The linear dynamic lot size problem with minimum order quantity

This paper continues the analysis of a special uncapacitated single item lot sizing problem where a minimum order quantity restriction, instead of the setup cost, guarantees a certain level of production lots. A detailed analysis of the model and an investigation of the particularities of the cumulative demand structure allow us to develop a solution algorithm based on the concept of atomic sub-problems. We present an optimal solution to an atomic sub-problem in an explicit form and prove that it serves as a construction block for the optimal solution of the original problem. Computational tests and a comparison with a published algorithm confirm the efficiency of the solution algorithm developed here.     

Inventory management with random supply and imperfect information: A hidden Markov model

In most of the papers on inventory models operating in a random environment, the state of the environment in each period is assumed to be fully observed with perfect information. However, this assumption is not realistic in most real-life situations and we provide a remedy in this paper by assuming that the environment is only partially observed with imperfect information. We accomplish this by analyzing two formulations of single-item models with periodic-review and random supply in a random environment. In the first one, supply is random due to random capacity of production and random availability of transportation. We show that state-dependent base-stock policy is optimal if the capacity and all costs are observed, while demand and availability are unobserved. In the second model, we consider a model with random availability only with fixed-ordering cost. We show that state-dependent (s,S) policy is optimal if the availability process is observable.     

中小企业信息化战略的博弈分析

文章基于我国中小企业信息化的现状,对中小企业信息化风险源以及选择信息化战略的行为作了定性描述,构建了申小企业信息化战略选择行为的完全信息静态和不完全信息动态博弈模型并进行了相应的分析,得出了中小企业选择信息化战略的前提条件和主要影响因素,对中小企业信息化战略决策有一定的参考价值。     

Dynamic efficiency of primary education in Brazil: Socioeconomic and infrastructure influence on school performance

Brazilian educational indicators have shown virtually no improvement since 2000, according to national and international evaluations. However, there are large disparities among schools, even in the poorest regions. This work evaluates efficiency of primary education in Brazilian schools using a dynamic DEA model, taking into account school differences in the socioeconomic levels of its students. Dynamic modelling is made possible by the inclusion of an infrastructure index as a carry-over between periods. Results are based on three model specifications that differ on their treatment of the socioeconomic variable. Efficiency distributions of these models are not statistically equal, but the general conclusions are convergent. They show almost no evolution on school efficiency between 2007 and 2015, but indicate possible efficiency improvements by investments in school infrastructure.     

The dynamics of within-group and between-group interaction

The article strengthens and provides a dynamic extension of the theory on collective rent seeking and private provision of a public good. Each individual agent within each group chooses in continuous or discrete time a continuous or discrete effort level. The combined effort within each group provides within-group public goods which are used as an input in the between-group n-group competition for an external prize. Intergroup mobility and intergroup warfare are allowed for. Each group and each individual agent within each group get a fraction of the prize based on a linear combination of equity and relative effort. A model/algorithm is developed generating analytical results and simulations illustrating how the interaction within and between groups proceeds through time.     

Introduction to economic theory of bubbles

This is an introduction to the special section on the economic theory of bubbles.     

Co-evolution of trust and dependence in customer–supplier relationships

The relational and dynamic aspects of interfirm trust and dependence produce a crucial, but insufficiently addressed, challenge for successful relationship coordination. In this paper we concentrate on this issue by examining how trust and dependence co-evolve in customer–supplier relationships. Building on a case study, we develop propositions and a model that illustrates how interorganizational trust and dependence co-evolve through the different phases of customer–supplier relationships and how we may distinguish cooperative and trustworthy actors from those who will behave opportunistically. Theoretical and practical implications are offered.     

The method of endogenous gridpoints in theory and practice

The method of endogenous gridpoints (ENDG) significantly speeds up the solution to dynamic stochastic optimization problems with continuous state and control variables by avoiding repeated computations of expected outcomes while searching for optimal policy functions. I provide an interpolation technique for non-rectilinear grids that allow ENDG to be used in n-dimensional problems in an intuitive and computationally efficient way: the acceleration of ENDG with non-linear grid interpolation is nearly constant in the density of the grid. Further, ENDG has only been shown by example and has never been formally characterized. Using a theoretical framework for dynamic stochastic optimization problems, I formalize the method of endogenous gridpoints and present conditions for the class of models for which it can be used.     

Modeling common volatility characteristics and dynamic risk premia in European equity markets

The paper applies a Factor-GARCH model to evaluate the impact of the market portfolio, as a single common dynamic risk factor, on conditional volatility and risk premia for the returns on size-based equity portfolios of three major European markets; France, Germany and the United Kingdom. The results show that for the size-based portfolios the factor loading for the dynamic market factor is significant and positive but the association between the risk premia and the conditional market volatility is weak. However, the dynamic market factor is shown to explain common characteristics in the conditional variance such as asymmetry and persistence. This finding is consistent across markets and portfolio sizes.     

Incentive compatibility constraints and dynamic programming in continuous time

This paper is devoted to the study of infinite horizon continuous time optimal control problems with incentive compatibility constraints that arise in many economic problems, for instance in defining the second best Pareto optimum for the joint exploitation of a common resource, as in Benhabib and Radner [Benhabib, J., Radner, R., 1992. The joint exploitation of a productive asset: a game theoretic approach. Economic Theory, 2: 155–190]. An incentive compatibility constraint is a constraint on the continuation of the payoff function at every time. We prove that the dynamic programming principle holds, the value function is a viscosity solution of the associated Hamilton–Jacobi–Bellman (HJB) equation, and that it is the minimal supersolution satisfying certain boundary conditions. When the incentive compatibility constraint only depends on the present value of the state variable, we prove existence of optimal strategies, and we show that the problem is equivalent to a state constraints problem in an endogenous state region which depends on the data of the problem. Some economic examples are analyzed.