An (s,S) random lifetime inventory model with a positive lead time

Positive lead times substantially complicate the modeling and analysis of inventory systems with finite shelf lifetimes and they have not been sufficiently addressed in the existing literature. In this paper, we analyze an (s, S) continuous review model with a positive lead time. We assume an exponential lifetime and an exponential lead time. Matrix-geometric solutions can be obtained for the steady state probability distribution of the inventory level. We then derive the total expected cost function. We carry out numerical studies and gain insights to the selection of system parameters. The findings on the impact of a positive lead time on the optimal reorder point and reorder batch size will be useful in developing strategies in handling inventory problems with finite lifetimes and positive lead times.     

One-electron reduction of excited NMN+ and NADP+ in the presence of amino acids

Excitation of oxidized forms of nicotinamide coenzymes (NADP⁺, NMN⁺) at 254 nm under anaerobic conditions in the presence of EDTA, lysine, serine, glycine leads, in the initial stage of irradiation, to photoreduction of coenzyme. Formation of the photoreduction products was observed by polarographic, spectrophotometric and enzymatic methods. Quantum yields for NMN⁺ and NADP⁺ photoreduction have been calculated and a mechanism proposed. No photoreduction was observed with histidine. Long-term irradiation leads to further reduction of the nicotinamide ring to tetrahydroderivatives absorbing at 280–290 nm. The photochemically generated dimers undergo phototransformation to the parent monomers on irradiation at 365 nm either in the presence or absence of oxygen. The biological significance of the results is discussed.     

Strategic financial risk management and operations research

Risk management has become a vital topic for financial institutions in the 1990s. Strategically, asset/liability management systems are important tools for controlling a firm's financial risks. They manage these risks by dynamically balancing the firm's asset and liabilities to achieve the firm's objectives. We discuss such leading international firms as Towers Perrin, Frank Russell, and Falcon Asset Management, which apply asset/liability management for efficiently managing risk over extended time periods. Three components of asset/liability management are described: 1) a multi-stage stochastic program for coordinating the asset/liability decisions; 2) a scenario generation procedure for modeling the stochastic parameters; and 3) solution algorithms for solving the resulting large-scale optimization problem.     

Transaction costs and efficiency of portfolio strategies

Some recent results for frictionless economies show that popular dynamic portfolio strategies such as stop-loss and lock-in are inefficient. I.e for each of these strategies there exists an alternative portfolio strategy that gives the same final payoff distribution at lower initial costs. However, the alternative strategies require considerably more active trading than the simple strategies. The results rely heavily on the assumption of no transaction costs. Under this assumption the initial investment required is a linear function of the prices of the contingent claims that build the final payoff distribution. In this paper we demonstrate that, even for modest levels of transaction costs, the efficient strategies are more costly than the simple strategies, i.e. a strategy that replicates the final payoff distribution of an efficient strategy is excessively costly due to the transaction costs and the heavy trading involved. Since the initial investment is no longer a linear function of the contingent claims, the optimization problems to find the most efficient strategy are complicated combinatorial optimization problems which can only be solved for trees with a small number of steps. In a world without transaction costs, options are redundant instruments, since all payoff distributions can be replicated by trading in stocks and bonds. In the second half of this paper we show that the use of options in a world with transaction costs enables investors to realize final value distributions at lower initial costs than would be possible with trades in stocks an bonds only. Hence, although in theory options do not give rise to other portfolio strategies, they do in a more restrictive setting with transaction costs.     

Product concept and prototype flexibility in manufacturing: Implications for customer satisfaction

A rapidly changing competitive landscape and dynamic customer expectations require manufacturing firms to seek flexibility in product development. Product concept flexibility (i.e., developing design options) and product prototype flexibility (i.e., creating working models) emerge as effective ways to quickly develop new products that meet competitive challenges and satisfy customer demands. Product concept flexibility enables firms to fully explore various product definitions and ideas. Product prototype flexibility allows firms to gather customers’ feedback and investigate design feasibility. Using data from 273 manufacturing firms, this research tests mediating, moderating, and additive models that relate product concept flexibility, product prototype flexibility, and customer satisfaction. The results indicate that firms with high product concept flexibility are more likely to benefit from prototype flexibility than firms with low product concept flexibility, and that product concept flexibility and product prototype flexibility act independently and additively to predict customer satisfaction.     

Pricing catastrophe options in discrete operational time

We employ a doubly-binomial process as in Gerber [Gerber, H.U., 1988. Mathematical fun with the compound binomial process. ASTIN Bull. 18, 161–168] to discretize and generalize the continuous “randomized operational time” model of Chang et al. ([Chang, C.W., Chang, J.S.K., Yu, M.T., 1996. Pricing catastrophe insurance futures call spreads: A randomized operational time approach. J. Risk Insurance 63, 599–616] and CCY hereafter) from a complete-market continuous-time setting to an incomplete-market discrete-time setting, so as to price a richer set of catastrophe (CAT) options. For futures options, we derive the equivalent martingale probability measures by benchmarking to the shadow price of a bond to span arrival uncertainty, and the underlying futures price to span price uncertainty. With a time change from calendar time to the operational transaction-time dimension, we derive CCY as a limiting case under risk-neutrality when both calendar-time and transaction-time intervals shrink to zero. For a cash option with non-traded underlying loss index, we benchmark to the market reinsurance premiums to span claim uncertainty, and with a time change to claim time, we derive the cash option price as a binomial sum of claim-time binomial Asian option prices under the martingale measures.     

基于伙伴关系建构的联盟标准扩散效应

在技术标准扩散动机下,为技术标准联盟设计了一种“以公共供应商为结构洞的、由上下游企业共同组成的三元伙伴结构,分析了这种伙伴结构对于技术标准扩散的影响方式以及有效性,并讨论了共赢结果的实现条件以及稳定性,从而从技术标准联盟内部伙伴关系建构的角度,提出了新的内源性技术标准扩散机制。研究结论主要有三个:第一,技术标准联盟中以公共供应商为结构洞的长期性上下游伙伴结构对于加速技术标准扩散具有内源性促进作用,贡献度取决于以结构洞为中介的双向知识流动比率的大小;第二,共赢结果的实现条件为:三方伙伴同时遵守关于双向知识流动比率的临界值;第三,共赢结果的稳定性取决于供应商与生产商之间的技术相似程度以及生产商专有知识的价值性等因素,而且上下游伙伴之间的技术相似度越高,则供应商对于合作均衡稳定性的决定作用就越大于生产商。     

Cryptanalysis and improvement of a binary watermark-based copyright protection scheme for remote sensing images

The copyright protection of the remote sensing images is becoming a hot research topic in recent years. By considering the characteristics of the binary image, Zhu et al. proposed a new digital watermarking algorithm to protect the copyright of remote sensing images effectively. However, Zhu et al.’s scheme is not secure under the novel attack method proposed in this paper. While keeping the visual quality of the protected original image unchanged, the embedded watermark can be replaced with another watermark if the attacker has the host image carrying the other watermark. Thus the copyright of the original image changes and the copyright protection fail. To overcome the insecurity, a chaos-based improvement measure is proposed, in which the performance is the same as before. Analysis, proof, and experiment show that our methods are feasible and effective.