or practice selecting a portfolio of environmental programs for a synthetic fuels facility this article describes how a u s department of energy steering committee used a decision analysis procedure to develop a portfolio of environmental and health research programs for a commercial scale synthetic fuels facility the procedure used information and insights from decision analyses conducted in five technical areas to support decision analysis at the portfolio level the problem was complex because it included many combinations of studies that could be funded multiple objectives in the five technical areas as well as at the portfolio level and uncertainties about research needs the availability of technical data and research costs the article discusses the rationale for using formal decision analysis the main features of the procedure and how the procedure provided the steering committee with a logical basis for evaluating a large number of diverse technical projects and with the help of health and environmental experts established research priorities and budget allocations in a logical and defensible manner

baseline value specification and sensitivity analysis in multiattribute project portfolio selection abstract a key issue in applying multi attribute project portfolio models is specifying the baseline value a parameter which defines how valuable not implementing a project is relative to the range of possible project values in this paper we present novel baseline value specification techniques which admit incomplete preference statements and unlike existing techniques make it possible to model problems where the decision maker would prefer to implement a project with the least preferred performance level in each attribute furthermore we develop computational methods for identifying the optimal portfolios and the value to cost based project rankings for all baseline values we also show how these results can be used to i analyze how sensitive project and portfolio decision recommendations are to variations in the baseline value and ii provide project decision recommendations in a situation where only incomplete information about the baseline value is available

bulls bears and market sheep abstract a deterministic excess demand model of stock market behavior is presented that generates stochastically fluctuating prices and randomly switching bear and bull markets

towards an attention based view of the firm the central argument is that firm behavior is the result of how firms channel and distribute the attention of their decision makers what decision makers do depends on what issues and answers they focus their attention on what issues and answers they focus on depends on the specific situation and on how the firm s rules resources and relationships distribute various issues answers and decision makers into specific communications and procedures the paper develops these theoretical principles into a model of firm behavior and presents its implications for explaining firm behavior and adaptation 1997 by john wiley sons ltd

international portfolio choice and political instability risk a multi objective approach abstract the benefits derived from international portfolio diversification into foreign nations including the less developed countries are well documented yet this practice is discouraged due to market imperfections such as political instability in practice nations may be differentiated further by many aspects such as border controls or political and social trends which constrain private transactions and financial decisions this paper attempts to examine 1 whether the home asset bias in a portfolio holding is associated with higher political instability risk and 2 to what extent international diversification among stocks in the presence of such risk outperforms domestic stock portfolios using alternative instability risk proxies in the context of a discrete time version of mean variance framework we corroborate the impact of this type of risk on international portfolio investment decisions

bayesian portfolio selection with multi variate random variance models we consider multi period portfolio selection problems for a decision maker with a specified utility function when the variance of security returns is described by a discrete time stochastic model the solution of these problems involves a dynamic programming formulation and backward induction we present a simulation based method to solve these problems adopting an approach which replaces the preposterior analysis by a surface fitting based optimization approach we provide examples to illustrate the implementation of our approach

portfolio optimization with stochastic dominance constraints abstract we consider the problem of constructing a portfolio of finitely many assets whose return rates are described by a discrete joint distribution we propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return rate we develop optimality and duality theory for these models we construct equivalent optimization models with utility functions numerical illustration is provided

interactions between stock bond and housing markets abstract we develop a model in which investors can participate in stock bond and housing markets investors market entry decisions are subject to herding effects and depend on the markets price trends and on their mispricings the dynamics of our model is governed by a four dimensional nonlinear map and its unique inner steady state is characterized by standard present value relations between dividends rents and the bond rate amongst other things we show that endogenous stock and housing market dynamics emerge countercyclical to each other if investors react strongly to the markets price trends such a cross feedback reflects investors tendency to transfer their enthusiasm from one speculative market to another

a dynamic analysis of moving average rules abstract the use of various moving average ma rules remains popular with financial market practitioners these rules have recently become the focus of a number empirical studies but there have been very few studies of financial market models where some agents employ technical trading rules of the type used in practice in this paper we propose a dynamic financial market model in which demand for traded assets has both a fundamentalist and a chartist component the chartist demand is governed by the difference between current price and a long run ma both types of traders are boundedly rational in the sense that based on a fitness measure such as realized capital gains traders switch from a strategy with low fitness to the one with high fitness we characterize the stability and bifurcation properties of the underlying deterministic model via the reaction coefficient of the fundamentalists the extrapolation rate of the chartists and the lag length used for the ma by increasing the intensity of choice to switching strategies we then examine various rational routes to randomness for different ma rules the price dynamics of the ma rule are also examined and one of our main findings is that an increase of the window length of the ma rule can destabilize an otherwise stable system leading to more complicated even chaotic behaviour the analysis of the corresponding stochastic model is able to explain various market price phenomena including temporary bubbles sudden market crashes price resistance and price switching between different levels

