Integrating MRP (materiel requirements planning) II and JIT to achieve world-class status

The concepts and principles of using manufacturing resource planning (MRP II) for planning are not new. Their success has been proven in numerous manufacturing companies in America. The concepts and principles of using just-in-time (JIT) inventory for execution, while more recent, have also been available for some time, and their success in Japan well documented. However, it is the effective integration of these two powerful tools that open the way to achieving world-class manufacturing status. This article will utilize a newly developed world-class manufacturing model, which will review the aspects of planning, beginning with a business plan through the production planning process and culminating with a master schedule that drives a materiel/capacity plan. The importance and interrelationship of these functions are reviewed. The model then illustrates the important aspects of executing these plans beginning with people issues, through total quality control (TQC) and pull systems. We will then utilize this new functional model to demonstrate the relationship between these various functions and the importance of integrating them with a total comprehensive manufacturing strategy that will lead to world-class manufacturing and profits.     

A general equilibrium model of changing risk premia: theory and tests

We derive and test a dynamic discrete-time model of asset returns.Both the risks of individual securities and equilibrium riskpremia change predictably in the model, but these changes canbe attributed to movements in the returns and prices of onlytwo well-diversified portfolios. Any other components of returnsshould be unpredictable. Using the generalized method of moments,the model is estimated and tested on portfolios of equities.We find the data supportive of the model's restrictions, evenwhen instruments designed to capture the January effect areemployed.     

Multivariate binomial approximations for asset prices with nonstationary variance and covariance characteristics

In this article, we suggest an efficient method of approximatinga general, multivariate log-normal distribution by a multivariatebinomial process. There are two important features of such multivariatedistributions. First, the state variables may have volatilitiesthat change over time. Second, the two or more relevant statevariables involve may covary with each other in a specifiedmanner, with a time-varying covariance structure. We discussthe asymptotic properties of the resulting processes and showhow the methodology can be used to value a complex, multipleexerciseable option whose payoff depends on the prices of twoassets.     

The valuation of nonsystematic risks and the pricing of Swedish lottery bonds

Swedish government lottery bonds have coupon payments determinedby lottery. They offer a unique opportunity to study a securitywith uncertain payoffs having a known, observable distribution.The risk associated with the lotteries is idiosyncratic by constructionand should not command a risk premium in equilibrium. The bondsare traded in two forms, allowing us to evaluate the rewardsto bearing extra lottery risk. Despite its idiosyncratic nature,we find prices appear to reflect aversion to this risk. We evaluatethe empirical determinants of this differential pricing andpossible explanations for it.     

Risk aversion and the intertemporal behavior of asset prices

In this article, we characterize economies in which both cashflows and forward prices follow random walks. We show in thecase of geometric random walks that the preferences of the representativeinvestor are of the constant proportional risk-aversion type.We also show the conditions under which spot prices follow randomwalks and under which the equivalent martingale measure is non-state-dependent.