Dissertations / Theses on the topic 'Industrial management Australia Mathematical models'
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1
Powell, Robert. "Industry value at risk in Australia." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2007. https://ro.ecu.edu.au/theses/297.
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Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. Credit risk modelling has become increasingly important to banks since the advent of Basel 11 which allows banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks failing or experiencing severe difficulty. Conditional Value at Risk (CVaR) measures extreme risk, and is gaining popularity with the recognition that high losses are often impacted by a small number of extreme events.
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梁慧敏 and Wai-man Wanthy Leung. "Evolutionary optimisation of industrial systems." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B30252994.
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Terciyanli, Erman. "Alternative Mathematical Models For Revenue Management Problems." Master's thesis, METU, 2009. http://etd.lib.metu.edu.tr/upload/12610711/index.pdf.
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In this study, the seat inventory control problem is considered for airline networks from the
perspective of a risk-averse decision maker. In the revenue management literature, it is generally
assumed that the decision makers are risk-neutral. Therefore, the expected revenue is
maximized without taking the variability or any other risk factor into account. On the other
hand, risk-sensitive approach provides us with more information about the behavior of the
revenue. The risk measure we consider in this study is the probability that revenue is less
than a predetermined threshold level. In the risk-neutral cases, while the expected revenue
is maximized, the probability of revenue being less than such a predetermined level might
be high. We propose three mathematical models to incorporate the risk measure under consideration.
The optimal allocations obtained by these models are numerically evaluated in
simulation studies for example problems. Expected revenue, coefficient of variation, load factor
and probability of the poor performance are the performance measures in the simulation
studies. According to the results of these simulations, it shown that the proposed models can
decrease the variability of the revenue considerably. In other words, the probability of revenue
being less than the threshold level is decreased. Moreover, expected revenue can be increased
in some scenarios by using the proposed models. The approach considered in this thesis is especially proposed for small scale airlines because risk of obtaining revenue less than the
threshold level is more for this type of airlines as compared to large scale airlines.
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Cooper, William L. "Revenue management, auctions, and perishable inventories." Diss., Georgia Institute of Technology, 1999. http://hdl.handle.net/1853/25805.
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Kwok, Ho King Calvin Actuarial Studies Australian School of Business UNSW. "Energy price modelling and risk management." Awarded by:University of New South Wales. Actuarial Studies, 2007. http://handle.unsw.edu.au/1959.4/40602.
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This thesis focuses on the development of a forecasting model for short- to medium-term electricity spot prices, based on modelling the dynamics of the supply and demand functions. It is found that the equilibrium assumption frequently adopted in electricity price models does not always hold; to overcome this problem, a notional demand process derived from the market clearing condition is proposed. Not only is this demand process able to capture all the price-affecting factors in one variable, but it also allows the equilibrium assumption to be satisfied and a spot price model to be built, using any appropriate form of hypothetical supply function. In addition, this thesis presents a model for approximating and modelling the bid stacks by capturing the points that govern their shape and location. Integrating these two models provides a realistic model that has a mean absolute percentage error of approximately 19% and 24% for week- and month-ahead forecasts respectively, when applied to the New South Wales (NSW) half-hourly electricity spot prices. Additionally, the density forecasting evaluation method proposed by Diebold et al. (1998) is employed in the thesis to assess the performance of the model. Besides the development of a spot price model, a two-part empirical study is made of the prices of NSW electricity futures contracts. The first part of the study develops a method based on the principle of certainty equivalence, which enables the market utility function to be recovered from a set of futures market quotes. The method is tested with two different sets of simulated data and works as expected. However, it is unable to obtain useful results from the NSW market quotes due to the poor data quality. The second part uses a regression method to investigate the relationship between futures prices and the descriptive statistics of the underlying spot prices. The result suggests that futures prices in NSW are linear combinations of the median and volatility of the final payoff.
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Ertek, Gurdal. "Pricing models for two-stage supply chains." Diss., Georgia Institute of Technology, 2001. http://hdl.handle.net/1853/30693.
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Su, Wei, and 蘇薇. "Partner selection and production-distribution planning for the design of optimal supply chain networks." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B41757853.
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Soucik, Victor. "Finding the true performance of Australian managed funds." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2002. https://ro.ecu.edu.au/theses/730.
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When making conclusions about the performance of managed funds, it is critical that the framework in which such performance is measured provides an accurate and unbiased environment. In this thesis I search for true performance of the two major classes of funds- equity as well as fixed interest managed funds. Focusing, first on the former class, I examine five measurement models across three risk-free proxies, nine benchmarks proposed by the extant literature (covering conditional and unconditional as well as single and multi factor definitions) and over three independent periods in an effort to identity (in a consistent setting) the most accurate and least biast methodology. I also use the Australian dataset, which inherently mitigates any data biases that may potentially afflict US studies of these methodologies, since these were developed from the same dataset on which they were later tested. Not finding a pre-existing benchmark that is objective yet informative, I develop an independent model that satisfies these, sourcing from fifteen factor candidates across four categories. I find that teaming up a fund based market factor with well-defined proxies for size, value, momentum and conditional dividend yield provides the optimal benchmark. The latter class comprising fixed-interest managed funds is a segment left largely unexplored in the financial literature and neglected outright in the Australian context. I examine three risk-free proxies, six benchmark classes encompassing twenty-one potential factors, across five models and two independent time frames in an effort to establish the most informative and least biased setting. The task is complicated by two issues - an acute lack of Australian data (demanding additional bootstrap simulations and bridging tests with the US markets) and the need for a two-pass (time-series and cross-sectional) analysis, arising from the different information content benchmarks carry in these two dimensions. My results, consistent across time, show that a correct combination of a bond market variable, a mixture of interest rate factors and economic factors as well as the proxy for movements in the equity markets yield the optimal benchmark. Both fund classes point to Jensen's Alpha as the preferred model, but Treynor and Mazuy's definition of a quadratic measure is adequate if timing-selectivity separation is required. Neither class is significantly sensitive to the choice of risk free proxy featuring in the performance measures.
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Xu, Yihua, and 許意華. "Procurement risk management using commodity futures: a multistage stochastic programming approach." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B37823413.
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Xu, Suxiu, and 徐素秀. "Truthful, efficient auctions for transportation procurement." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206443.
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Transportation procurement problem (TPP) is the problem of setting transportation service prices, delivery timing and quantity, and controlling costs and capacity to reduce empty movements and improve market efficiency. The purchase of transportation service is traditionally achieved using a request for proposal and long-term contracts. However, as business relationships become ever more flexible and dynamic, there has been an increasing need to hedge the risks of traditional transportation procurement such as entrance of new carriers and sudden drop in fuel price. This thesis proposes a holistic aution-based solution for the TPP.
Four typical scenarios are investigated. The first scenario incorporates bilateral bidding into auction mechanism design for multi-unit TPP. This scenario considers one-sided Vickrey-Clarke-Groves (O-VCG) combinatorial auctions for a complex transportation marketplace with multiple lanes. This scenario then designs three alternative multi-unit trade reduction (MTR) mechanisms for the bilateral exchange transportation marketplace where all the lanes are partitioned into distinct markets. Proposed mechanisms ensure incentive compatibility, individual rationality, budget balance and asymptotical efficiency.
The second scenario presents a double auction model for the TPP in a dynamic single-lane transportation environment. This scenario first addresses the TPP in a transportation spot market with stochastic but balanced or “symmetric” demand and supply. A periodic sealed double auction (PSDA) is proposed. This scenario then devises a modified PSDA (M-PSDA) to address the TPP with “asymmetric” demand and supply. The auctioneer is likely to gain higher profits from setting a relatively short auction length. However, it is optimal to run the auction (either PSDA or MPSDA) with a relatively large auction length, when maximizing either the social welfare or the utility of shippers and carriers (agents). When the degree of supply-demand imbalance is low, the auctioneer’s myopic optimal expected profit under supply-demand imbalance is larger than that under symmetric demand and supply.