variable base budgeting for r d an issue of theoretical and practical importance to r d managers is the proper allocation of an organization s resources between the periodic selection and budgeting of r d projects and the implementation of these projects one possibility is to consider previous allocations as an established base and to restrict the attention of r d managers to an examination of any subsequent deviations from the base the advantage of this strategy often called incremental budgeting is that it focuses managerial and analytical efforts on a few current decisions a second possibility called zero base budgeting is to ignore previous allocations and to reexamine all feasible alternatives at the start of each budget cycle this paper presents three models a static model and two dynamic models in which incremental and zero base allocation procedures are viewed as extremes between which there may be a point of diminishing returns the models are risk return models in which a total budget is allocated between the budgeting effort which reduces risk and the budgeted activities which increase expected return the budget for each activity during each time stage is partitioned into two components a base and an increment the expected return for each activity is a concave increasing function of its budget and the risk depends quadratically on the base and in a geometrically decreasing fashion on the bases in previous stages the cost of evaluation is proportional to the increment and the total cost of all activities when added to the budgets for the activities cannot exceed a fixed total budget zero base budgeting means setting the base to zero so that the budget equals the increment plus the cost of evaluation it is shown that a policy of zero base budgeting during all time stages is nonoptimal but an instance of zero base budgeting during a single stage may be optimal

unemployment insurance and male unemployment duration in canada a model of unemployment duration is estimated with weekly micro data on canadian men entitlement provisions in the unemployment insurance program and demand conditions are found to have a significant effect on the probability of leaving unemployment the probability of a worker leaving unemployment declines with the duration of unemployment holding unemployment insurance entitlement constant when entitlement is allowed to vary the probability of leaving first falls and then generally rises with unemployment duration these results are robust with respect to allowing for person specific unobserved heterogeneity and alternative specifications of duration dependence

a bivariate duration model for job mobility of two earner households abstract in recent years we have observed an increasing interest in the job mobility patterns of employed persons a new issue in this context is the mutual dependence of job mobility choice of workers who belong to the same household in the present paper we focus on bivariate duration models of stock sampled data in which dependence is induced through mixing we apply the estimation method on the basis of an empirical study on the mutual dependence of job mobility of workers belonging to a two earner household in the netherlands an interesting empirical result is that the marginal willingness to pay for a reduction in commuting time in a two wage earner household is higher than that usually found for single earner workers

modeling project preferences in multiattribute portfolio decision analysis abstract when choosing a portfolio of projects with a multi attribute weighting model it is necessary to elicit trade off statements about how important these attributes are relative to each other such statements correspond to weight constraints and thus impact on which project portfolios are potentially optimal or non dominated in view of the resulting set of feasible attribute weights in this paper we extend earlier preference elicitation approaches by allowing the decision maker to make direct statements about the selection and rejection of individual projects we convert such project preference statements to weight information by determining the weights for which i the selected project is included in all potentially optimal or non dominated portfolios or ii the rejected project is not included in any potentially optimal or non dominated portfolio we prove that the two complementary selection rules will exclude exactly the same set of weights however analyses that apply the dominance structure often lead to multiple mutually exclusive feasible weight sets and therefore the approach based on potential optimality is more relevant for practical decision analysis we also propose ex ante value of information measures to guide the elicitation of project preference statements and illustrate our results by analyzing a real case on the selection of infrastructure maintenance projects

the decline in male labor force participation comment in an article in thisjournal parsons 1980a analyzes the doubling in the rate of nonparticipation in the labor force of older men since 1946 using cross sectional data from the national longitudinal survey parnes et al 1970 in an index function model of the labor force participation decision he tests the assertion that the withdrawal of older males is attributable to the rapid expansion of alternatives to work provided by the social security disability insurance ssdi program he reports an elasticity of nonparticipation with respect to the replacement rate of ssdi benefits of 631 and concludes that the recent decline in labor force participation can be largely explained by the increased generosity of social welfare transfers particularly social security disability payments p 130 the magnitude of parsons s estimate and its impact on the public debate over disability transfer policy require careful scrutiny of its basis in section i we describe parsons s econometric model and construction of variables in section ii we provide a critique in section iii we test the robustness of parsons s elasticity estimate by presenting alternative estimates based on corrections and extensions of his basic model section iv concludes

