基于过度自信的资本市场多期最优激励契约研究

在考虑经纪人过度自信变化的基础上,研究投资者与经纪人之间的多期激励契约．从行为金融学角度,建立经纪人过度自信的动态模型并指出其变化规律．应用委托-代理理论推导出资本市场的最优激励契约．分析经纪人过度自信及交易次数对最优激励契约的影响,给出了在无法观测到经纪人过度自信程度的条件下．投资者实际提供的契约与最优激励契约间的变化关系．     

The impact of risk attitude in new product development under dual information asymmetry

This paper investigates the impact of risk attitude on incentives and performances in a two-stage (research stage and development stage) new product development setting with one senior executive (she) and one project manager (he). The senior executive offers a wage contract to the project manager in the presence of dual information asymmetry including his unknown idea value of a new product in early research stage and unobservable effort to convert the idea into a product in later development stage. Due to the variability of technology and market, the subjective assessments about the idea value and the revenue generated by the product are characterized as uncertain variables. Within the framework of uncertainty theory, we first present four classes of uncertain principal agent models, and then derive their respective optimal wage contract mechanisms. We find that the structures of the senior executive’s optimal mechanisms depend on the project manager’s risk attitude. If the project manager becomes more conservative, the senior executive should set a low incentive term to avert risk. Otherwise, she should do the opposite. Moreover, we identify two values: the information value of the idea—how much the senior executive is willing to pay to acquire information regarding the project manager’s idea value, and the information value of the effort—how much the senior executive ensures to win when she can contract on the project manager’s effort. Our results show that acquiring the project manager’s idea information yields the highest potential when the project manager is aggressive, but in the case of contracting on his effort, the opposite appears to be true. The results also indicate that acquiring more information on an aggressive project manager’s idea always has higher impact on the senior executive’s profits than contracting on his effort. We also provide several interesting managerial insights in new product development through our analytical and simulation results.     

Customer satisfaction incentives with budget constraints

We study the design of incentive contracts based on customer satisfaction (CS) surveys with reward budget limits. We extend principal‐agent models to consider budget constraints, survey response rates, and correlation between CS measure and demand. We derive the optimal incentive contract and study the impacts of these factors on contract performance. In contrast to the common belief that customer future values are the drivers of CS incentives, we show that CS incentives can benefit principals even in a single‐period setting where customers bring no future value. Improvements can be achieved without increasing total reward, because the CS incentive program reveals additional information about agents' service effort and diversifies their risk. Such effects are overlooked in existing CS research. With consideration of correlation between sales and CS measures, we provide a metrics selection rule regarding which reward(s)—CS, sales commission, or both—should be included in an incentive plan. We also study cumulative incentive schemes based on commonly used average CS measures and show that such incentive schemes may fail to motivate agents to increase service effort. Therefore, designing proper reward schemes is a critical issue for effective CS management and deserves future research.     

Impacts of uncertain project duration and asymmetric risk sensitivity information in project management

This paper investigates the impacts of uncertain project duration and asymmetric risk sensitivity information on the structure of incentive contract and profits in project management where a risk‐neutral project manager (she) engages a risk‐averse contractor (he) to complete a project. The project manager offers a duration‐based incentive contract to the contractor to ensure that he invests his effort to shorten the project duration and reports his risk sensitivity information truthfully. Within the framework of principal‐agent theory, we first develop a duration‐based incentive contract model, and then derive the optimal contract mechanism by solving its equivalent optimal control problem with Pontryagin maximum principle. We show that if the contractor is highly risk averse and the project duration is highly volatile, the project manager should lower the penalty term to motivate the contractor to make duration‐reduction efforts. Moreover, comparing with the symmetric information scenario, we find that the project manager distorts the penalty term for all contractor's risk types (but the lowest) downward. Our results show that the project manager is more willing to acquire the contractor's risk sensitivity information under the uncertain project duration. The results also suggest that from the project manager's perspective, it is beneficial to have better information about the contractor's risk sensitivity by using a numerical analysis.     