This third scenario presents an auction-based model for the TPP in make-toorder systems. The optimality of dynamic base-stock type (S(x)-like policy) is established. The optimal allocation can be achieved by running an O-VCG auction or a first-price auction with closed-form reserve prices. By mild technical modifications, the results derived in the infinite horizon case can all be extended to the finite horizon case.
The fourth scenario proposes allocatively efficient auction mechanisms for the distributed transportation procurement problem (DTPP), which is generally the problem of matching demands and supplies over a transportation network. This scenario constructs an O-VCG combinatorial auction for the DTPP where carriers are allowed to bid on bundles of lanes. To simplify the execution of auction, this scenario next proposes a primal-dual Vickrey (PDV) auction based on insights from the known Ausubel auctions and the primal-dual algorithm. The PDV auction realizes VCG payments and truthful bidding under the condition of seller-submodularity, which implies that the effect of each individual carrier is decreasing when the coalition increases.published_or_final_version
Industrial and Manufacturing Systems Engineering
Doctoral
Doctor of Philosophy
11
Ni, Jian, and 倪剑. "Commodity procurement risk management using futures contracts: a dynamic financial hedging approach withmultistage rebalancing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B46587949.
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Shi, Li, and 时莉. "Long-term commodity procurement risk management using futures contracts: a dynamic stack-and-rollapproach." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B49858749.
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The procurement of commodity materials for production is an important issue in supply chain management. Effective procurement should consider both uncertain customer demand and fluctuating commodity price which, when act together, give rise to the procurement risk. To protect the bottom line, a manufacturer has to plan its procurement activities with special attention given to such procurement risk. Existing research has studied the use of exchange market-traded commodities in mitigating procurement risk. This study addresses the case of a manufacturer with long-term procurement commitments who wishes to hedge against the risk exposure by using long-dated futures contracts. In the commodities markets, however, long-dated futures are often illiquid or even unavailable, thus making the hedge ineffective. Alternatively, in a stack-and-roll hedge, the hedging positions are rolled forward in actively traded short-dated futures contracts of equal maturity until the procurement is executed. This in effect replicates the long-term futures contract in performing a hedge. This study therefore aims at developing a dynamic stack-and-roll approach that can effectively manage the long maturity procurement risk.
The proposed dynamic stack-and-roll approach is inherently a discrete-time hedging strategy that divides the procurement planning horizon into multiple decision stages. The nearby futures are adopted as the short-dated futures as they are typically liquid. The hedging positions are adjusted periodically in response to the commodity price behaviour and updated information about the forward customer demand. For a manufacturer who wishes to mitigate the procurement risk as well as maximise the terminal revenue after the procurement, the mean-variance objective function is employed to model the manufacturer’s risk aversion behaviour. Then, a dynamic program formulation of the approach is presented for determining a closed-form expression of the optimal hedging positions. Notice that the hedging policy is a time-consistent mean-variance policy in discrete-time, in contrast to the existing discrete hedging approaches that employ minimum-variance policies.
In this study, the commodity prices are modelled by a fractal nonlinear regression process that employs a recurrent wavelet neural network as the nonlinear function. The purpose of this arrangement is to incorporate the fractal properties discovered in commodity prices series. In the wavelet transform domain, fractal self-similarity and self-affinity information of the price series over a certain time scale can be extracted. The Extended Kalman Filter (EKF) algorithm is applied to train the neural network for its lower training error comparing with classical gradient descent algorithms. Monthly returns and volatility of commodity prices are estimated by daily returns data in order to increase the estimation accuracy and facilitate effective hedging. The demand information is updated stage by stage using Bayesian inference. The updating process are defined and adapted to a filtration, which can be regarded as the information received at the beginning of each decision stage. Numerical experiments are carried out to evaluate the performance of the proposed stack-and-roll approach. The results show that the proposed approach robustly outperforms other hedging strategies that employ minimum-variance or naïve policies, and effectively mitigate the procurement risk.published_or_final_version
Industrial and Manufacturing Systems Engineering
Doctoral
Doctor of Philosophy
13
Stuart, Julie Ann. "A strategic environmentally conscious production decision model." Diss., Georgia Institute of Technology, 1996. http://hdl.handle.net/1853/24160.
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Shi, Yuan, and 石园. "A portfolio approach to procurement planning and risk hedging under uncertainty." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44905051.
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Liao, Mingwei, and 廖明瑋. "Futures hedging on both procurement risk and sales risk under correlated prices and demand." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206683.
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The profitability of a manufacturer could be largely affected by underlying uncertainties embedded in the fast-changing business environment. Random factors, such as input material price at the procurement end or output product price and demand at the sales end, might produce significant risks. Effective financial hedging therefore needs to be taken to mitigate these risk exposures. Although it is common to use commodity futures to control the risks at either end separately, little has been done on the hedging of these risk exposures in an integrated manner. Therefore, this study aims to develop a planning approach that performs financial hedging on both the procurement risk and the sales risk in a joint manner.
This planning approach is based on a framework that has a risk-averse commodity processor that procures input commodity and sells output commodity in the spot market, while hedging the procurement risk and sales risk through trading futures contracts in the commodity markets. Both the input and output commodities futures are used for the hedging. A both-end-hedging model is developed to quantitatively evaluate the approach. The evaluation is based on an objective function that considers both profit maximisation and risk mitigation. Decisions on spot procurement, input futures hedging position, and output futures hedging position are optimised simultaneously. As the input commodity is the main production material for the output commodity, positive correlation between the input material price and the output product price is considered. The customer demand is considered negatively correlated with the output product price.
An ethanol plant using corn as the main input material is employed as an example to implement the proposed model. The model is represented as a stochastic program, and the Gibson-Schwartz two-factor model is employed to describe the stochastic commodity prices. Historical commodity price data are used to estimate the parameters for the two-factor model with state-space form and Kalman filter. By generating various scenarios representing evolving prices and the random customer demand, the stochastic program could be solved using linear programming algorithms under its deterministic equivalent.
Numerical experiments are carried out to demonstrate the benefit that could be gained from applying the both-end-hedging approach proposed in this study. Comparing with traditional no-hedging model or single-end-hedging models, the improvement obtained from the proposed model is found to be significant. The effectiveness of the model is further tested in various price trend and price correlation, demand elasticity and volatility, and risk attitude of the decision maker. It is found that the proposed approach is robust in these various circumstances, and the approach is especially effective when the price trend is uncertain and when the decision maker has a strong risk-averse attitude.published_or_final_version
Industrial and Manufacturing Systems Engineering
Master
Master of Philosophy
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Shi, Zhenzhen. "A MARKOV DECISION PROCESS EMBEDDED WITH PREDICTIVE MODELING: A MODELING APPROACH FROM SYSTEM DYNAMICS MATHEMATICAL MODELS, AGENT-BASED MODELS TO A CLINICAL DECISION MAKING." Diss., Kansas State University, 2015. http://hdl.handle.net/2097/20578.
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Doctor of PhilosophyDepartment of Industrial & Manufacturing Systems Engineering
David H. Ben-Arieh
Chih-Hang Wu
Patients who suffer from sepsis or septic shock are of great concern in the healthcare system. Recent data indicate that more than 900,000 severe sepsis or septic shock cases developed in the United States with mortality rates between 20% and 80%. In the United States alone, almost $17 billion is spent each year for the treatment of patients with sepsis. Clinical trials of treatments for sepsis have been extensively studied in the last 30 years, but there is no general agreement of the effectiveness of the proposed treatments for sepsis. Therefore, it is necessary to find accurate and effective tools that can help physicians predict the progression of disease in a patient-specific way, and then provide physicians recommendation on the treatment of sepsis to lower risk for patients dying from sepsis. The goal of this research is to develop a risk assessment tool and a risk management tool for sepsis. In order to achieve this goal, two system dynamic mathematical models (SDMMs) are initially developed to predict dynamic patterns of sepsis progression in innate immunity and adaptive immunity. The two SDMMs are able to identify key indicators and key processes of inflammatory responses to an infection, and a sepsis progression. Second, an integrated-mathematical-multi-agent-based model (IMMABM) is developed to capture the stochastic nature embedded in the development of inflammatory responses to a sepsis. Unlike existing agent-based models, this agent-based model is enhanced by incorporating developed SDMMs and extensive experimental data. With the risk assessment tools, a Markov decision process (MDP) is proposed, as a risk management tool, to apply to clinical decision-makings on sepsis. With extensive computational studies, the major contributions of this research are to firstly develop risk assessment tools to identify the risk of sepsis development during the immune system responding to an infection, and secondly propose a decision-making framework to manage the risk of infected individuals dying from sepsis. The methodology and modeling framework used in this dissertation can be expanded to other disease situations and treatment applications, and have a broad impact to the research area related to computational modeling, biology, medical decision-making, and industrial engineering.