a portfolio model for siting offshore wind farms with economic and environmental objectives abstract siting offshore wind farms is a complex problem due to the wake interactions between wind farms we develop a profit maximizing portfolio model based on underlying network models to track the wake effects through a series of wind farms our portfolio model optimizes the siting of wind farms considering multiple wind directions and wind speeds and performs better than simple decision heuristics excluding sites from the portfolio has nonlinear impacts on the profitability of the portfolio of sites in that areas excluded from consideration have greater impacts on profit if they are grouped together or aligned parallel to the prevailing wind direction the model can be readily adapted to include additional cost factors

bayesian portfolio selection an empirical analysis of the s p 500 index 1970 1996 in this article we present a technique for implementing large scale optimal portfolio selection we use high frequency daily data to capture valuable statistical information in asset returns we describe several statistical issues involved in quantitative approaches to portfolio selection our methodology applies to large scale portfolio selection problems in which the number of possible holdings is large relative to the estimation period provided by historical data we illustrate our approach on an equity database that consists of stocks from the standard and poor s index and we compare our portfolios to this benchmark index our methodology differs from the usual quadratic programming approach to portfolio selection in three ways 1 we employ informative priors on the expected returns and variance covariance matrices 2 we use daily data for estimation purposes with upper and lower holding limits for individual securities and 3 we use a dynamic asset allocation approach that is based on reestim

on the bimodality of the distribution of the s p 500 s distortion empirical evidence and theoretical explanations abstract after showing that the distribution of the s p 500 s distortion i e the log difference between its real stock market index and its real fundamental value is bimodal we demonstrate that agent based financial market models may explain this puzzling observation within these models speculators apply technical and fundamental analysis to predict asset prices since destabilizing technical trading dominates the market near the fundamental value asset prices tend to be either overvalued or undervalued interestingly the bimodality of the distribution of the s p 500 s distortion confirms an implicit prediction of a number of seminal agent based financial market models

implausible alternatives in eliciting multi attribute value functions abstract many methods to elicit preference models in multi attribute decision making rely on evaluations of a set of sample alternatives by decision makers using orthogonal design methods to create this set of alternatives might require respondents to evaluate unrealistic alternatives in this paper we perform an empirical study to analyze whether the presence of such implausible alternatives has an effect on the quality of utility elicitation using a new approach to measure consistency we find that implausible alternatives in fact have a positive effect on consistency of intra attribute preference information and consistency with dominance but do not affect inter attribute preference information

bayesian estimation of the global minimum variance portfolio 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 distribution of the logarithmic returns is 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 andnon 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

bayesian dynamic factor models and portfolio allocation we discuss the development of dynamic factor models for multivariate financial time series and the incorporation of stochastic volatility components for latent factor processes bayesian inference and computation is developed and explored in a study of the dynamic factor structure of daily spot exchange rates for a selection of international currencies the models are direct generalizations of univariate stochastic volatility models and represent specific varieties of models recently discussed in the growing multivariate stochastic volatility literature we discuss model fitting based on retrospective data and sequential analysis for forward filtering and short term forecasting analyses are compared with results from the much simpler method of dynamic variance matrix discounting that for over a decade has been a standard approach in applied financial econometrics we study these models in analysis forecasting and sequential portfolio allocation for a selected set of international exchange rate retur

an analysis of the effect of noise in a heterogeneous agent financial market model abstract heterogeneous agent models hams in finance and economics are often characterised by high dimensional nonlinear stochastic differential or difference systems because of the complexity of the interaction between the nonlinearities and noise a commonly used often called indirect approach to the study of hams combines theoretical analysis of the underlying deterministic skeleton with numerical analysis of the stochastic model however it is well known that this indirect approach may not properly characterise the nature of the stochastic model this paper aims to tackle this issue by developing a direct and analytical approach to the analysis of a stochastic model of speculative price dynamics involving two types of agents fundamentalists and chartists and the market price equilibria of which can be characterised by the stationary measures of a stochastic dynamical system using the stochastic method of averaging and stochastic bifurcation theory we show that the stochastic model displays behaviour consistent with that of the underlying deterministic model when the time lag in the formation of price trends used by the chartists is far away from zero however when this lag approaches zero such consistency breaks down