A multilevel integrative approach to hospital case mix and capacity planning

Hospital case mix and capacity planning involves the decision making both on patient volumes that can be taken care of at a hospital and on resource requirements and capacity management. In this research, to advance both the hospital resource efficiency and the health care service level, a multilevel integrative approach to the planning problem is proposed on the basis of mathematical programming modeling and simulation analysis. It consists of three stages, namely the case mix planning phase, the master surgery scheduling phase and the operational performance evaluation phase. At the case mix planning phase, a hospital is assumed to choose the optimal patient mix and volume that can bring the maximum overall financial contribution under the given resource capacity. Then, in order to improve the patient service level potentially, the total expected bed shortage due to the variable length of stay of patients is minimized through reallocating the bed capacity and building balanced master surgery schedules at the master surgery scheduling phase. After that, the performance evaluation is carried out at the operational stage through simulation analysis, and a few effective operational policies are suggested and analyzed to enhance the trade-offs between resource efficiency and service level. The three stages are interacting and are combined in an iterative way to make sound decisions both on the patient case mix and on the resource allocation.     

Information Technology Investments: Characteristics, Choices, Market Risk and Value

The decisions confronting information technology (IT) managers have changed a great deal since the early 1970s. The key decisions three decades ago were related to the management of application development projects and operations centers. Today, the key decisions are quite different. What level of service should the firm provide end-users? Should IT services, development projects and the ownership and management of operations centers be outsourced? IT investments attempt to satisfy specific needs. Because of environmental differences and differences in the cost structure and benefits of alternative ways in which these needs can be met, the answers to these questions may differ across firms. Modern financial analysis can provide insights to help managers deal with many of the problems they currently face. We use modern financial theory to show how the value of IT investments can be affected by some of the choices made by managers. We show how the market risk of demand and the market risk of costs affect the market risk and value of IT investments. We consider three types of investment decisions: outsourcing versus in-house services; investments in interorganizational systems; and determining the optimal level of IT services that should be provided. Our analysis indicates that: (1) as the market risk of demand for operations decreases, firms are less likely to outsource operations; (2) the value of an investment in an interorganizational system increases as the market risk of costs increases; and (3) the optimal level of user service is inversely related to service demand risk and is directly related to the market risk of service costs.     

基于委托-代理模型的施工过程成本博弈

施工项目管理者的成本控制目标是,通过激励契约达到成本控制要求,提高成本控制效率.但是管理者运用激励机制控制单位产品成本具有片面性,没有考虑工人为了提高成本控制效率需要付出一定的精力和时间,从而影响其收益以及降低生产成本的积极性,因此,管理者和工人会围绕产品成本降低产生的收益分配形成动态成本博弈.对此,提出建设项目背景下基于单位时间的委托代理模型.通过分析发现:工人努力程度与激励系数呈非线性正相关;在一定范围内,工人的收益会随着努力程度的提高先增加并达到峰值后再减少;在工人努力程度达到最优时,管理者的收益会随激励系数的提高而增加并达到峰值.通过设置合理的激励系数能使管理者和工人的收益达到最优.最后以钢筋制作搭接工序为例,分析模型的可行性.     

A revised sales rebate contract with effort‐dependent demand: a channel coordination approach

In this paper, simultaneous coordination of order quantity and sales effort (SE) decisions in a supplier/retailer system with stochastic effort‐dependent demand is investigated. The main aim of the proposed model is to attain an optimal balance that results in a Pareto‐efficient solution for both channel members. A revised sales rebate (RSR) contract is developed to achieve channel coordination. In addition to the usual incentive approach of sales rebate schemes, a punitive approach is designed for the new proposed contract as a stockout penalty. Furthermore, some numerical experiments are examined to analyze the performance of the presented model under three decision‐making scenarios (i.e., decentralized, centralized, and RSR). Additionally, some in‐depth sensitivity analyses are conducted to examine the behavior of the supply chain performance under alteration of different parameters. The results show that the proposed RSR contract leads to channel coordination, while both channel members experience a Pareto improving situation. Moreover, it is proved that the RSR contract has significant potential on neutralizing adverse impacts of demand fluctuations on channel performance indicators.     