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Shen, Hung-Wen. "The "small-firm" problem on standard and penalty setting with incomplete enforcement." Thesis, Georgia Institute of Technology, 1991. http://hdl.handle.net/1853/33613.
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Lin, Lebin. "Data Mining and Mathematical Models for Direct Market Campaign Optimization for Fred Meyer Jewelers." Wright State University / OhioLINK, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=wright1483558398637535.
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Hernandez, Gabriel. "Platform design for customizable products as a problem of access in a geometric space." Diss., Georgia Institute of Technology, 2001. http://hdl.handle.net/1853/16760.
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Wang, Shuai. "Data mining techniques and mathematical models for the optimal scholarship allocation problem for a state university." Wright State University / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=wright1515618183686262.
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Schreuder, F. A. "An investigation into global distribution systems in the crop protection industry and the development of distribution system managment model for particular application in South Africa and Australia." Thesis, Stellenbosch : Stellenbosch University, 2002. http://hdl.handle.net/10019.1/21185.
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Thesis (PhD)--Stellenbosch University, 2002.ENGLISH ABSTRACT: The traditional ways in which manufacturers of crop protection products exercised control over distribution systems have diminished in their impact. Control was based on quality products, the power of the brand, an installed customer base and a broad portfolio of mostly patented products. Manufacturers of crop protection products need to review the manner in which these products are marketed, which distribution system management models are to be used, and the importance that is placed on distribution system management in the marketing mix. The primary aim of this study was defined as: "The development of appropriate distribution system management models for application in South Africa and Australia~. The secondary aim was defined as: "Establishing the key factors which determine the relationship between manufacturers and distributorsn . The dominant economic characteristics of the global crop protection industry are deemed to consist of a global market valued at US $28,090 mio, a mature market in a decline phase, the rapid consolidation of industry players, increased generic product manufacturer activity and an overall decline in manufacturer profitability. In South Africa crop protection product manufacturers use approximately 46 independent distributors to market products on farms through 600 affiliated commissioned sales agents. In Australia the distribution of crop protection products is much more concentrated. Distribution is essentially controlled by five national distributors and their coupled salaried representatives. Manufacturers therefore rely on third parties for the marketing of their products to farmers in both countries. The applicable problem statement has been formulated to select a distribution system management model that will: (i) optimally balance direct distribution related cost and subsequent levels of control over distributors; (ii) maximise the probability that a distributor will buy and actively promote the complete product portfolio of a for high levels of interpersonal relationship maintenance; and (vi) manufacturers have to instill the philosophy that distribution system management is part of a manufacturer's strategic business and marketing focus and not simply a task to be performed by a third party.
AFRIKAANSE OPSOMMING: Die tradisionele maniare waarop die vervaardigers van oesbeskermingsprodukte beheer kan uitoefen oor verspreidingsisteme is nie meer so suksesvol nie. Beheer was gebaseer op kwaliteil produkte, die mag van die handelsmerk:n gevestigde klientebasis en 'n wye produktereeks,bestaande uit gepatenteerde produkte, Vervaardigers van oesbeskermingsprodulcte moet die wyse waarop hierdie produkte bemark word, watter verspreidingsisteem bestuursmodelle gebruik word en die belangrikheid wat geplaas word op die bestuur van die verspreidingsisteme in die totala bemarkingspoging in heroorweging neern. Die primere doelstelling van hierdie studie is: "Die ontwikkeling van toepaslike verspreidingsisteem bestuursmodelle vir toe passing in Suid-Afrika en Australia. "Die sekondere doelstelling is: "Die vas stelling van die sleutelfaktore wat die verhouding tussen velVaardigers (verskaffers) en verspreiders bepaar. Die dominante ekonomiese kenmerke van die globale oesbeskermingsindustrie is 'n markwaarde in VSA $ 28,090 miljoen, 'n stagnante mark in 'n agteruitgang lase, die drastiese konsolidasie van die industrie spelers, 'n toename in die aktiwiteite van die generiese produkvervaardigers en 'n algemene daling in die winsgewindheid van die vervaardigers. In Suid-Afrika gebruik die vervaardigers van die oesbeskermingsprodukte ongeveer 46 onafhanklike verspreiders om die produkte op plaasvlak te bemark met behulp van 600 geaffilieerde kommissie agente. Die verspreiding van oesbeskermingsprodukte is baie meer gekonsentreerd in Australie. Verspreiding word in wese beheer deur vyf nasionale verspreiders en hulle spanne van verkoopsteenwoordigers wat 'n salaris verdien. In beide lande moet velVaardigers van oesbeskermingsprodukte staatmaak op onafhanklike instansies vir die bemarking van hul produkte op plaasvlak. Die probleemsteiling is dus die uitdaging om 'n verspreidingsisteem bestuursmodel t9 ontwikkel wat: (i) . n optima Ie balans sal gee tussen direkte verspreidingskoste en gekoppelde vlakke van beheer oor verspreiders; (ii) die waarskynlikheid dat . n verspreider die betrokke produkreeks van die vervaardiger sal aankoop en aktief sal promoveer; (iii) dit kan bereik in . n mark waar verspreiders talle bronne het van soortgelyke produkte teen kompeterende pryse. Gebaseer op die sekondere navorsing wat gedoen is wit dit blyk dat daar 'n algemene konsensus is dat daar n nei9in9 weg is van transaksie spesifieke besigheidsverhoudings na besigheidsverhoudings gebaseer op vennootskap gebaseerde benaderings in die interaksie tussen vervaardigers (verskaffers) en verspreiders. Hierdie tipe besigheidsverhouding word gekenmerk deur hoe vlakke van onderlinge vertroue, wedersydse verbintenis, konflik hanteringsmeganismes en goeie wedersydse kommunikasie. Primere navorsing is in Suid-Afrika (253 respondente) en Australia (180 respondente) gedoen. Implikasies vir die konstruksie van verspreidingsisteem bestuursmodelle wat voortvloei uit hierdie navorsing sluit in die belangrikheid dat on vervaardiger on wye en gesogte produkreeks het, die vereiste dat produkte beproefde effektiwiteit het, produkte kompeterend geprys is, die vereiste vir hoe vlakke van verskaffer opvolgdiens en die vereiste vir goeie interpersoonlike verhouding tussen werknemers van beide die vervaardigers en die verspreiders. Hierdie elemente moet ondermeer gerugsteun word deur goeie kommunikasiesisteme. Die "idea Ie" verspreidingsisteem bestuursmodelle is vervolgens voorgestel vir beide Suid-Afrika en Australie, gebaseer op die bevindinge van ondermeer die sekondere- en primere navorsing. Hierdie mode lie het ten doel om toepaslike strukture en besigheidsbenaderings vir vervaardigers daar te stel om hulle behulpsaam te wees om die geidentifiseerde behoeftes van die verspreiders aan te spreek.
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Yang, Wenling. "M-GARCH Hedge Ratios And Hedging Effectiveness In Australian Futures Markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2000. https://ro.ecu.edu.au/theses/1530.