can a stochastic cusp catastrophe model explain stock market crashes this paper is the first attempt to fit a stochastic cusp catastrophe model to stock market data we show that the cusp catastrophe model explains the crash of stock exchanges much better than other models using the data of u s stock markets we demonstrate that the crash of october 19 1987 may be better explained by cusp catastrophe theory which is not true for the crash of september 11 2001 with the help of sentiment measures such as the index put call options ratio and trading volume the former models the chartists the latter the fundamentalists we have found that the 1987 returns are bimodal and the cusp catastrophe model fits these data better than alternative models therefore we may say that the crash has been led by internal forces however the causes for the crash of 2001 are external which is also evident in much weaker presence of bifurcations in the data in this case alternative models explain the crash of stock exchanges better than the cusp catastrophe model

structuring resource allocation decisions a framework for building multi criteria portfolio models with area grouped options multi criteria portfolio modelling has been extensively employed as an effective means to allocate scarce resources for investment in projects when considering costs benefits and risks some of these modelling approaches allow the grouping of projects into organisational areas thus also supporting the decision of resource allocation among organisational units in a way that is collectively efficient for the organisation however structuring in practice a portfolio model using this latter type of approach is not a trivial task how should areas be defined where should new projects be included how should one define the criteria to evaluate performance as far as we know there is very little indication in the operational research and decision sciences literatures on how to structure this type of model this paper suggests different ways to structuring portfolio models where projects are divided into areas and evaluated by multiple criteria and illustrates their use in two action research projects drawing on these experiences it then suggests a general framework for the structuring of such models in practice directions for future research are also identified

the determinants of full time versus part time reemployment following job displacement this article explores the determinants of full time and part time reemployment following job displacement in canada among those who lose full time jobs women are found to have both longer median joblessness durations and higher probabilities of part time reemployment than men with little of this difference explained by gender differences in worker characteristics unemployment insurance receipt is associated with longer median joblesness durations and among those who find a job within 1 year of displacement an increased probability of part time reemployment for both men and women

preference programming for robust portfolio modeling and project selection in decision analysis difficulties of obtaining complete information about model parameters make it advisable to seek robust solutions that perform reasonably well across the full range of feasible parameter values in this paper we develop the robust portfolio modeling rpm methodology which extends preference programming methods into portfolio problems where a subset of project proposals are funded in view of multiple evaluation criteria we also develop an algorithm for computing all non dominated portfolios subject to incomplete information about criterion weights and project specific performance levels based on these portfolios we propose a project level index to convey i which projects are robust choices in the sense that they would be recommended even if further information were to be obtained and ii how continued activities in preference elicitation should be focused the rpm methodology is illustrated with an application using real data on road pavement projects

the retirement health nexus a new measure of an old puzzle traditional empirical models of retirement which use a self assessed health measure have often found that the wage rate has a surprisingly small effect on retirement using both a self reported health measure and one not based on self report subsequent mortality experience in a more general reduced form joint demand framework we test the importance of the interaction effects of health and retirement our findings are consistent with a joint determination of health and retirement the wage elasticity using either health measure is about equal to that found in a single equation model when a mortality measure is used but all three elasticities are five times greater than one found using self reported health in a traditional single equation model

scenario based portfolio selection of investment projects with incomplete probability and utility information abstract in the selection of investment projects it is important to account for exogenous uncertainties such as macroeconomic developments which may impact the performance of projects these uncertainties can be addressed by examining how the projects perform across several scenarios but it may be difficult to assign well founded probabilities to such scenarios or to characterize the decision makers risk preferences through a uniquely defined utility function motivated by these considerations we develop a portfolio selection framework which i uses set inclusion to capture incomplete information about scenario probabilities and utility functions ii identifies all the non dominated project portfolios in view of this information and iii offers decision support for rejection and selection of projects the proposed framework enables interactive decision support processes where the implications of additional probability and utility information or further risk constraints are shown in terms of corresponding decision recommendations

attrition in panel survey data and the estimation of multi state labor market models in the analysis of labor market transitions spells that are incomplete due to panel survey attrition are treated as spells that are subject to independent right censoring it is likely however that the unobserved characteristics affecting individual transitions on the labor market are related to those affecting the attitude toward survey participation in that case the transition rate estimates are inconsistent in this paper we analyze the relation between durations spent in labor market states and the duration of panel survey participation by explicitly modeling and estimating both stochastic processes we use multi state multi spell models which allow for stochastically related unobserved determinants