Market segmentation using service levels in data networks

The objective of this paper is to study a communication system based on aM ^(x)/ D/1 queueing system representing a cell-switch network like Asynchronous Transfer Mode (ATM) network. Network structure consists of a single link modeled as a batch arrival markovian queue with non-preemptive head of the line priority service. Network manager (NM) is assumed to be a decision maker at a Management Information System (MIS) department. This paper establishes the incentive compatible pricing which maximizes the net value of the overall corporation, while the delays have to satisfy the Quality of Service (QoS) guarantees. We obtain structural results for the two priority case in the short run. In equilibrium, we find that the network manager maximizes the price spread between the two priority class services. We prove that as the capacity level increases indefinitely, the market is equally divided among the priority classes. In the first part of the paper, we assume that the users do not respond to network manager’s prices. In the second part, we relax this assumption and look at a leader follower game. Users choose their willingness to pay by deciding on how much value they assign to timely transmission of messages after seeing the prices set by the network manager. Our results indicate that unless there is high enough capacity set upex ante, monopoly network provider cannot price discriminate by offering different quality of service via priority classes. This trade-off between ex ante capacity level choice and ex post price discrimination decision is eliminated if the capacity is set high. It is shown in the network literature that best effort services lead to lower quality of service, in general, for a single service. We show that this holds in multiple priority services as well. We prove that when the capacity is also considered as a decision variable, simultaneous capacity and price setting yields the same optimal level with sequential capacity and price choices.     

复杂多约束条件下航班除冰延误机理及资源优化配置

针对机场除冰运行存在的除冰航班延误频发、除冰资源使用粗放的问题,提出了考虑航班延误机理的除冰资源优化配置方法.研究了多参数综合影响的除冰效率及航班动态随机环境下的除冰排队延误机理.分析了除冰运行过程的复杂多约束条件,构建了以最小化除冰液消耗、除冰车需求和除冰延误架次为目标的飞机除冰资源多目标优化配置模型.利用自适应网格多目标粒子群算法求解模型并提出了基于多属性决策优化的除冰资源优化配置方法.除冰资源优化配置后除冰液消耗量、除冰车需求量、除冰延误架次相较于优化前分别降低了13.9%,12.8%, 19.3%.该方法为机场除冰运行资源优化提供了新思路.     

MSs-MEC中基于DRL的服务缓存和任务迁移联合优化算法

多服务移动边缘计算（multiple-services mobile edge computing,MSs-MEC）能根据需求自适应调整服务缓存决策,使得部署在用户侧的边缘服务器能够灵活处理不同服务类型的任务。但在实际应用中,特定类型任务的成功迁移依赖于服务环境的提前安装。此外,同时进行任务迁移和服务缓存可能会因时间冲突而导致计算延时。因此,针对上述相关问题,首先将任务迁移和服务缓存决策进行解耦,针对深度强化学习（deep reinforcement learning,DRL）在具有高维的混合决策空间的性能提升不明显的缺点（例如资源分配时利用率不高）,将DRL与Transformer结合,通过在历史数据中学习,输出当前时隙的任务迁移决策和下一时隙的任务决策,保证任务到达边缘服务器时能立即执行。其次,为了提高资源分配问题中的资源利用率,将问题分解为连续资源分配问题和离散的任务迁移与服务缓存问题,利用凸优化技术求解资源分配最优决策。广泛的数值结果表明,与其他基线算法相比,提出的算法能有效地减少任务的平均完成时延,同时在资源利用率和稳定性方面也有优异的表现。     

A conceptual approach for managing production in consideration of shifting electrical loads

The key concept of the smart grid is demand response for power consumption comprising actions taken by customers to reduce or shift electrical loads temporarily in response to requests from electric service providers. A demand response program offers time-based rates that allow customers to choose whether to adjust their consumption. In the manufacturing sector, production managers are likely to participate in a demand response program if they can schedule their production operations in response to electricity prices at peak times. The drum–buffer–rope (DBR) scheduling system in the theory of constraints (TOC) is a useful production operation method because it helps managers focus on effectively managing capacity based on the critical constraint that limits performance of the system. This paper presents a conceptual approach to managing production in consideration of shifting electrical loads in an effort to deal with the most expensive hours of the day. A DBR-based operation model is developed to determine the running time of production processes depending on power saving vs. throughput loss. Conceptual cases are prepared to demonstrate how a production manager can shift electrical loads in response to electricity prices.     