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This study deals with the estimation of the optimal hedge ratios using various econometric models. Most of the recent papers have demonstrated that the conventional ordinary least squares (OLS) method of estimating constant hedge ratios is inappropriate, other more complicated models however seem to produce no more efficient hedge ratios. Using daily AOIs and SPI futures on the Australian market, optimal hedge ratios are calculated from four different models: the OLS regression model, the bivariate vector autoaggressive model (BVAR), the error-correction model (ECM) and the multivariate diagonal Vcc GARCH Model. The performance of each hedge ratio is then compared. The hedging effectiveness is measured in terms of ex-post and ex-ante risk-return traHe-off at various forcasting horizons. It is generally found that the GARCH time varying hedge ratios provide the greatest portfolio risk reduction, particularly for longer hedging horizons, but hey so not generate the highest portfolio return.
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Burnett, Sulene. "A simplified numerical decision making toolbox for physical asset management decisions." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/85626.
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Thesis (MEng)--Stellenbosch University, 2013.ENGLISH ABSTRACT: The management of physical assets has become a popular eld of study over recent years and is being acknowledged in multiple disciplines world wide. In this project, research on Physical Asset Management (PAM), maintenance and decision making are presented. PAM is a complex subject and requires the participation of multiple disciplines in order to successfully manage physical assets. Moreover, the management of maintenance makes a big contribution in achieving successful PAM. Decision making is a core element to manage maintenance e ciently, both on strategic and operational level. Various methods and techniques can be used to aid the decision making process such as, using past experience, xed decision making techniques and techniques involving numerical calculations, to mention only a few. However, using numerical calculations to make decisions are not very popular. This is due to various reasons, for example the inherent complexity of the mathematics and the time required to execute such calculations are disliked. People tend to avoid complex numerical calculations and rather rely on past experience and discussion of circulating opinions to make decisions. This is not ideal and can lead to inconsistent and inaccurate decisions. In this project, the importance of numerical decision making is researched, especially in maintenance related decisions. The focus is placed on the simpli cation of numerical decision making techniques with the aim to make it easy and quick to use to support operational PAM decisions. Di erent decisions regarding PAM, especially decisions with regards to managing maintenance in order to achieve PAM, are discussed by means of a literature study. This is done to clarify the applicability of using numerical decision making techniques to support this type of decisions. A few di erent available numerical techniques are highlighted that can be used to support the decision making process. The decisions together with numerical decision making techniques are evaluated in order to combine the most appropriate techniques in a simpli ed manner. The purpose of this is that it can be used by anyone with the necessary knowledge of a speci c system or operation. As a result a simpli ed numerical decision making toolbox is developed that can support maintenance related decision. This toolbox is applied to a real life situation by means of a case study, made possible by Anglo American Platinum Limited (Amplats). An evaluation and validation of the toolbox is done through the case study to conclude wether it has value in practice or not.
AFRIKAANSE OPSOMMING: Die bestuur van siese bates het die afgelope paar jaar 'n gewilde studieveld geword en word erken in verskeie dissiplines reg oor die w^ereld. In hierdie projek word navorsing gedoen oor Fisiese Bate Bestuur (FBB), instandhouding en besluitneming. FBB is 'n komplekse onderwerp en vereis die deelname van verskeie dissiplines om sukses te behaal. Die bestuur van instandhouding maak 'n groot bydrae tot suksesvolle FBB. 'n Kern element van doeltre ende instandhouding is besluitneming, beide op strategiese en operasionele vlak. Verskillende metodes en tegnieke kan gebruik word om die besluitnemingsproses te ondersteun soos byvoorbeeld om gebruik te maak van ondervinding en vorige gebeurtenisse, vaste besluitnemingstegnieke, tegnieke wat numeriese berekeninge gebruik en nog meer. Die gebruik van numeriese metodes om besluite te neem is nie baie gewild nie. Dit is as gevolg van verskeie redes soos byvoorbeeld die inherente kompleksiteit en ingewikkeldheid van die wiskunde en ook die tyd wat benodig word om sulke berekeninge uit te voer. Mense is geneig om ingewikkelde numeriese berekeninge te vermy en eerder staat te maak op vorige ervaring en die bespreking van menings om besluite te neem. Dit is nie ideaal nie en kan lei tot onkonsekwente besluite, of selfs verkeerde besluite. In hierdie projek is die belangrikheid van numeriese besluitneming nagevors, veral in die onderhoudsverwante besluite. Die fokus word geplaas op die vereenvoudiging van die numeriese besluitnemings tegnieke. Die doel is om dit op so 'n manier te vereenvoudig dat dit maklik en vinnig is om te gebruik vir operasionele FBB besluite. Verskillende besluite oor FBB, veral besluite met betrekking tot instandhouding om suksesvolle FBB te bereik, word bespreek deur middel van 'n literatuurstudie. Die literatuurstudie ondersoek die toepaslikheid van die gebruik van numeriese besluitnemingstegnieke vir hierdie soort besluite. 'n Paar verskillende beskikbare numeriese tegnieke wat gebruik kan word om die besluitnemingsproses te ondersteun word uitgelig. Die besluite, saam met numeriese besluitnemingtegnieke, word ge evalueer om die mees gepaste tegnieke te kombineer in 'n vereenvoudigde manier. Uiteindelik moet dit deur enige iemand met die nodige kennis van 'n spesi eke stelsel of proses gebruik kan word. As resultaat is 'n vereenvoudigde numeriese besluitnemingstegniekkombinasie ontwikkel wat besluite verwant aan instandhouding kan ondersteun. Hierdie tegniek-kombinasie word toegepas in 'n werklike situasie deur middel van 'n gevallestudie, wat moontlik gemaak is deur Anglo American Platinum Limited. 'n Evaluering en validering van die tegniek-kombinasie word gedoen in die gevallestudie om te bepaal of dit wel waarde het in die praktyk of nie.
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Dorjgurhem, Batbold. "Regional biodiversity management strategy : case study on the Flinders Ranges." Title page, contents and abstract only, 1999. http://web4.library.adelaide.edu.au/theses/09AS/09asd699.pdf.
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Bibliography: leaves 107-117. This thesis examines the rationale for managing biological diversity on a regional basis and develops recommendations for the use of two computational methods in biodiversity management planning by conducting a case study in the Flinders Ranges, centred on the Yellow-footed Rock Wallaby (abstract)
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Gunnarsson, Helene. "Supply chain optimization in the forest industry /." Linköping : Department of Mathematics, Linköpings universitet, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-8856.
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Burger, Dirk Adriaan. "The development of an optimal earthmoving machine replacement interval model in an open-cast mining environment." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52511.
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Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: The replacement of earthmoving machines forms a significant portion of the annual capital expenditure on South African mines. The decision on the timing of the replacement varies substantially between different operations, but frequently it is not based on any scientific study or analysis. The reason for this is that most textbooks propose complex calculations for the determination of an optimal replacement point, and subsequently the mathematical effort serves as a deterrent to those who are tasked with replacement evaluation. This study proposed a simple graphic method which is suitable for everyday use, and which can quickly be adapted when conditions change. The model furthermore makes provision for the analysis of the replacement of both the current machines (the so-called defenders) as well as an evaluation of potential replacement machines (the so-called challengers). In addition, the model also makes provision for the incorporation of non-cash factors, such as productivity and reliability.
AFRIKAANSE OPSOMMING: Die jaarlikse vervanging van grondversuiwing masjienerie maak 'n groot deel uit van die kapitaalplan van die meeste Suid-Afrikaanse myne. Die metode van besluitneming oor die presiese tydsberekening van die vervanging verskil ook tussen die verskillende organisasies, maar dit is selde gebaseer op 'n wetenskaplike analiese. Die rede hiervoor is dat die meeste handboeke komplekse wiskunde modelle voorstel vir die berekening van 'n optimate masjien vervangingspunt. The kompleksiteit gee daartoe aan dat baie nie kans sien om dit te probeer doen nie, en gevolging wegskram van enige analise. Hierdie studie projek stel 'n eenvoudige grafiese model voor vir allerdaagse gebruik, wat ook vinning gewysig kan word as toestande verander. The model maak ook voorsiening vir die analise van beide die huidige masjien (die sogenaamde verdediger) se optimale vervangingspunt, sowel as die evaluasie van potentiele nuwe masjiene (die sogenaamde aanvallers.) Die model maak verder ook voorsiening vir faktore wat nie normaalweg in geldwaarde beskryf word nie soos byvoorbeeld produktiwiteit en betroubaarheid.
