Change search
Refine search result
1 - 12 of 12
CiteExportLink to result list
Permanent link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Rows per page
  • 5
  • 10
  • 20
  • 50
  • 100
  • 250
Sort
  • Standard (Relevance)
  • Author A-Ö
  • Author Ö-A
  • Title A-Ö
  • Title Ö-A
  • Publication type A-Ö
  • Publication type Ö-A
  • Issued (Oldest first)
  • Issued (Newest first)
  • Created (Oldest first)
  • Created (Newest first)
  • Last updated (Oldest first)
  • Last updated (Newest first)
  • Disputation date (earliest first)
  • Disputation date (latest first)
  • Standard (Relevance)
  • Author A-Ö
  • Author Ö-A
  • Title A-Ö
  • Title Ö-A
  • Publication type A-Ö
  • Publication type Ö-A
  • Issued (Oldest first)
  • Issued (Newest first)
  • Created (Oldest first)
  • Created (Newest first)
  • Last updated (Oldest first)
  • Last updated (Newest first)
  • Disputation date (earliest first)
  • Disputation date (latest first)
Select
The maximal number of hits you can export is 250. When you want to export more records please use the Create feeds function.
  • 1. Berling, Peter
    et al.
    Eng-Larsson, Fredrik
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Environmental implications of transport contract choice - capacity investment and pricing under volume and capacity contracts2017In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 261, no 1, p. 129-142Article in journal (Refereed)
    Abstract [en]

    Inspired by the observation that capacity contracts are used by some retailers to increase their transport provider's investments in green transport solutions, we investigate and compare a service provider's optimal investment, and its environmental implications under a volume and a capacity contract respectively. We solve the service provider's investment problem under the assumption that the retailer uses the service to replenish a warehouse with storable goods. We then show that a capacity contract leads to more green transports, but not necessarily a larger investment in green transport solutions. At the same time, the optimal solution involves heavy investment in inventory at the retailer. The investment in inventory is non-decreasing in the cost benefit of the green transports, which may have a significant negative environmental impact. The implication is that a capacity contract will lead to better environmental performance than a volume contract only when the green transports' cost benefit is within a given interval. Whether the capacity contract is the more profitable option for the service provider within this interval depends on inventory related costs and the relative environmental costs from transportation and inventory. Interestingly, owing to this, regulation that target the price of the conventional vehicles, such as a carbon tax, may lead to both an increase or a decrease in environmental performance.

  • 2.
    Bodnar, Taras
    et al.
    Stockholm University, Faculty of Science, Department of Mathematics.
    Mazur, Stepan
    Okhrin, Yarema
    Bayesian estimation of the global minimum variance portfolio2017In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 256, no 1, p. 292-307Article in journal (Refereed)
    Abstract [en]

    In this paper we consider the estimation of the weights of optimal portfolios from the Bayesian point of view under the assumption that the conditional distributions of the logarithmic returns are normal. Using the standard priors for the mean vector and the covariance matrix, we derive the posterior distributions for the weights of the global minimum variance portfolio. Moreover, we reparameterize the model to allow informative and non-informative priors directly for the weights of the global minimum variance portfolio. The posterior distributions of the portfolio weights are derived in explicit form for almost all models. The models are compared by using the coverage probabilities of credible intervals. In an empirical study we analyze the posterior densities of the weights of an international portfolio.

  • 3.
    Bodnar, Taras
    et al.
    Stockholm University, Faculty of Science, Department of Mathematics.
    Parolya, Nestor
    Schmid, Wolfgang
    Estimation of the global minimum variance portfolio in high dimensions2018In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 266, no 1, p. 371-390Article in journal (Refereed)
    Abstract [en]

    We estimate the global minimum variance (GMV) portfolio in the high-dimensional case using results from random matrix theory. This approach leads to a shrinkage-type estimator which is distribution-free and optimal in the sense of minimizing the out-of-sample variance. Its asymptotic properties are investigated assuming that the number of assets p depends on the sample size n such that p/n -> c is an element of (0, + infinity) as n tends to infinity. The results are obtained under weak assumptions imposed on the distribution of the asset returns: only the existence of the fourth moments is required. Furthermore, we make no assumption on the upper bound of the spectrum of the covariance matrix. As a result, the theoretical findings are also valid if the dependencies between the asset returns are described by a factor model which appears to be very popular in the financial literature nowadays. This is also documented in a numerical study where the small- and large-sample behavior of the derived estimator is compared with existing estimators of the GMV portfolio. The resulting estimator shows significant improvements and it turns out to be robust if the assumption of normality is violated.