modeling synergies in multi criteria supplier selection and order allocation an application to commodity trading abstract we propose a novel meta approach to support collaborative multi objective supplier selection and order allocation ssoa decisions by integrating multi criteria decision analysis and linear programming lp the proposed model accounts for suppliers performance synergy effects within a hierarchical decision structure it incorporates both heterogeneous objective data and subjective judgments of the decision makers dms representing various groups with different voting powers vps we maximize the total value of purchasing tvp by optimizing order quantity assignment to suppliers and taking into consideration their synergies encountered in different time horizons we apply the proposed model to a contractor selection and order quantity assignment problem in an agricultural commodity trading act company we maximize the strategic effectiveness of both the customers and the suppliers minimize risks increase the degree of cooperation between trading partners on all levels of supply chain integration enhance transparent knowledge sharing and aggregation and support collaborative decision making

optimal strategies for selecting project portfolios using uncertain value estimates abstract practically all organizations seek to create value by selecting and executing portfolios of actions that consume resources typically the resulting value is uncertain and thus organizations must take decisions based on ex ante estimates about what this future value will be in this paper we show that the bayesian modeling of uncertainties in this selection problem serves to i increase the expected future value of the selected portfolio ii raise the expected number of selected actions that belong to the optimal portfolio ex post and iii eliminate the expected gap between the realized ex post portfolio value and the estimated ex ante portfolio value we also propose a new project performance measure defined as the probability that a given action belongs to the optimal portfolio finally we provide analytic results to determine which actions should be re evaluated to obtain more accurate value estimates before portfolio selection in particular we show that the optimal targeting of such re evaluations can yield a much higher portfolio value in return for the total resources that are spent on the execution of actions and the acquisition of value estimates

portfolio selection under distributional uncertainty a relative robust cvar approach robust optimization one of the most popular topics in the field of optimization and control since the late 1990s deals with an optimization problem involving uncertain parameters in this paper we consider the relative robust conditional value at risk portfolio selection problem where the underlying probability distribution of portfolio return is only known to belong to a certain set our approach not only takes into account the worst case scenarios of the uncertain distribution but also pays attention to the best possible decision with respect to each realization of the distribution we also illustrate how to construct a robust portfolio with multiple experts priors by solving a sequence of linear programs or a second order cone program

do the sick retire early chronic illness asset accumulation and early retirement our objective is to determine how chronic illness affects asset accumulation and retirement previous studies have found that poor health leads to early retirement but those studies failed to look at the indirect impact of chronic illness on retirement using data from the health and retirement study we define an illness as chronic if the individual reports having asthma cancer heart disease stroke or diabetes for four or more years we first estimate how a chronic illness influences asset accumulation we then estimate how asset accumulation and current poor health influence retirement we observe that the vast majority of the chronically ill population do not report their general health to be poor nor do they report functional limitations in activities of daily living nevertheless our results indicate that chronic illness leads these people to accumulate fewer assets during their working years and consequently retire later neither researchers nor policy makers discussing the many critical issues

the determinants of information value synthesizing some general results this paper identifies the determinants of information value and synthesizes some general results concerning their effects while some attributes of an information system exhibit a consistent directional effect on information value attributes of the decision setting and decision maker do not

asymmetric information ownership and quality of care an empirical analysis of nursing homes theoretically when asymmetric information exists nonprofit organizations due to the attenuation of the property right provide better quality of service than do the for profits despite extensive theoretical examination of the behavior of nonprofits there has been very little empirical testing of the plausibility of these theories this article addresses the effect of ownership type on the quality of service in the nursing home industry an environment particularly conducive to identifying the existence of asymmetric information the study shows that the differences between for profit and nonprofit homes do become manifest when asymmetric information is present

stochastic dominance and expected utility survey and analysis while stochastic dominance has been employed in various forms as early as 1932 it has only been since 1969 1970 that the notion has been developed and extensively employed in the area of economics finance agriculture statistics marketing and operations research in this survey the first second and third order stochastic dominance rules are discussed with an emphasis on the development in the area since the 1980s