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Phan, Kenny. "Innovation Measurement: a Decision Framework to Determine Innovativeness of a Company." PDXScholar, 2013. https://pdxscholar.library.pdx.edu/open_access_etds/1017.
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Innovation is one of the most important sources of competitive advantage. It helps a company to fuel the growth of new products and services, sustain incumbents, create new markets, transform industries, and promote the global competitiveness of nations. Because of its importance, companies need to manage innovation. It is very important for a company to be able to measure its innovativeness because one cannot effectively manage without measurement. A good measurement model will help a company to understand its current capability and identify areas that need improvement.
In this research a systematic approach was developed for a company to measure its innovativeness. The measurement of innovativeness is based on output indicators. Output indicators are used because they cannot be manipulated. A hierarchical decision model (HDM) was constructed from output indicators. The hierarchy consisted of three levels: innovativeness index, output indicators and sub-factors.
Experts' opinions were collected and quantified. A new concept developed by Dr. Dundar Kocaoglu and referred to as "desirability functions" was implemented in this research.
Inconsistency of individual experts, disagreement among experts, intraclass correlation coefficients and statistical F-tests were calculated to test the reliability of the experts' judgments. Sensitivity analysis was used to test the sensitivity of the output indicators, which indicated the allowable range of the changes in the output indicators in order to maintain the priority of the sub-factors.
The outcome of this research is a decision model/framework that provides an innovativeness index based on readily measurable company output indicators.
The model was applied to product innovation in the technology-driven semiconductor industry. Five hypothetical companies were developed to simulate the application of the model/framework. The profiles of the hypothetical companies were varied considerably to provide a deeper understanding of the model/framework. Actual data from two major corporations in the semiconductor industry were then used to demonstrate the application of the model.
According to the experts, the top three sub-factors to measure the innovativeness of a company are revenue from new products (28%), market share of new products (21%), and products that are new to the world (20%).
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Lim, Dong-Joon. "Technological Forecasting Based on Segmented Rate of Change." PDXScholar, 2015. https://pdxscholar.library.pdx.edu/open_access_etds/2220.
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Consider the following questions in the early stage of new product development. What should be the target market for proposed design concepts? Who will be the competitors and how fast are they moving forward in terms of performance improvements? Ultimately, is the current design concept and targeted launch date feasible and competitive?
To answer these questions, there is a need to integrate the product benchmarking with the assessment of performance improvement so that analysts can have a risk measure for their R&D target setting practices. Consequently, this study presents how time series benchmarking analysis can be used to assist scheduling new product releases. Specifically, the proposed model attempts to estimate the "auspicious" time by which proposed design concepts will be available as competitive products by taking into account the rate of performance improvement expected in a target segment.
The empirical illustration of commercial airplane development has shown that this new method provides valuable information such as dominating designs, distinct segments, and the potential rate of performance improvement, which can be utilized in the early stage of new product development. In particular, six dominant airplanes are identified with corresponding local RoCs and, inter alia, technological advancement toward long-range and wide-body airplanes represents very competitive segments of the market with rapid changes. The resulting individualized RoCs are able to estimate the arrivals of four different design concepts, which is consistent with what has happened since 2007 in commercial airplane industry.
In addition, the case study of the Exascale supercomputer development is presented to demonstrate the predictive use of the new method. The results indicate that the current development target of 2020 might entail technical risks considering the rate of change emphasizing power efficiency observed in the past. It is forecasted that either a Cray-built hybrid system using Intel processors or an IBM-built Blue Gene architecture system using PowerPC processors will likely achieve the goal between early 2021 and late 2022. This indicates that the challenge to improve the power efficiency by a factor of 23 would require the maximum delay of 4 years to reach the Exascale supercomputer compared to the existing performance curve.
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Martello, Charles P. "NATO burden-sharing redefinition for a changing European threat /." Thesis, Monterey, California : Naval Postgraduate School, 1990. http://handle.dtic.mil/100.2/ADA242560.
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Thesis (M.S. in Management)--Naval Postgraduate School, December 1990.Thesis Advisor(s): Gates, William. Second Reader: Doyle, Richard. "December 1990." Description based on title screen as viewed on April 2, 2010. DTIC Identifier(s): NATO, Defense Planning, Industrial Production, Economics, Burden Sharing, Defense Industries, Sharing, Costs, Military Forces (Foreign), Military Forces (United States), Military Equipment, Mathematical Models, Military Reserves, Industrial Capacity. Author(s) subject terms: Burden-sharing, NATO. Includes bibliographical references (p. 75-80). Also available in print.
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Huber, Anita. "Internal mixing in a mine lake." University of Western Australia. School of Environmental Systems Engineering, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0103.
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[Truncated abstract] Mine lakes are a water body created after an open-cut mine ceases operating. The lakes develop in the former mine-pit due to the combination of groundwater inflow, surface run-off and, in some cases, due to rapid filling from river diversion. While potentially valuable water resources, these lakes often have poor water quality and managing the water body is an important part of the overall process of mine site rehabilitation. As mine lakes form in man-made pits, they have a bathymetry that is typically quite distinct from natural lakes and this can, in turn, strongly influence the hydrodynamics and hence the water quality of the water body. Despite the potential importance of these water bodies, there have been very few studies on the hydrodynamics of mine lakes. This study describes a field investigation of the hydrodynamics of a former coal mine lake, Lake Kepwari, in south-western Western Australia. In particular, this study examines the hydrodynamic processes in both the surface mixing layers and the internal mixing in the density stratified lake. Wind sheltering in the surface mixing layer occurs due to the presence of the steep walls and lake embankments. A week long field experiment was conducted in December 2003 using a combination of moored thermistor chains with meteorological stations and the deployment of rapid vertical profiling turbulent microstructure instruments and CTD drops from two boats operating on the lake. ... Simulations indicated that inclusion of a site specific sheltering effect, based on the results of the field campaign, significantly improved the models‘ performance in capturing the surface mixed layer deepening associated with episodic strong wind events that occur on the lake. Considerable internal mixing was indicated by the high dissipation rates observed, particularly near the boundaries. Large basin-wide diffusivities were also calculated from the heat budget method over long periods, showed a consistency with time, and were slightly higher in summer than during the Autumn Winter period. Although light, there are persistent winds over the lake and yet little basin-scale internal wave activity or seiching. It is hypothesized that any seiching motion was rapidly damped by strong mixing over the hydraulically rough bathymetry bathymetry created by the remnant benches from the open cut mining operation itself. This boundary mixing, in turn, drives secondary relaxation currents that transport mixed fluid from the boundaries to the interior, resulting in high effective basin-wide diffusivities. A simple boundary mixing model is proposed to describe this process.
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Manipura, Walappuly Mudiyanselage Janakasiri Aruna Shantha Bandara. "Bioprocess development for removal of nitrogenous compounds from precious metal refinery wastewater." Thesis, Rhodes University, 2008. http://hdl.handle.net/10962/d1007341.
