Journal of Industrial & Management Optimization
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Published By American Institute Of Mathematical Sciences

1553-166x

2021 ◽  
Vol 0 (0) ◽  
pp. 0
Author(s):  
Yu Yuan ◽  
Hui Mi

<p style='text-indent:20px;'>In this paper, we study the robust optimal asset- problems for an ambiguity-averse investor, who does not have perfect information in the drift terms of the risky asset and liability processes. Two different kinds of objectives are considered: <inline-formula><tex-math id="M1">\begin{document}$ (i) $\end{document}</tex-math></inline-formula> Maximizing the minimal expected utility of the terminal wealth; <inline-formula><tex-math id="M2">\begin{document}$ (ii) $\end{document}</tex-math></inline-formula> Minimizing the maximal cumulative deviation. The ambiguity in both problems is described by a set of equivalent measures to the reference model. By the stochastic dynamic programming approach and Hamilton-Jacobi-Bellman (HJB) equation, we derive closed-form expressions for the value function and corresponding robust optimal investment strategy in each problem. Furthermore, some special cases are provided to investigate the effect of model uncertainty on the optimal investment strategy. Finally, the economic implication and parameter sensitivity are analyzed by some numerical examples. We also compare the robust optimal investment strategies in two different problems.</p>


2021 ◽  
Vol 0 (0) ◽  
pp. 0
Author(s):  
Tinghai Ren ◽  
Nengmin Zeng ◽  
Dafei Wang ◽  
Shuwei Cheng

<p style='text-indent:20px;'>Currently, many upstream software developers not only sell software through downstream service providers, but also directly sell it to clients. However, in the field of IT service supply chain management, there is a lack of research on the channel encroachment of software developers. In this study, we consider an IT service supply chain with a software developer, a service provider and client enterprises. Clients can either purchase the software (developed by the software developer) from the provider with a high price and additional pre-sale services, or directly purchase it from the developer with a low price but without pre-sale service. After purchasing the software, the clients can also purchase the extended warranty service from the developer. The study shows that the market size occupied by the developer and the intensity of competition between the two parties will neither affect the developer's product and service pricing decisions, nor influence the total demand for software products and extended warranty services, and thus will not impact his own profit. However, these factors will impact the provider's decisions for pre-sale service quality and software sales price, thereby affecting the provider's software demand and profit, and thus impact the performance of the supply chain. In addition, as the intensity of competition between both parties increases, the provider will simultaneously choose to reduce the pre-sales service quality and the software sales price to compete with the developer. Different from conclusions of the existing research on competition, we surprisingly observe that as the sensitivity of client enterprises to the extended warranty services price increases, both parties will increase the software price to compete. The encroachment of the developer will reduce the provider's software demand and profit, and thus lead to a decline in the performance of the supply chain. Therefore, the encroachment of the developer is an act of squeezing out partners by decreasing the profit of the provider, but without affecting his own profit.</p>


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