  • 4.
    Bodnar, Taras
    et al.
    Stockholm University, Faculty of Science, Department of Mathematics.
    Parolya, Nestor
    Schmid, Wolfgang
    On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability2015In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 246, no 2, p. 528-542Article in journal (Refereed)
    Abstract [en]

    In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint random process of the asset returns and the predictable variables follow a vector autoregressive process. We prove that the optimal portfolio weights depend on the covariance matrices of the next two periods and the conditional mean vector of the next period. The case without predictable variables and the case of independent asset returns are partial cases of our solution. Furthermore, we provide an exhaustive empirical study where the cumulative empirical distribution function of the investor's wealth is calculated using the exact solution. It is compared with the investment strategy obtained under the additional assumption that the asset returns are independently distributed.

  • 5. Boonman, Hettie J.
    et al.
    Siddiqui, Afzal S.
    Stockholm University, Faculty of Social Sciences, Department of Computer and Systems Sciences. University College London, UK; HEC Montréal, Canada.
    Capacity optimization under uncertainty: The impact of operational time lags2017In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 262, no 2, p. 660-672Article in journal (Refereed)
    Abstract [en]

    Time lags in switching operational modes are typical in the manufacturing and power sectors but are not treated in most real options models. In this paper, we consider a firm that has the opportunity to suspend and to resume production infinitely many times subject to a time lag after each startup decision. We contribute to the literature by allowing the firm to determine its level of installed capacity in conjunction with its optimal investment timing. We find that an increase in the length of the time lag results in an increase in the optimal capacity level. Capacity optimization also interacts with the length of the time lag to affect investment timing and the triggers to suspend and resume production, thereby weakening the result about hysteresis from a standard real options model. Under the assumption of a fixed level of capacity, a longer lag speeds up the decision to resume operations due to a positive upside to the revenue but delays the suspension of operations. By contrast, with capacity optimization, a longer time lag results in a larger capacity choice, which can indirectly delay the investment decision and the timing to resume operations. This indirect effect dominates when the level of market uncertainty is low and the time lag is initially small.

  • 6. Chronopoulos, Michail
    et al.
    De Reyck, Bert
    Siddiqui, Afzal
    Stockholm University, Faculty of Social Sciences, Department of Computer and Systems Sciences. University of London, England.
    Duopolistic competition under risk aversion and uncertainty2014In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 236, no 2, p. 643-656Article in journal (Refereed)
    Abstract [en]

    A monopolist typically defers entry into an industry as both price uncertainty and the level of risk aversion increase. By contrast, the presence of a rival typically hastens entry under risk neutrality. Here, we examine these two opposing effects in a duopoly setting. We demonstrate that the value of a firm and its entry decision behave differently with risk aversion and uncertainty depending on the type of competition. Interestingly, if the leader's role is defined endogenously, then higher uncertainty makes her relatively better off, whereas with the roles exogenously defined, the impact of uncertainty is ambiguous.

  • 7. Chronopoulos, Michail
    et al.
    De Reyck, Bert
    Siddiqui, Afzal
    Stockholm University, Faculty of Social Sciences, Department of Computer and Systems Sciences.
    Optimal investment under operational flexibility, risk aversion, and uncertainty2011In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 213, no 1, p. 221-237Article in journal (Refereed)
    Abstract [en]

    Traditional real options analysis addresses the problem of investment under uncertainty assuming a risk-neutral decision maker and complete markets. In reality, however, decision makers are often risk averse and markets are incomplete. We confirm that risk aversion lowers the probability of investment and demonstrate how this effect can be mitigated by incorporating operational flexibility in the form of embedded suspension and resumption options. Although such options facilitate investment, we find that the likelihood of investing is still lower compared to the risk-neutral case. Risk aversion also increases the likelihood that the project will be abandoned, although this effect is less pronounced. Finally, we illustrate the impact of risk aversion on the optimal suspension and resumption thresholds and the interaction among risk aversion, volatility, and optimal decision thresholds under complete operational flexibility.

  • 8.
    Danielson, Mats
    Stockholm University, Faculty of Social Sciences, Department of Computer and Systems Sciences.
    Generalized Evaluation in Decision Analysis2005In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 162, no 2, p. 442-449Article in journal (Refereed)
    Abstract [en]

    The paper presents a discussion on evaluation methods in decision analysis. The presentation begins with the discussion of the expected value rule for selection amongst a number of available courses of action. Then a number of other evaluation rules to either replace or supplement the expected value are presented. They are discussed from a choice rather than preference view. To improve the expected value rule (or any other similar rule), it is suggested that it should be supplemented with other, qualitative rules rather than engaging in further modifications in pursuit of the perfect rule. A characteristic of qualitative rules is that they do not rely on multiplying probabilities and values but treat them as separate numeric entities. Once a rule has been agreed upon, it can be applied to all the alternatives, provided there is a computational procedure for evaluating the alternatives under that rule. Delta dominance is introduced as a unifying concept for many of the dominance rules in current use. Dominance and threshold methods are discussed and the kinship between them is pointed out.