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Removal of nitrogenous compounds from precious metal refinery (PMR) wastewater is important in terms of avoiding eutrophication (environmental protection), metal recovery (increased overall process efficiency and value recovery) and reuse of treated water (maximum use of natural resources). Extreme pH conditions (4 to 13 depending on the wastewater stream), high chemical oxygen demand (> 10,000 mg/I), numerous metals and high concentrations of those metals (> 20 mg/l of platinum group metals) in the wastewater are the main challenges for biological removal of nitrogenous compounds from PMR wastewater. Nitrogenous compounds such as NH₄⁺-N and N0₃-N are strong metal ligands, which make it difficult to recover metals from the wastewater. Therefore, a bioprocess was developed for removal of nitrogenous compounds from carefully simulated PMR wastewater. A preliminary investigation of metal wastewater was carried out to determine its composition and physico-chemical properties, the ability to nitrify and denitrify under different pH conditions and denitrification with different carbon Source compounds and amounts. Even at pH 4, nitrification could be carried out. A suitable hydraulic retention time was found to be 72 hours. There was no significant difference between sodium acetate and sodium lactate as carbon sources for denitrification. Based on these results, a reactor comparison study was carried out using simulated PMR wastewater in three types of reactors: continuously stirred tank reactor (CSTR), packed-bed reactor (PBR) and airlift suspension reactor (ALSR). These reactors were fed with 30 mg/l of Rh bound in an NH₄⁺ based compound (Claus salt: pentaaminechlororhodium (III) dichloride). Total nitrogen removal efficiencies of > 68 % , > 79 % and > 45 % were obtained in the CSTR, PBR and ALSR, respectively. Serially connected CSTR-PBR and PBR-CSTR reactor configurations were then studied to determine the best configuration for maximum removal of nitrogenous compounds from the wastewater. The PBR-CSTR configuration gave consistent biomass retention and automatic pH control in the CSTR. Ammonium removal efficiencies > 95 % were achieved in both reactors. As poor nitrate removal was observed a toxicity study was carried out using respirometry and the half saturation inhibition coefficients for Pt, Pd, Rh and Ru were found to be 15.81, 25.00, 33.34 and 39.25 mg/l, respectively. A mathematical model was developed to describe the nitrogen removal in PMR wastewater using activated sludge model number 1 (ASMl), two step nitrification and metal toxicity. An operational protocol was developed based on the literature review, experimental work and simulation results. The optimum reactor configuration under the set conditions (20 mg/I of Rh and < 100 mg/I of NH₄⁺-N) was found to be PBR-CSTR-PBR process, which achieved overall NH₄⁺-N and N0₃⁻-N removal efficiencies of > 90 % and 95 %, respectively. Finally, a rudimentary microbial characterisation was carried out on subsamples from the CSTR and PBRsecondary. It was found that the CSTR biomass consisted of both rods and cocci while PBRsecondary consisted of rods only. Based on these experimental works, further research needs and recommendations were made for optimisation of the developed bioprocess for removal of nitrogenous compounds from PMR wastewater.
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Загорняк, В. Б. "Економіко-організаційне забезпечення управління промисловою безпекою праці на нафтогазовидобувних підприємствах." Thesis, Івано-Франківський національний технічний університет нафти і газу, 2010. http://elar.nung.edu.ua/handle/123456789/4365.
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У дисертаційній роботі здійснено аналіз сучасних теоретико-методологічних підходів до формування системи промислової безпеки праці та розроблено модель управління нею на нафтогазовидобувних підприємствах, яка базується на принципах управління соціально-економічними системами. Запропоновано в сучасній моделі промислової безпеки праці виокремити економічні елементи в окремий компонент у зв'язку зі значимістю економічних важелів управління промисловою безпекою праці в ринкових умовах. Розроблено методику формування витрат, пов'язаних із забезпеченням промислової безпеки та виведено формулу визначення витрат, спричинених травматизмом на нафтогазовому виробництві. Розроблено економіко-математичні моделі ймовірності забезпечення промислової безпеки праці на підприємствах галузі.
Запропоновано схему контролю виконання заходів із забезпечення промислової безпеки праці на нафтогазовидобувному підприємстві. Розроблено п'ятиступеневу модель виробничого контролю за промисловою безпекою праці на підприємствах.
Реалізація запропонованої системи управління промисловою безпекою праці на нафтогазовидобувних підприємствах дозволить підвищити надійність і безпеку виробництва в цілому, що дасть значний економічний ефект.В диссертационной работе представлены теоретико-методологическое обоснование и новое практическое решение научной задачи экономико-организационного обеспечения управления промышленной безопасности труда на нефтегазодобывающих предприятиях. Результаты анализа информационной базы по проблемам безопасности промышленного производства, охраны труда и безопасности жизнедеятельности позволили обосновать целесообразность использования понятия «промышленная безопасность труда» как системы, обеспечивающей рациональное (с позиций сохранения жизни, здоровья и работоспособности работающих) взаимодействие людей с техническими средствами и окружающей средой в сфере их трудовой деятельности. В современной модели промышленной безопасности труда предложено выделить экономические элементы в отдельный компонент в связи со значимостью экономических рычагов управления промышленной безопасностью труда в рыночных условиях. Разработана методика формирования расходов, связанных с обеспечением промышленной безопасности, и выведена формула определения расходов, обусловленных травматизмом в нефтегазовом производстве. Разработаны экономико-математические модели вероятности обеспечения промышленной безопасности труда на предприятиях отрасли. Осуществлён анализ современных теоретико-методологических подходов к формированию системы промышленной безопасности труда и разработана её модель управления на нефтегазодобывающих предприятиях, которая базируется на принципах управления социально-экономическими системами. Предложена схема контроля за выполнением мероприятий по обеспечению промышленной безопасности труда на нефтегазодобывающих предприятиях, практическая реализация которой позволяет осуществлять эффективное, оперативное и планомерное системное проектирование плановых и внеплановых технических и учебных мероприятий по обеспечению промышленной безопасности труда для конкретного подразделения предприятия с учетом статистического анализа и основываясь на действующей нормативной базе по его функциях и соответствующей деятельности. Одновременно разработана пятиступенчатая модель производственного контроля за промышленной безопасностью труда на нефтегазодобывающих предприятиях, важнейшей доминантой которой является разработанная модель оценки ее состояния (связанной с его обеспечением работы) по коэфициенту безопасности. Реализация предложенной системы управления промышленной безопасностью труда на нефтегазодобывающих предприятиях позволит повысить надежность и безопасность производства в целом, что даст значительный экономический эффект. Практические результаты проведенных исследований универсальны и могут быть использованы для предприятий, среди задач которых является обеспечение и управление системой промышленной безопасностью труда. Практическое применение полученных в работе результатов позволяет существенно повысить уровень промышленной безопасности труда на предприятиях, что в свою очередь будет способствовать их успешному функционированию в постоянно меняющихся рыночных условиях.
In the dissertation was carried out the analysis of modern theoretical-methodological approaches for the formation of the system of industrial labour safety. There was also elaborated the management model by industrial labour safety at the oil and gas extracting enterprises which is based upon the principles of management the social-economic systems. There was proposed in the contemporary model of the industrial labour safety to select economic elements in a separate component in connection with the significance of economic units of management by industrial labour safety in market conditions. There was elaborated the method of expenses formation, connected with providing of industrial safety and carried out the formula of expenditures determination, conditioned the traumatism at the oil and gas extracting production. There were developed economic-mathematical models of credibility of providing industrial labour safety at enterprises of the branch. It was offered the control scheme of making measures of providing industrial labour safety at the oil and gas extracting enterprise. There was made a five-level model of producing control for industrial labour safety at the enterprises. Realization of the offered management system by industrial labour safety at the oil and gas extracting enterprises will allow to promote reliability and safety of the production on the whole, that will give a considerable economic effect.
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"Inventory and procurement management in the presence of spot markets." Thesis, 2009. http://library.cuhk.edu.hk/record=b6074945.
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In the first model, we study the optimal procurement strategy in a two-period framework when both the spot market and the forward contract are considered. The forward contract is agreed upon in the first period, and is then delivered in the second period, when the spot market is also available. This is followed by production and demand. The objective of the buyer is to minimize his expected cost. We study the problem for two scenarios: the buyer cannot and can sell to the spot market. Through our analysis, when the buyer can not sell to the spot market, there exists a threshold forward price, under which the buyer will enter into the forward contract. This threshold is lower than the expected spot price. Furthermore, we analytically show that the optimal order quantities via forward contract increase in the mean of the spot price, but decrease in the variability of the spot price. However, the buyer only speculates using the forward contract when he can sell to spot market.In the second model, we consider a problem in which a buyer makes procurement decisions when he faces periodic random demand and two supply sources, one is a long-term contract supplier and the other is a spot market. When he procures from the contract supplier, a fixed unit price is charged and a predetermined minimum quantity for each period must be committed, and when he procures from the spot market, a stochastic spot price plus a fixed setup cost is charged. The spot price is only realized at the beginning of each period. We show that the optimal policy consists three different (s, S) type policies. More important, we identify certain conditions under which there exist monotone properties between the policy parameters and the current spot price for a general Markov spot price process. Then, we can divide the price space into three regions, each of which corresponds to a specific policy, for each period. We also conduct numerical analysis to gain more insights into how the spot market impacts the buyer's performance. We find the buyers benefits from a more volatile market.