aversion to health inequalities in healthcare prioritisation a multicriteria optimisation perspective abstract in this paper we discuss the prioritisation of healthcare projects where there is a concern about health inequalities but the decision maker is reluctant to make explicit quantitative value judgements and the data systems only allow the measurement of health at an aggregate level our analysis begins with a standard welfare economic model of healthcare resource allocation we show how under the assumption that the healthcare projects under consideration have a small impact on individual health the problem can be reformulated as one of finding a particular subset of the class of efficient solutions to an implied multicriteria optimisation problem algorithms for finding such solutions are readily available and we demonstrate our approach through a worked example of treatment for clinical depression

work and the accommodation of chronic illness a re examination of the health labour supply relationship this study uses a data set of over 14000 households from the state of new jersey in the usa to estimate the impact of specific chronic health conditions on the probability of employment and finds wide variation of employment impacts across chronic conditions additionally the elasticity of the employment response is generally greater for women and lower skilled workers most notable is the role of comorbidity individuals with multiple conditions have markedly lower probability of employment and chronic illness explains virtually all of the large gap in employment probability for those who have multiple conditions this is shown using a summary index of disease status that correlates closely with employment rates across age groups in the aggregate chronic disease striking in adulthood explains about 10 of the total non employment in the new jersey among those aged 35 74 finally cross sectional evidence gives little support for health as a primary determinant of the aggregate age employment profile

hierarchical information and the rate of information diffusion abstract the rate of information diffusion and consequently price discovery are conditional not only upon the design of the market microstructure but also the informational structure this paper presents a market microstructure model showing that an increasing number of information hierarchies among informed competitive traders leads to a slower information diffusion rate and informational inefficiency the model illustrates that informed traders may prefer trading with each other rather than with noise traders in the presence of information hierarchies the empirical investigation using transaction data on china s equity market supports that the information hierarchies decrease the speed of price discovery

selecting a portfolio of solar energy projects using multiattribute preference theory this article reports a procedure developed to assist the u s department of energy in selecting a portfolio of solar energy applications experiments the procedure has also been used in other government procurements and appears to be applicable in a variety of project funding processes the technical quality of each proposed applications experiment was summarized through the use of multiple evaluation measures or attributes these were combined into a single index of the overall technical quality of an experiment through the use of a multiattribute utility function recently derived results in measurable value theory were applied to derive an index of the overall technical quality of a portfolio of experiments budgetary and programmatic issues were handled through the use of constraints this approach allowed the portfolio selection problem to be formulated as an integer linear program details of the application are presented including a discussion of the data requirements and assessment procedure used the portfolio selection procedure was successfully applied and variations of it have been successfully used in four other solar energy procurements

work and health after retirement a competing risks model with semiparametric unobserved heterogeneity competing risks models recognize that there may be more than one exit from a given state but they make the strong assumption that there is no correlation between unobserved heterogeneity components in each state here a competing risks model that uses a semiparametric method of estimation and controls for the correlation between unobserved heterogeneity components in each state is compared with a traditional competing risks model of exit from retirement the unobservable heterogeneity components of the competing risks are insignificantly positively correlated and the effects of policy relevant variables are changed somewhat copyright 1989 by mit press

adjustable robustness for multi attribute project portfolio selection abstract robust portfolio modeling rpm supports multi attribute project portfolio selection with uncertain project scores and decision maker preferences by determining non dominated portfolios for all possible realizations of uncertain parameters decision recommendations produced by rpm may prove too conservative for real life decision problems we develop a methodology to reduce the set of possible realizations by limiting the number of project scores that may simultaneously deviate from their most likely value by adjusting this limit decision makers can choose desired levels of conservatism our approach also allows to capture dependencies among project scores as well as uncertainty in portfolio constraints

an equilibrium model of the supply chain network under multi attribute behaviors analysis abstract this paper studies a supply chain network scn equilibrium model considering decision makers multi attribute behaviors from the perspective of behavioral finance in this paper an equilibrium model of an uncertain snc is constructed in which retailers choose their decisions according to their risk averse behavior loss averse behavior and regret averse behavior by using different weights to represent retailers attitudes to these three behaviors the retailers multi attribute utility functions are developed the equilibrium conditions of the manufacturers the retailers together with the network are established by the finite dimensional variational inequality formulation three numerical examples are solved in the first numerical example we illustrate the effect of each of these three behaviors on the equilibrium decisions the profits and the utilities of the decision makers in the other two numerical examples we explore the effects of changes in attitudes to these three behaviors on the equilibrium decisions profits and utilities of the decision makers the numerical results show that the equilibrium decisions are affected by each of these three behaviors very much moreover they are sensitive to the changes in attitudes to these behaviors

