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1.
基于模糊收益率的组合投资模型   总被引:3,自引:0,他引:3  
本文考虑了收益率为模糊数的投资组合选择问题,利用模型约束简化方差约束,建立了投资组合选择的模糊线性规划模型,然后引进模糊期望把模糊线性规划问题化为普通参数线性规划问题,最后给出了一个数值算例.  相似文献
2.
In this paper we formulate a continuous-time mean–variance portfolio selection model with multiple risky assets and one liability in an incomplete market. The risky assets’ prices are governed by geometric Brownian motions while the liability evolves according to a Brownian motion with drift. The correlations between the risky assets and the liability are considered. The objective is to maximize the expected terminal wealth while minimizing the variance of the terminal wealth. We derive explicitly the optimal dynamic strategy and the mean–variance efficient frontier in closed forms by using the general stochastic linear-quadratic (LQ) control technique. Several special cases are discussed and a numerical example is also given.  相似文献
3.
Price and lead time decisions in dual-channel supply chains   总被引:1,自引:0,他引:1  
Manufacturers today are increasingly adopting a dual channel to sell their products, i.e., the traditional retail channel and an online direct channel. Empirical studies have shown that service quality (we focus on the delivery lead time of the direct channel) even goes beyond product price as one of the major factors influencing consumer acceptance of the direct channel. Delivery lead time has significant effects on demand, profit, and pricing strategy. However, there is scant literature addressing the decision on the promised delivery lead time of a direct channel and its impact on the manufacturer’s and retailer’s pricing decisions. To fill this gap, we examine the optimal decisions of delivery lead time and prices in a centralized and a decentralized dual-channel supply chain using the two-stage optimization technique and Stackelberg game, and analyze the impacts of delivery lead time and customer acceptance of a direct channel on the manufacturer’s and retailer’s pricing behaviours. We analytically show that delivery lead time strongly influences the manufacturer’s and the retailer’s pricing strategies and profits. Our numerical studies reveal that the difference between the demand transfer ratios in the two channels with respect to delivery lead time and direct sale price, customer acceptance of the direct channel, and product type have great effects on the lead time and pricing decisions.  相似文献
4.
On Fuzzy Portfolio Selection Problems   总被引:1,自引:0,他引:1  
The uncertainty of a financial market is traditionally dealt with probabilistic approaches. However, there are many non-probabilistic factors that affect the financial markets. A number of empirical studies showed limitation of using probabilistic approaches in characterizing the uncertainty of the financial markets. Fuzzy set is a powerful tool used to describe an uncertain environment with vagueness, ambiguity or some other type of fuzziness, which are always involved in not only the financial markets but also the behavior of the financial managers' decisions. In a financial optimization model using fuzzy approaches, quantitative analysis, qualitative analysis, the experts' knowledge and the managers' subjective opinions can be better integrated. In this paper, we give an overview on the development of fuzzy portfolio selection to date. Some related problems that might deserve further investigations are also discussed.  相似文献
5.
In this short paper, we give a result on scalarization of multiobjective optimization. Any local weakly efficient solution of a multiobjective programming problem is a locally optimal solution of the corresponding weighted optimization problem if and only if one of the three conditions proposed in this paper is satisfied.  相似文献
6.
This paper proposes a shape-restricted nonparametric quantile regression to estimate the τ-frontier, which acts as a benchmark for whether a decision making unit achieves top τ efficiency. This method adopts a two-step strategy: first, identifying fitted values that minimize an asymmetric absolute loss under the nondecreasing and concave shape restriction; second, constructing a nondecreasing and concave estimator that links these fitted values. This method makes no assumption on the error distribution and the functional form. Experimental results on some artificial data sets clearly demonstrate its superiority over the classical linear quantile regression. We also discuss how to enforce constraints to avoid quantile crossings between multiple estimated frontiers with different values of τ. Finally this paper shows that this method can be applied to estimate the production function when one has some prior knowledge about the error term.  相似文献
7.
We explore buyback contracts in a supplier–retailer supply chain where the retailer faces a price-dependent downward-sloping demand curve subject to uncertainty. Differentiated from the existing literature, this work focuses on analytically examining how the uncertainty level embedded in market demand affects the applicability of buyback contracts in supply chain management. To this end, we seek to characterize the buyback model in terms of only the demand uncertainty level (DUL). With this new research perspective, we have obtained some interesting new findings for buyback. For example, we find that (1) even though the supply chain’s efficiency will change over the DUL with a wholesale price-only contract, it will be maintained constantly at that of the corresponding deterministic demand setting with buyback, regardless of the DUL; (2) in the practice of buyback, the buyback issuer should adjust only the buyback price in reaction to different DULs while leave the wholesale price unchanged as that in the corresponding deterministic demand setting; (3) only in the demand setting with an intermediate level of the uncertainty (which is identified quantitatively in Theorem 5), buyback provision is beneficial simultaneously for the supplier, the retailer, and the supply chain system, while this is not the case in the other demand settings. This work reveals that DUL can be a critical factor affecting the applicability of supply chain contracts.  相似文献
8.
The emergence of B2B spot markets has greatly facilitated spot trading and impacted supply chain structures as well as the way commercial transactions take place between firms in many industries. While providing new opportunities, the B2B spot market also exposes participants to a price risk. This new business landscape raises some important questions on how the supplier and manufacturer should change their sales channel and procurement strategies and tailor their decisions to this changing environment. In this paper, we study the channel-choice, pricing and ordering/production decisions of the risk-averse supplier and manufacturer in a two-tier supply chain with a B2B spot market. Our analysis shows that, to benefit from the B2B spot market and control the risk exposure, the upstream supplier should develop an integrated channel-choice and pricing strategy. When the supplier adopts a dual-channel strategy, the equilibrium contract price decreases in the supplier’s risk attitude, but increases in the demand uncertainty. However, it first decreases and then increases in the manufacturer’s risk attitude and spot price volatility. We conclude that rather than simply being a second channel, the B2B spot market provides a strategic tool to supply chain members to achieve an advantageous position in their contract trading.  相似文献
9.
This paper considers one-way flow network formation games in which transmission through a series of agents is subject to decay. We analyze the myopic best-response dynamics of network formation games, occasionally perturbed by state-dependent random noises. Specifically, if an agent is isolated or has a direct neighbor who is better paid, it is more likely that the agent will make mistakes. Our main result identifies that only empty and wheel networks are candidates for long-term outcomes.  相似文献
10.
Scientific Research Assessment (SRA) is receiving increasing attention in both academic and industry. More and more organizations are recognizing the importance of SRA for the optimal use of scarce resources. In this paper, a vague set theory based decision support approach is proposed for SRA. Specifically, a family of parameterized S-OWA operator is developed for the aggregation of vague assessments. The proposed approach is introduced to evaluate the research funding programs of the National Natural Science Foundation of China (NSFC). It provides a soft and expansive way to help the decision maker in NSFC to make his decisions. The proposed approach can also be used for some other agencies to make similar assessment.  相似文献
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