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on Computational Economics |
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Issue of 2007‒06‒18
six papers chosen by |
| By: | Larsen, Christian (Department of Business Studies, Aarhus School of Business) |
| Abstract: | We develop an algorithm to compute an optimal Q(s,S) policy for the joint replenishment problem when demands follow a compound correlated Poisson process. It is a non-trivial generalization of the work by Nielsen and Larsen (2005). We make some numerical analyses on two-item problems where we compare the optimal Q(s,S) policy to the optimal uncoordinated (s,S) policies. The results indicate that the more negative the correlation the less advantageous it is to coordinate. Therefore, in some cases the degree of correlation determines whether to apply the coordinated Q(s,S) policy or the uncoordinated (s,S) policies. Finally, we compare the Q(s,S) policy and the closely connected P(s,S) policy. Here we explain why the Q(s,S) policy is a better choice if item-demands are correlated. |
| Keywords: | joint replenishment problem; compound correlated Poisson process |
| Date: | 2007–01–04 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:aarbls:2007-001&r=cmp |
| By: | Dalila B. M. M. Fontes (Faculdade de Economia da Universidade do Porto, Portugal) |
| Abstract: | In this work, we address the problem of finding a minimum cost spanning tree on a single source flow network. The tree must span all vertices in the given network and satisfy customer demands at a minimum cost. The total cost is given by the summation of the arc setup costs and of the nonlinear flow routing costs over all used arcs. Furthermore, we restrict the trees of interest by imposing a maximum number of arcs on the longest arc emanating from the single source vertex. We propose a dynamic programming model an solution procedure to solve this problem exactly. Intensive computational experiments were performed using randomly generated test problems and the results obtained are reported. From them we can conclude that the method performance is independent of the type of cost functions considered and improves with the tightness of the constrains. |
| Keywords: | Dynamic programming, network flows, constrained trees, general nonlinear costs |
| JEL: | C61 |
| Date: | 2007–06 |
| URL: | http://d.repec.org/n?u=RePEc:por:fepwps:243&r=cmp |
| By: | Pretolani, Daniele (Department of Sciences and Methods of Engineering); Nielsen, Lars Relund (Research Unit of Statistics and Decision Analysis); Andersen, Kim Allan (Department of Business Studies, Aarhus School of Business) |
| Abstract: | In a recent paper, Opasanon and Miller-Hooks study multicriteria adaptive paths in <p> stochastic time-varying networks. They propose a label correcting algorithm for finding the full set of efficient strategies. In this note we show that their algorithm is not correct, since it is based on a property that does not hold in general. Opasanon and Miller-Hooks also propose an algorithm for solving a parametric problem. We give a simplified algorithm which is linear in the input size. |
| Keywords: | Multiple objective programming; shortest paths; stochastic time-dependent networks; time-adaptive strategies |
| Date: | 2006–11–17 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:aarbls:2006-011&r=cmp |
| By: | Møller, Peder Fredslund (Department of Accounting, Aarhus School of Business) |
| Abstract: | This paper shows that settlement-date accounting for equity share options can be seen as an accounting method which implements a shareholder focused residually rewarded partners’ equity view. This equity view represents a simple, natural extension of the shareholder proprietary view. It implicates an equity and income sharing model for accounting which is characterized by specification of both shareholders’ and non-shareholders’ parts of total equity and income. When using this equity and income sharing model, the remeasurements of equity share option obligations made by settlement-date accounting are fully conceptually valid. They represent measurements of one partner group’s share of total equity with effect for another group’s share of total equity and income: the shareholders’ part. Partially, this equity and income sharing model is already the basis for existing accounting standards. <p> It is shown that an intriguing implication of the equity and income sharing model is the fact that treasury shares can hedge present shareholders’ share price risk from the obligation to holders of equity share options. A special hedge accounting construct is needed to account for this hedge effect, and the construct of this model is shown. Numerical simulations are used to illustrate the long run expense effects for shareholders from equity share options by settlement-date accounting both when the expense effects are unhedged and when they are hedged with treasury share holdings. The results demonstrate that the expenses resulting from settlement-date accounting for equity share option awards are significantly higher on average than the expenses resulting from grant-date accounting. And they show that the cost of equity, the share price volatility and the lifetime of the equity share options are important determinants for the size of the differences in total expenses, which in a long run perspective is to be expected from the use of these two alternative accounting models for equity share options. The simulation results demonstrate that hedging with treasury share holdings is very effective to stabilize expenses resulting from options granted to employees |
| Keywords: | No keywords; |
| Date: | 2006–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:aarbfr:2006-001&r=cmp |
| By: | Jørgensen, Peter Løchte (Department of Business Studies, Aarhus School of Business) |
| Abstract: | This paper analyzes an explicit return smoothing mechanism which has recently been <p> introduced as part of a new type of pension savings contract that has been offered by Danish life insurers. We establish the payoff function implied by the return smoothing mechanism and show that its probabilistic properties are accurately approximated by a suitably adapted lognormal distribution. The quality of the lognormal approximation is explored via a range of simulation based numerical experiments, and we point to several other potential practical applications of the paper’s theoretical results. |
| Keywords: | Account-based pension schemes; return smoothing; payoff distributions; density approximation; Monte Carlo simulation; Asian options |
| Date: | 2006–11–21 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:aarbfi:2006-09&r=cmp |
| By: | Nils Boysen (Universität Hamburg, Institut für Industrielles Management); Malte Fliedner (Universität Hamburg, Institut für Industrielles Management); Armin Scholl (University of Jena, Faculty of Economics) |
| Abstract: | Production processes in a wide range of industries rely on modern mixed-model assembly systems, which allow an efficient manufacture of various models of a common base product on the same assembly line. In order to facilitate a just-in-time supply of materials, the literature proposes various sequencing problems under the term "level scheduling", which all aim at evenly smoothing the part consumption induced by the production sequence over time. Among these approaches, the popular Product Rate Variation (PRV) problem is considered to be an appropriate approximate model, if either (i) all products require approximately the same number and mix of parts or (ii) part usages of all products are (almost completely) distinct. These statements are (iii) further specified by analytical findings, which prove the equivalence of product and material oriented level scheduling under certain conditions. These three prerequisites commonly cited in the literature when justifying the practical relevance of the PRV are evaluated by means of simple computational experiments and are then discussed with regard to their relevance in practical settings. It is concluded that the PRV is in fact inappropriate for use in today's real-world mixed-model assembly systems. |
| Keywords: | Mixed-model assembly lines, Sequencing, Level scheduling, Product Rate Variation problem |
| Date: | 2007–06–12 |
| URL: | http://d.repec.org/n?u=RePEc:jen:jenjbe:2007-11&r=cmp |