The last model extends the second model by incorporating an important feature that is widely seen; i.e., the procurement from the contract supplier should fulfill a total order quantity commitment (TOQC). The TOQC requires the buyer to procure no less than the predetermined commitment during the contract period, which we call the planning horizon. Thus, in each period, the buyer trades off between the possible lower cost now (by procuring from the spot market) and the reduced cost in the future (by reducing the remaining commitment). Two types of commitment contracts are considered: a minimal TOQC contract and a definite quantity contract. Our analysis characterizes an optimal procurement policy which depends on the spot price in each period and an optimal virtual remaining commitment level. Such a structured policy can be viewed as a combination of some policies of base-stock type, each of which can be computed through an equivalent system without any commitment. Moreover, some of these equivalent systems are of simple multiple-period newsvendor type. This greatly simplifies the computation of the optimal policies. We also numerically analyze how the TOQC and the spot market affects the buyer's performance.
This research develops mathematical models for inventory and procurement management in the presence of spot markets. More specifically, we consider those models by incorporating different types of supply contracts. Particular attention is paid to the quantity flexible contracts. This research is an attempt to understand how firms should adopt their operating policies in the presence of fluctuating commodity prices. In this thesis, we mainly consider the following three models.
Xue, Weili.
Adviser: Youhua Chen.
Source: Dissertation Abstracts International, Volume: 72-11, Section: B, page: .
Thesis (Ph.D.)--Chinese University of Hong Kong, 2009.
Includes bibliographical references (leaves 122-134).
Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
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Tran, Du Vinh. "Three essays on industrial organization." Thesis, 2007. http://hdl.handle.net/2152/3055.
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Tran, Du Vinh 1977. "Three essays on industrial organization." 2007. http://hdl.handle.net/2152/13235.
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Hewitson, Christopher Michael. "Optimisation of water distribution systems using genetic algorithms for hydraulic and water quality issues / by Christopher Michael Hewitson." 1999. http://hdl.handle.net/2440/19536.
Full textAbstract:
Corrigenda pasted onto front end paper.One folded col. map in pocket on back endpaper.
Bibliography: leaves 348-368.
xx, 368 leaves : ill. (some col.), maps (some col.) ; 30 cm.
Title page, contents and abstract only. The complete thesis in print form is available from the University Library.
Develops a framework balancing water quality costs resulting from waterborne disease, disinfection by-product exposure and aesthetic concerns, against hydraulic costs, which include pipes, pumps and tanks. The genetic algorithms developed, successfully obtained the current optimal hydraulic solution, before adapting the model to incorporate water quality issues.
Thesis (Ph.D.)--University of Adelaide, Dept. of Civil and Environmental Engineering, 2000
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Hewitson, Christopher Michael. "Optimisation of water distribution systems using genetic algorithms for hydraulic and water quality issues / by Christopher Michael Hewitson." Thesis, 1999. http://hdl.handle.net/2440/19536.
Full textAbstract:
Develops a framework balancing water quality costs resulting from waterborne disease, disinfection by-product exposure and aesthetic concerns, against hydraulic costs, which include pipes, pumps and tanks. The genetic algorithms developed, successfully obtained the current optimal hydraulic solution, before adapting the model to incorporate water quality issues.Thesis (Ph.D.) -- University of Adelaide, Dept. of Civil and Environmental Engineering, 2000
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Desir, Antoine Minh. "Fundamental Tradeoffs for Modeling Customer Preferences in Revenue Management." Thesis, 2017. https://doi.org/10.7916/D8F76QZ0.
Full textAbstract:
Revenue management (RM) is the science of selling the right product, to the right person, at the right price. A key to the success of RM, which now spans a broad array of industries, is its grounding in mathematical modeling and analytics. This dissertation contributes to the development of new RM tools by: (1) exploring some fundamental tradeoffs underlying any RM problems, and (2) designing efficient algorithms for some RM applications. Another underlying theme of this dissertation is the modeling of customer preferences, a key component of any RM problem.
The first chapters of this dissertation focus on the model selection problem: many demand models are available but picking the right model is a challenging task. In particular, we explore the tension between the richness of a model and its tractability. To quantify this tradeoff, we focus on the assortment optimization problem, a very general and core RM problem. To capture customer preferences in this context, we use choice models, a particular type of demand model. In Chapters 1, 2, 3 and 4 we design efficient algorithms for the assortment optimization problem under different choice models. By assessing the strengths and weaknesses of different choice models, we can quantify the cost in tractability one has to pay for better predictive power. This in turn leads to a better understanding of the tradeoffs underlying the model selection problem.
In Chapter 5, we focus on a different question underlying any RM problem: choos- ing how to sell a given product. We illustrate this tradeoff by focusing on the problem of selling ad impressions via Internet display advertising platforms. In particular, we study how the presence of risk-averse buyers affects the desire for reservation con- tracts over real time buy via a second-price auction. In order to capture the risk aversion of buyers, we study different utility models.
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Yuan, Kai. "Essays on Liquidity Risk and Modern Market Microstructure." Thesis, 2017. https://doi.org/10.7916/D8FR07W6.
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Liquidity, often defined as the ability of markets to absorb large transactions without much effect on prices, plays a central role in the functioning of financial markets. This dissertation aims to investigate the implications of liquidity from several different perspectives, and can help to close the gap between theoretical modeling and practice.
In the first part of the thesis, we study the implication of liquidity costs for systemic risks in markets cleared by multiple central counterparties (CCPs). Recent regulatory changes are trans- forming the multi-trillion dollar swaps market from a network of bilateral contracts to one in which swaps are cleared through central counterparties (CCPs). The stability of the new framework de- pends on the resilience of CCPs. Margin requirements are a CCP’s first line of defense against the default of a counterparty. To capture liquidity costs at default, margin requirements need to increase superlinearly in position size. However, convex margin requirements create an incentive for a swaps dealer to split its positions across multiple CCPs, effectively “hiding” potential liquidation costs from each CCP. To compensate, each CCP needs to set higher margin requirements than it would in isolation. In a model with two CCPs, we define an equilibrium as a pair of margin schedules through which both CCPs collect sufficient margin under a dealer’s optimal allocation of trades. In the case of linear price impact, we show that a necessary and sufficient condition for the existence of an equilibrium is that the two CCPs agree on liquidity costs, and we characterize all equilibria when this holds. A difference in views can lead to a race to the bottom. We provide extensions of this result and discuss its implications for CCP oversight and risk management.
In the second part of the thesis, we provide a framework to estimate liquidity costs at a portfolio level. Traditionally, liquidity costs are estimated by means of single-asset models. Yet such an approach ignores the fact that, fundamentally, liquidity is a portfolio problem: asset prices are correlated. We develop a model to estimate portfolio liquidity costs through a multi-dimensional generalization of the optimal execution model of Almgren and Chriss (1999). Our model allows for the trading of standardized liquid bundles of assets (e.g., ETFs or indices). We show that the benefits of hedging when trading with many assets significantly reduce cost when liquidating a large position. In a “large-universe” asymptotic limit, where the correlations across a large number of assets arise from a relatively few underlying common factors, the liquidity cost of a portfolio is essentially driven by its idiosyncratic risk. Moreover, the additional benefit from trading standardized bundles is roughly equivalent to increasing the liquidity of individual assets. Our method is tractable and can be easily calibrated from market data.
In the third part of the thesis, we look at liquidity from the perspective of market microstructure, we analyze the value of limit orders at different queue positions of the limit order book. Many modern financial markets are organized as electronic limit order books operating under a price- time priority rule. In such a setup, among all resting orders awaiting trade at a given price, earlier orders are prioritized for matching with contra-side liquidity takers. In practice, this creates a technological arms race among high-frequency traders and other automated market participants to establish early (and hence advantageous) positions in the resulting first-in-first-out (FIFO) queue. We develop a model for valuing orders based on their relative queue position. Our model identifies two important components of positional value. First, there is a static component that relates to the trade-off at an instant of trade execution between earning a spread and incurring adverse selection costs, and incorporates the fact that adverse selection costs are increasing with queue position. Second, there is also a dynamic component, that captures the optionality associated with the future value that accrues by locking in a given queue position. Our model offers predictions of order value at different positions in the queue as a function of market primitives, and can be empirically calibrated. We validate our model by comparing it with estimates of queue value realized in backtesting simulations using marker-by-order data, and find the predictions to be accurate. Moreover, for some large tick-size stocks, we find that queue value can be of the same order of magnitude as the bid-ask spread. This suggests that accurate valuation of queue position is a necessary and important ingredient in considering optimal execution or market-making strategies for such assets.
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Crawley, P. D. "Optimum operating policies for multiple reservoir systems." Thesis, 1990. http://hdl.handle.net/2440/115778.
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Beck, Judith A. "Decision support for Australian fire management." Master's thesis, 1988. http://hdl.handle.net/1885/155786.
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Maartens, Willem Pieter. "Ontwikkeling van 'n besluitnemingsmodel vir geselekteerde bedryfsaktiwiteite." Thesis, 2014. http://hdl.handle.net/10210/10149.
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"Supply contract management with information updates." 2002. http://library.cuhk.edu.hk/record=b6073408.
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Huang Hongyan."February 2002."
Thesis (Ph.D.)--Chinese University of Hong Kong, 2002.
Includes bibliographical references (p. 134-142).
Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Mode of access: World Wide Web.
Abstracts in English and Chinese.
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Fu, Baihua. "An integrated catchment-scale approach to indentifying suspended sediment sources." Phd thesis, 2008. http://hdl.handle.net/1885/150837.
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Wijayanto, Yagus. "Cumulative Effects Assessment (CEA) in spatially unconstrained area using geographical information systems (GIS) and water quality modelling : thesis submitted for the degree of Doctor of Philosophy / Yagus Wijayanto." 2002. http://hdl.handle.net/2440/21817.
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Includes bibliographical references (leaves [268]-285)xiv, 285, [85] leaves : ill. (some folded), maps (col., folded) ; 30 cm.
Title page, contents and abstract only. The complete thesis in print form is available from the University Library.
Thesis (Ph.D.)--University of Adelaide, Dept. of Geographical and Environmental Studies, 2002
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Wijayanto, Yagus. "Cumulative Effects Assessment (CEA) in spatially unconstrained area using geographical information systems (GIS) and water quality modelling : thesis submitted for the degree of Doctor of Philosophy / Yagus Wijayanto." Thesis, 2002. http://hdl.handle.net/2440/21817.
Full textAbstract:
Includes bibliographical references (leaves [268]-285)xiv, 285, [85] leaves : ill. (some folded), maps (col., folded) ; 30 cm.
Thesis (Ph.D.)--University of Adelaide, Dept. of Geographical and Environmental Studies, 2002
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Gilmour, Juliet Karla. "An integrated modelling approach for assessing land use change and water allocation policy options." Phd thesis, 2003. http://hdl.handle.net/1885/148557.
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Olanrewaju, Oludolapo Akanni. "Analysis and development of an integrated model for assessment of the energy efficiency potential in the industrial sector." 2013. http://encore.tut.ac.za/iii/cpro/DigitalItemViewPage.external?sp=1001030.
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D. Tech. Industrial Engineering.Discusses purpose of this study is to derive a new model capable of advanced diagnosis and analysis of energy usage to determine the possible energy efficiency potential through the following in a single model: Analysis of industrial historical data; Prediction of the industrial energy baseline; Computation of the industrial energy efficiency; and Optimization of the industrial energy consumption usage. In this context, the development of a new model involves: Carrying out literature survey; Carrying out Mathematical Analysis of the dynamics of energy efficiency in an industry; Critically analyzing and testing existing models; Evolve a new and novel model; Test the model using data from specific industry; Apply the model to eleven industrial sectors in South Africa. This thesis on energy efficiency potential will be a milestone for different stakeholders, policymakers and decision makers in the energy sector at national and international levels who are, or will be interested in reducing energy input and still produce the observed output levels, by becoming technically efficient. The approach adopted by the study is the integration of Index Decomposition Analysis (IDA), Artificial Neural Network (ANN) and Data Envelopment Analysis (DEA) into a single model.This methodology combines modeling, which is at the core of an energy-management technique, with a wider interpretation of activity growth, structure and efficiency changes which contribute to changes in energy consumption.
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Davidson, Gina Monique. "The relationship between organisational culture and financial performance in a South African investment bank." Diss., 2003. http://hdl.handle.net/10500/996.
Full textAbstract:
This research explores the relationship between the organisational culture and financial performance of a South African investment bank by means of quantitative research. The Denison Organizational Culture Survey was used to measure the organisational culture of the investment bank and was administered to a sample of 327 employees. Income statement ratio analysis was selected as a means to assess the financial performance. The results indicate that very few of the financial measures selected could be shown to be correlated with the organisational cultural traits or subscales. Correlations between the cultural dimensions of team orientation, agreement, customer focus and vision were found with certain financial measures. Although these correlations were above the 0.50 level, the levels of significance were not sufficient in all cases to draw conclusions with confidence. The only cultural trait that was found to be correlated with financial measures was the consistency trait.Industrial and Organisational Psychology
M.Com. (Industrial and Organisational Psychology)
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Misiorek, Violetta Iwona. "Controlling processes with reference to costs, item price and process evolution." Thesis, 1998. https://vuir.vu.edu.au/18194/.
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This thesis presents some recent work of the author in developing the analysis
of a number of process control models that take into account statistical, economic and
other practical issues. Special attention is paid to the problem of optimum selection the initial process mean setting, with particular reference to filling/canning processes.
As there are many different situations that involve different cost parameters, this leads
to the consideration of various models each with their own particular solution. The
effects of change of the process variance on the optimal solution as well as on the
expected profit are discussed. Implications to 'Weights and Measures' requirements of
following this optimality path are provided, with particular reference to loss in
expected profit per item.
Chapter 1 provides a brief introduction and is followed by a literature review
in Chapter 2.
Chapter 3 deals with the issue of selecting the optimum process mean by
presenting a simple model and emphasising the dependencies between the process
parameters.
Chapter 4 further investigates the problem presented in Chapter 3 and presents
several models for which the selection of the most profitable process setting is
considered, concentrating on a canning problem. Various industrial filling processes
are described and some of the issues considered include: waste, overfill, top-up, and
the penalty costs for items that initially fail to meet specifications.
Chapter 5 discusses Weights and Measures requirements in connection with a
canning process. Both Australian requirements and OIML International recommendations are discussed. The Australian requirements are also compared with
the requirements of the European Economic Community as well as the United States.
Chapter 6 illustrates the potential use of the models developed in chapter 4 by
giving an industrial example and again discussing the implications to Weights and
Measures requirements.
In Chapter 7 the problem of an optimal selection of the initial process mean is
examined for a process with a linear shift. Special focus is on the economic benefits
obtained from reducing process standard deviation and the rate of change of the mean.
Conclusions and some suggestions for future work are provided in chapter 8.
Parts of chapter 4, 5 and 6 form the contents of a paper, 'Mean Selection for
Various Types of Filling Process with Implications to 'Weights and Measures'
Requirements', undergoing revision for publication in the Journal of Quality
Technology.