measurement issues in the evaluation of projects in a project portfolio abstract a common problem arising in many domains is how value the benefits of projects in a project portfolio recently there has been some attention given to a decision analysis practice whereby analysts define a value function on some criterion by setting 0 as the value of the worst project in particular clemen and smith have argued this practice is not sound as it gives different results from the case where projects are priced out and makes a strong implicit assumption about the value of not doing a project in this paper we underscore the criticism of this way of using value functions by showing it can lead to a rank reversal we provide a measurement theoretic account of the phenomenon showing that the problem arises from using evaluating projects on an interval scale such as a value scale whereas to guard against such rank reversals benefits must be measured on at least a ratio scale seen from this perspective we discuss how the solution proposed by clemen and smith of reformulating the underlying optimisation problem to allow for explicitly non zero values addresses the issue and explore in what sense it may be open to similar problems in closing we discuss what lessons from practice may be drawn from this analysis focussing on settings where the clemen and smith proposal may not be the most natural way of modelling

a bayesian semiparametric competing risk model with unobserved heterogeneity this paper generalizes existing econometric models for censored competing risks by introducing a new flexible specification based on a piecewise linear baseline hazard time varying regressors and unobserved individual heterogeneity distributed as an infinite mixture of generalized inverse gaussian gig densities nesting the gamma kernel as a special case a common correlated latent time effect induces dependence among risks our model is based on underlying latent exit decisions in continuous time while only a time interval containing the exit time is observed as is common in economic data we do not make the simplifying assumption of discretizing exit decisions our competing risk model setup allows for latent exit times of different risk types to be realized within the same time period in this setting we derive a tractable likelihood based on scaled gig laplace transforms and their higher order derivatives we apply our approach to analyzing the determinants of unemployment duration with exits to jobs in the same industry or a different industry among unemployment insurance recipients on nationally representative individual level survey data from the us department of labor our approach allows us to conduct a counterfactual policy experiment by changing the replacement rate we find that the impact of its change on the probability of exit from unemployment is inelastic copyright 2014 john wiley sons ltd

multistage decision making fuzzy methodology for optimal investments based on experts evaluations abstract a new methodology of making a decision on an optimal investment in several projects is proposed the methodology is based on experts evaluations and consists of three stages in the first stage kaufmann s expertons method is used to reduce a possibly large number of applicants for credit using the combined expert data the credit risk level is determined for each project only the projects with low risks are selected in the second stage the model of refined decisions is constructed using the new modification of the previously proposed possibilistic discrimination analysis method sirbiladze khutsisvili dvalishvili 2010 this stage is based on expert knowledge and experience the projects selected in the first stage are compared in order to identify high quality ones among them the possibility levels of experts preferences are calculated and the projects are ranked finally the third stage deals with the bicriteria discrete optimization problem whose solution makes it possible to arrange the most advantageous investment in several projects simultaneously the decision on funding the selected projects is made and an optimal distribution of the allocated investment amount among them is provided the efficiency of the proposed methodology is illustrated by an example

unpacking multimethodology impacts of a community development intervention multimethodology interventions are being increasingly employed by operational researchers to cope with the complexity of real world problems in keeping with recent calls for more research into the realised impacts of multimethodology we present a detailed account of an intervention to support the planning of business ideas by a management team working in a community development context drawing on the rich steam of data gathered during the intervention we identify a range of cognitive task and relational impacts experienced by the management team during the intervention these impacts are the basis for developing a process model that accounts for the personal social and material changes reported by those involved in the intervention the model explains how the intervention s analytic and relational capabilities incentivise the interplay of participants decision making efforts and integrative behaviours underpinning reported intervention impacts and change our findings add much needed empirical case material to enrich further our understanding of the realised impacts of operational research interventions in general and of multimethodology interventions in particular

selecting a portfolio of nonhomogeneous r d proposals abstract this article reports a procedure developed to assist the u s department of energy in the selection of a portfolio of proposals addressing the design and manufacture of components of solar photovoltaic arrays and complete photovoltaic systems considerations such as the relative importance of the different components in the overall effort compatibility of the proposed designs and budgetary and programmatic issues were complicating factors the technical quality of each proposal was represented by multiple evaluation measures these were combined into a single index through the use of multi attributeutility function indices representing the relative importance of the various components were then developed and results in measurable value theory were applied to derive an index of technical quality of a portfolio of proposals the problem was then formulated as an integer program it was solved by using an interactive branch and bound code that allowed for sensitivity analysis before selecting the portfolio of proposals for funding the procedure was successfully applied to funding a portfolio of proposals aimed at reducing the cost of producing photovoltaic arrays and to several other government sponsored procurements