非对称信息下供应链库存系统Pareto优化模型

运用委托代理理论,研究了非对称信患条件下,由单供应商单分销商组成的供应链Pareto优化问题.在假定分销商所面临的需求是与销售价格有关的随机变量,以及供、销双方关于分销商销售价格信息不对称这两个前提下,将供应商作为委托人,分销商作为代理人,给出了供应商为吸引销售商选择对自己最有利的销售价格而设计的最优激励合同,比较了在不同信息条件下供销双方的最优决策.最后,给出了应用实例和灵敏度分析.     

需求信息不对称下的双渠道供应链合作广告投资决策分析

研究制造商主导的Stackelberg 博弈下双渠道供应链的合作广告策略, 分析信息不对称及双渠道对供应链合作广告投资决策的影响. 研究表明, 零售商在具有需求信息优势时会谎报需求信息, 并且在一定条件下其谎报决策会降低制造商的利润, 但能提高供应链的利润, 这种情况下制造商无法通过激励合同促使零售商共享信息. 另外, 在最优合作广告策略下, 当直销渠道与分销渠道所占市场份额的分配比例小于一定值时, 制造商采取双渠道会使供应链参与者均受益.

     

Tabu search based resource allocation in radiological examination process execution

Efficient resource scheduling and allocation in radiological examination process (REP) execution is a key requirement to improve patient throughput and radiological resource utilization and to manage unexpected events that occur when resource scheduling and allocation decisions change due to clinical needs. In this paper, a Tabu search based approach is presented to solve the resource scheduling and allocation problems in REP execution. The primary objective of the approach is to minimize a weighted sum of average examination flow time, average idle time of the resources, and delays. Unexpected events, i.e., emergent or absent examinations, are also considered. For certain parameter combinations, the optimal solution of radiological resource scheduling and allocation is found, while considering the limitations such as routing and resource constraints. Simulations in the application case are performed. Results show that the proposed approach makes efficient use of radiological resource capacity and improves the patient throughput in REP execution.     

Essential SMSs: developing a service management scheme for semiconductor factory management systems

A semiconductor factory contains hundreds of pieces of equipment. More reliable service by equipment managers is required to increase the utilization of equipment and improve product quality and yield. Therefore, developing a reliable service management scheme (SMS) for semiconductor factory management systems is essential. This study presents an SMS that applies Jini Technology and uses the design by contract technologies. The SMS has error-detecting and function-replacing capabilities. The SMS detects the malfunctioning of an equipment manager (service) and sends an event notice to the factory manager. The GEV in the SMS archives the credit values of all of the equipment managers so that the factory manager can select better equipment managers for service by checking their credit values. The illustrative example and the evaluation of the reliability improvement reveal that the proposed SMS provides an efficient, reliable, fault tolerant, and cost-effective mechanism for semiconductor factory management systems. Lastly, this illustrative example is successfully implemented and demonstrated and the core technology of SMS is transferred to and commercialized by Charming Systems Corporation.     

The impact of decision criteria on deadline-based incentive contracts in project management

This paper investigates the impact of decision criteria on incentives in a project management setting, where a project manager operates a project consisting of two tasks performed sequentially by two different subcontractors. The completion time is characterized as an uncertain variable, which depends on the subcontractor’s unobservable effort of each task. Within the framework of uncertainty theory, four classes of uncertain principal agent models are presented under the expected value criterion and the critical value criterion. According to the structural characteristics, each model can be decomposed into two equivalent sub-models, which can be solved to obtain the optimal deadline-based incentive contracts via a two-step optimization method. Further, the interconnections among these contracts are discussed. It’s demonstrated that the optimal deadline-based incentive contract depends on the confidence level of the party (either the project manager or the subcontractor) who adopts the critical value criterion. Meanwhile, the more conservative the subcontractor is, the higher the incentive coefficients will be. And the more conservative the project manager is, the lower the incentive coefficients will be. Finally, given some special confidence levels, it’s interesting to find that the four models can be equivalent.     

An examination of the decision styles of project managers: Evidence of significant diversity

It has been suggested that the manner in which a project manager makes decisions can significantly influence his or her effectiveness and ultimately the design of systems under his or her direction. Arguments for a structured, systematic approach, as well as arguments for a more well-rounded, ‘whole-brained’ approach have been made. However, it is perhaps more important to examine what project managers actually are. We surveyed a group of over 200 project managers from across the United States, attempting to measure their decision making styles, especially as they relate to project management activity. The survey not only identifies a person’s propensity towards a particular style of decision making, but also his or her propensity towards brain dominance, an idea or action orientation, and a preferred management level of decision making. The results of this study indicate that though each project manager is unique, as a group project managers are well-rounded and tend to solve problems utilizing a ‘whole-brained’ approach.     

Developing cooperation mechanism for multi-agent systems with Petri nets

Although the contract net protocol answers some of the questions in cooperative distributed problem solving (CDPS), it raises many others that CDPS researchers are still trying to answer. In contract net protocol, an agent may play the role of a manager or a bidder. Without a coordination mechanism, a manager may acquire excessive resources from the bidders in forming a collaborative network to execute the assigned task and thus hinder the progress of the tasks assigned to other managers due to resource contention. As a result, application of contract net protocol may not always lead to feasible solutions to accomplish tasks effectively. As a general framework for exchanging messages, the original contract net protocol does not prescribe how agents should cooperate. How to develop a collaborative mechanism to effectively perform the tasks is an important issue. This paper aims to improve the insufficiency of the contract net by developing a mechanism to facilitate cooperation of agents to accomplish their tasks while avoiding undesirable states and enhance the overall system performance in manufacturing systems. To achieve these objectives, detail process models about how agents accomplish their tasks are required. Due to the advantages in modeling concurrent, synchronous and/or asynchronous activities, Petri nets are adopted in this paper. Based on Petri net models, we study the information needed for agents to make cooperative decisions, mechanism to make agents cooperate, and how to enhance the performance in the system level by taking advantage of the agents’ cooperation capabilities. To characterize the condition for cooperation, we represent the collaborative networks formed based on the contract net protocol with Petri nets and then find the condition for a collaborative network to be feasible. The feasible condition also serves as a condition for the development of cooperation mechanism for managers. We propose a cooperation mechanism based on the idea of resource donation, including unilateral resource donation and reciprocal resource donation. Implementation architecture has also been proposed to realize our methodology.     

eMediator: A Next Generation Electronic Commerce Server

This paper presents eMediator , an electronic commerce server prototype that demonstrates ways in which algorithmic support and game–theoretic incentive engineering can jointly improve the efficiency of e–commerce. eAuctionHouse , the configurable auction server, includes a variety of generalized combinatorial auctions and exchanges, pricing schemes, bidding languages, mobile agents, and user support for choosing an auction type. We introduce two new logical bidding languages for combinatorial markets: the XOR bidding language and the OR–of–XORs bidding language. Unlike the traditional OR bidding language, these are fully expressive. They therefore enable the use of the Clarke–Groves pricing mechanism for motivating the bidders to bid truthfully. eAuctionHouse also supports supply/demand curve bidding. eCommitter , the leveled commitment contract optimizer, determines the optimal contract price and decommitting penalties for a variety of leveled commitment contracting mechanisms, taking into account that rational agents will decommit strategically in Nash equilibrium. It also determines the optimal decommitting strategies for any given leveled commitment contract. eExchangeHouse , the safe exchange planner, enables unenforced anonymous exchanges by dividing the exchange into chunks and sequencing those chunks to be delivered safely in alternation between the buyer and the seller.