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IMA Journal of Management Mathematics Volume 29 Issue 1

Subject Areas: Management Information Systems; ; ; ; ; ; ; ;
Publisher: Oxford University Press - Oxford University Press
ISSN: 1471-678X
SJR: 36

LitStream

Journal Article

On the existence of unique minimum for the cost function in a (Q,R) inventory model with backorders

Halkos, George E; Kevork, Ilias S; Tziourtzioumis, Christos N.

2018 IMA Journal of Management Mathematics

doi:10.1093/imaman/dpw010

Abstract For a continuous review inventory model with non-negative reorder point and fixed lead-time, we investigate the minimization process of the Hadley–Whitin’s cost function. Assuming that the lead-time demand is described by unimodal distributions satisfying specific assumptions, an...
LitStream

Journal Article

A theory of misperception in a stochastic dominance framework and its application to structured financial products

Castellano, Rosella; Cerqueti, Roy

2018 IMA Journal of Management Mathematics

doi:10.1093/imaman/dpw007

Abstract We study the mechanism of misperception that leads retail investors to investment choices which are not the most profitable. This mechanism is studied in a stochastic dominance framework from a theoretical perspective and supported by an extensive numerical analysis. Our theoretical...
LitStream

Journal Article

A shifted tree model for the efficient evaluation of options with fixed dividends

Costabile, Massimo; Massabò, Ivar; Russo, Emilio

2018 IMA Journal of Management Mathematics

doi:10.1093/imaman/dpw002

Abstract We consider the problem of evaluating options on a dividend-paying asset by means of a trinomial latticebased model.We propose a suitable construction of the lattice that guarantees the reconnecting property and so keeps the computational cost of the proposed algorithm to a reasonable...
LitStream

Journal Article

Analysis of dynamic reliability surveillance: a case study

Fernández, J. F. Gómez; Olivencia, F.; Ferrero, J.; Márquez, A. Crespo; García, G. Cerruela

2018 IMA Journal of Management Mathematics

doi:10.1093/imaman/dpw011

Abstract In this paper a reliability model based on artificial neural networks and the generalized renewal process is developed. The model is used for failure prediction, and is able to dynamically adapt to changes in the operating and environmental conditions of assets. The model is implemented...
LitStream

Journal Article

Approaches to designing the revenue sharing contract under asymmetric cost information

Nosoohi, Iman; Nookabadi, Ali Shahandeh

2018 IMA Journal of Management Mathematics

doi:10.1093/imaman/dpw013

Abstract We investigate different approaches to designing price-only and revenue sharing (RS) contracts between a manufacturer and a newsvendor retailer in the case of asymmetric cost information. The manufacturer, i.e. contract designer, has $$N$$ estimations about the retailer’s cost with the...
LitStream

Journal Article

Pricing dynamic fund protection under hidden Markov models

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming

2018 IMA Journal of Management Mathematics

doi:10.1093/imaman/dpw014

Abstract In this article, we discuss the pricing of dynamic fund protection when the value process of the investment fund is governed by a geometric Brownian motion with parameters modulated by a continuous-time, finite-state hidden Markov chain. Under a risk-neutral probability measure, selected...
LitStream

Journal Article

Bi-criteria scheduling against restrictive common due dates using a multi-objective differential evolution algorithm

Giannopoulos, Nikos; Nearchou, Andreas C.

2018 IMA Journal of Management Mathematics

doi:10.1093/imaman/dpw015

Abstract Consideration is given to the single-machine early/tardy scheduling problem (SMETP). This type of scheduling sets costs (penalties) depending on whether a job finished before or after a specified common due date. Two optimization criteria are simultaneously considered for minimization:...

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