attrition in longitudinal panel data and the empirical analysis of dynamic labour market behaviour in the empirical analysis of unemployment durations and job durations it is generally assumed that the stochastic processes underlying labour market behaviour and the behaviour concerning participation in a panel survey are independent however there are reasons to believe that the probability of dropping out of the panel is related to the rate at which a different job is found if there is such a relation and if it is ignored then the estimator of the rate at which individuals become employed or change jobs will generally be inconsistent in this paper we analyse the relation between the duration spent in a particular labour market state and the duration of panel survey participation by explicitly modelling and estimating the joint distribution of both durations the emphasis will be on models allowing for stochastically related unobserved determinants of both types of duration we estimate models both for unemployment durations and for job durations copyright 1994 john wiley sons ltd

dynamic portfolio selection of npd programs using marginal returns selecting program portfolios within a budget constraint is an important challenge in the management of new product development npd optimal portfolios are difficult to define because of the combinatorial complexity of project combinations however at the aggregate level of the strategic allocation of resources across product lines investment in a program is not an all or nothing decision but can beadjusted resulting in a higher or lower program benefit e g higher or lower quality in some cases resources can be adjusted even for individual projects with this insight one can usemarginal analysis to optimally allocate the scarce budget this article develops a dynamic model of resource allocation taking into account multiple interacting factors such as independent or correlated uncertain market payoffs that change over time increasing or decreasing returns from the npd investment carry over of the investment benefit over multiple periods and interactions across market segments we characterize optimal policies in closed form and derive qualitative decision rules for managers

health a source of bias in labor supply models the inconsistency of the labor supply estimates using nonexperimental data has led to the costly income maintenance experiments that have taken place in various parts of the country in addition to being costly the analyses of experimental data also have their share of econometric problems 1 both experimental and nonexperimental studies face the problems of sample selection model specification and variable measurement in order to determine what effects the variables of interest have on labor supply all relevant factors must be included one of these control variables namely health is often included in a form which results in biased estimates in this paper we hope to show that the analysis of experimental and nonexperimental labor supply data must carefully address the health variable problem before meaningful estimates can be obtained in general three treatments emerge in the literature no control for health is used a binary variable which we shall call a disability variable is included in the model as an exogenous variable or the disability variable is used as a partitioning criterion to obtain a sample of able bodied men or women the disability variable is often the response to the question does your health prevent you from working altogether or does your health limit the kind or amount of work you could do this study will examine the bias created by each of these approaches and will suggest a method of measurement for health which does not produce biased estimates 2 health and labor supply

contingent portfolio programming for the management of risky projects methods for selecting a research and development r d project portfolio have attracted considerable interest among practitioners and academics this notwithstanding the industrial uptake of these methods has remained limited partly because of the difficulties of capturing relevant concerns in r d portfolio management motivated by these difficulties we develop contingent portfolio programming cpp which extends earlier approaches in that it i uses states of nature to capture exogenous uncertainties ii models resources through dynamic state variables and iii provides guidance for the selection of an optimal project portfolio that is compatible with the decision maker s risk attitude although cpp is presented here in the context of r d project portfolios it is applicable to a variety of investment problems where the dynamics and interactions of investment opportunities must be accounted for

stochastic dependence in competing risks spells may terminate via multiple outcomes the term of a cabinet for example may end with or without an election wars persist until the loss or victory of the aggressor analysts typically assume stochastic independence among risks the duration modeling equivalent of independence of irrelevant alternatives however many political examples violate this assumption i review competing risks as a latent variables approach after discussing methods for modeling dependence that place restrictions on the nature of association i introduce a parametric generalized dependent risks model in which inter risk correla

occupational pensions and job mobility in britain estimation of a random effects competing risks model we analyse transitions between pensionable jobs non pensionable jobs and other labour market states using the 1988 9 uk retirement survey we focus on the positive association between length of job tenure and pensionable status allowing for the possibility that pension scheme members are less mobile than other workers because they have persistent unobserved characteristics that predispose them towards a high degree of security in both employment and retirement we use a competing risks model with state specific random effects the model is estimated by simulated maximum likelihood