  • 9.
    Hartman, Thomas
    et al.
    Stockholm University, Faculty of Social Sciences. Stockholm University. Stockholm University, Faculty of Social Sciences, School of Business.
    Storbeck, James, E.
    University of Texas at Brownsville .
    Byrnes, Patricia
    Allocative Efficiency in Branch Banking2001In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 134, no 2, p. 232-242Article in journal (Refereed)
    Abstract [en]

    Bank branch efficiency and organization change is analyzed using data from 50 savings bank branches in Sweden. First, technical and allocative efficiencies are analyzed, using non-priced and priced inputs. Secondly, by grouping the branches according to their organizational designation, efficiency is examined by level of service. Trends in performance over two time periods are also analyzed.

  • 10.
    Siddiqui, Afzal S.
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Computer and Systems Sciences. University College London, UK.
    Tanaka, Makoto
    Chen, Yihsu
    Are Targets for Renewable Portfolio Standards Too Low? The Impact of Market Structure on Energy Policy2016In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 250, no 1, p. 328-341Article in journal (Refereed)
    Abstract [en]

    In order to limit climate change from greenhouse gas emissions, governments have introduced renewable portfolio standards (RPS) to incentivise renewable energy production. While the response of industry to exogenous RPS targets has been addressed in the literature, setting RPS targets from a policymaker's perspective has remained an open question. Using a bi-level model, we prove that the optimal RPS target for a perfectly competitive electricity industry is higher than that for a benchmark centrally planned one. Allowing for market power by the non-renewable energy sector within a deregulated industry lowers the RPS target vis-a-vis perfect competition. Moreover, to our surprise, social welfare under perfect competition with RPS is lower than that when the non-renewable energy sector exercises market power. In effect, by subsidising renewable energy and taxing the non-renewable sector, RPS represents an economic distortion that over-compensates damage from emissions. Thus, perfect competition with RPS results in "too much" renewable energy output, whereas the market power of the non-renewable energy sector mitigates this distortion, albeit at the cost of lower consumer surplus and higher emissions. Hence, ignoring the interaction between RPS requirements and the market structure could lead to sub-optimal RPS targets and substantial welfare losses.

  • 11.
    Siddiqui, Afzal S.
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Computer and Systems Sciences. University College London, United Kingdom.
    Tanaka, Makoto
    Chen, Yihsu
    Sustainable transmission planning in imperfectly competitive electricity industries: Balancing economic and environmental outcomes2019In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 275, no 1, p. 208-223Article in journal (Refereed)
    Abstract [en]

    We explore the role of a transmission system operator (TSO) that builds a transmission line to accommodate renewable energy in order to lower emissions as required by government policy. In contrast to central planning, a TSO in a deregulated electricity industry can only indirectly influence outcomes through its choice of the transmission line capacity. Via a bi-level model, we show that this results in less transmission capacity and with limited emissions control in a perfectly competitive industry vis-a-vis a benchmark centrally planned system. A carbon charge on industry that fully accounts for the cost of pollution damage leads to a perfect alignment of incentives and maximised social welfare only under perfect competition. By contrast, a carbon charge may actually lower social welfare under a Cournot oligopoly as the resulting reduction in consumption facilitates the further exercise of market power.

  • 12.
    Siddiqui, Afzal
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Computer and Systems Sciences.
    Takashima, Ryuta
    Capacity switching options under rivalry and uncertainty2012In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 222, no 3, p. 583-595Article in journal (Refereed)
    Abstract [en]

    Deregulated infrastructure industries exhibit stiff competition for market share. Firms may be able to limit the effects of competition by launching new projects in stages. Using a two-stage real options model, we explore the value of such flexibility. We first demonstrate that the value of investing in a sequential manner for a monopolist is positive but decreases with uncertainty. Next, we find that a typical duopoly firm's value relative to a monopolist's decreases with uncertainty as long as the loss in market share is high. Intriguingly, this result is reversed for a low loss in market share. We finally show that this loss in value is reduced if a firm invests in a sequential manner and specify the conditions under which sequential capacity expansion is more valuable for a duopolist firm than for a monopolist.

1 - 12 of 12
CiteExportLink to result list
Permanent link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf