effects on consumer intention to purchase a new product; and (3) the sunk costs and service quality of an initial choice and new choice would affect the level of regret felt with regard to the consumer’s initial choice. In addition, some recommendations on market positioning and service quality design are made, which practitioners can refer to when formulating marketing strategies.     

Diffusion dynamics of open source software: An agent-based computational economics (ACE) approach

The rising popularity of open source software (OSS) calls for a better understanding of the drivers of its adoption and diffusion. In this research, we propose an integrated framework that simultaneously investigates a broad range of social and economic factors on the diffusion dynamics of OSS using an Agent Based Computational Economics (ACE) approach. We find that interoperability costs, variability of OSS support costs, and duration of PS upgrade cycle are major determinants of OSS diffusion. Furthermore, there are interaction effects between network topology, network density and interoperability costs, which strongly influence the diffusion dynamics of OSS. The proposed model can be used as a building block to further investigate complex competitive dynamics in software markets.     

Consumer perception of interface quality, security, and loyalty in electronic commerce

Customer interface quality, perceived security, and customer loyalty are critical factors for success of an e-commerce website; however, the relationships among them are not fully understood. We proposed a model for testing the relationships among them and the important outcomes of the site: switching costs and customer loyalty. Data was collected to test the model using a web-based survey, and empirical analyses were performed using SEM. The analytical results demonstrated that customer interface quality and perceived security positively affected customer satisfaction and switching costs, and thus customer loyalty to an e-commerce website. Specifically, our study showed that switching costs positively moderated the effect of customer satisfaction on customer loyalty; this moderating effect is discussed.     

订货问题的一个优化分析模型

在假设每次订货状况相同,且缺货造成的损失均摊到每次订货过程中去的情况下,根据物资流动过程中总量守恒建立等量关系式。总费用由N次订货总费用和总缺损费用两部分组成,而每次订货总费又由购物费、订货费、运输费、库存费四部分组成,再根据总生产量、总需求量等条件的约束,建立不等关系式。