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Permanent URI for this collectionhttps://hdl.handle.net/20.500.14288/3
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Publication Metadata only Service science editorial board, 2023(Informs Inst.for Operations Res.and the Management Sciences, 2023) Benjaafar, Saif; Jiang, Baojun; Xu, Alison; Allon, Gad; Tang, Christopher S.; Chernobai, Anna; Pinedo, Michael; Schaefer, Andrew; Agarwal, Ashish; Agrawal, Vishal; Anderson, Chris; Barrett, Michael; Basole, Rahul; Belavina, Elena; Blomberg, Jeanette; Boyacı, Tamer; Buell, Ryan; Burtch, Gordon; Chan, Timothy; Chen, Cynthia; Chen, Li; Choi, Sunmee; Chun, HaeEun Helen; Curti, Filippo; Debo, Laurens; Dixon, Michael; Elmachtoub, Adam; Fang, Eric; Farahani, Reza Zanjirani; Geroliminis, Nikolas; Guajardo, Jose; Gui, Luyi; Gurnani, Haresh; Hua, Zhongsheng; Brandeau, Margaret; Chase, Richard; Dietrich, Brenda; Frei, Frances; Gann, David; Gallego, Guillermo; Hu, Ming; Verma, Rohit; Sheng, Olivia; de Vericourt, Francis; Roels, Guillaume; Roth, Aleda; Cui, Tony Haitao; Huang, Yanliu; Iyer, Krishnamurthy; Jouini, Oualid; Kannan, P.K.; Kavadias, Stelios; Kim, Sang; de Koster, Rene; Lee, Donald; Li, Zhepeng; Lin, Grace; Liu, Yunchuan; Lo, Chris; Mak, Ho-Yin; Minner, Stefan; Misic, Velibor; Narayanan, Sriram; Nie, Marco; Nohadani, Omid; Osadchiy, Nikolay; Pant, Gautam; Righter, Rhonda; Saghafian, Soroush; Shi, Pengyi; Harker, Patrick; Hsu, Cheng; Karmarkar, Uday; Larson, Richard; Baron, Opher; Ziya, Serhan; Song, Jeannette; Girotra, Karan; Yin, Yafeng; Benjaafar, Saif; Shin, Hyoduk; Shugan, Steve; Subramanian, Upender; Sun, Peng; Sun, Wei; Taneri, Niyazi; Thompson, Gary; Trichakis, Nikolaos; Van Oyen, Mark; Venkataraman, Sriram; Victorino, Liana; Wang, Hai; Wang, Zizhuo; Wu, Xiaole; Xu, Lizhen; Xu, Yuqian; Yam, Kai Chi; Yang, Xiaojing; Yano, Candace; Yu, Yimin; Zhang, Yinghao; Zheng, Karen; Zhou, Sean; Qiu, Robin G.; Roth, Aleda; Tien, James; Wladawsky-Berger, Irving; Department of Business Administration; Karaesmen, Zeynep Akşin; Department of Business Administration; College of Administrative Sciences and EconomicsPublication Metadata only Supported nondominated points as a representation of the nondominated set: an empirical analysis(Wiley, 2024) Department of Business Administration; Sayın, Serpil; Department of Business Administration; College of Administrative Sciences and EconomicsThe nondominated set of a multiple objective discrete optimization problem is known to contain unsupported nondominated points, which outnumber the supported ones and are more difficult to obtain. We treat supported nondominated points as a representation and analyse their quality using different metrics beyond their sheer numbers. Under different data generation schemes on multiobjective knapsack and assignment problems, we observe that supported nondominated points almost always provide a good representation of the entire nondominated set.Publication Metadata only Bank lending standards and access to lines of credit(Wiley, 2012) James, Christopher; Kizilaslan, Atay; Department of Business Administration; Demiroğlu, Cem; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; 18073This paper examines how changes in bank lending standards are related to the availability of bank lines of credit for private and comparable public firms. Overall, we find that access to lines of credit is more contingent on bank lending standards for private than for public firms. The impact of bank lending standards is however asymmetric: while private firms are less likely than public firms to gain access to new lines when credit market conditions are tight, we find no difference between public and private firms in terms of their use or retention of pre-existing lines. We also find that private firms without lines of credit use more trade credit when bank lending standards are tight, which is suggestive of a supply effect. Overall, the evidence suggests that credit crunches are likely to have a disproportionate impact on private firms. However, pre-existing banking relationships appear to mitigate the impact of these contractions on private firms.Publication Metadata only Universal semiconstant rebalanced portfolios(Wiley, 2011) Singer, Andrew C.; Department of Electrical and Electronics Engineering; Kozat, Süleyman Serdar; Faculty Member; Department of Electrical and Electronics Engineering; College of Engineering; 177972In this paper, we investigate investment strategies that can rebalance their target portfolio vectors at arbitrary investment periods. These strategies are called semiconstant rebalanced portfolios in Blum and Kalai and Helmbold et al. Unlike a constant rebalanced portfolio, which must rebalance at every investment interval, a semiconstant rebalanced portfolio rebalances its portfolio only on selected instants. Hence, a semiconstant rebalanced portfolio may avoid rebalancing if the transaction costs outweigh the benefits of rebalancing. In a competitive algorithm framework, we compete against all such semiconstant portfolios with an arbitrary number of rebalancings and corresponding rebalancing instants. We investigate this framework with and without transaction costs and demonstrate sequential portfolios that asymptotically achieve the wealth of the best semiconstant rebalanced portfolios whose number of rebalancings and instants of rebalancings are tuned to the individual sequence of price relatives.Publication Metadata only State-dependent asset allocation using neural networks(Taylor & Francis, 2022) Bradrania, Reza; N/A; Pirayesh Negab, Davood; PhD Student; Graduate School of Sciences and Engineering; N/AChanges in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge changes in the investment opportunity set. This paper proposes a new approach to conditional asset allocation that is based on machine learning; it analyzes historical market states and asset returns and identifies the optimal portfolio choice in a new period when new observations become available. In this approach, we directly relate state variables to portfolio weights, rather than firstly modeling the return distribution and subsequently estimating the portfolio choice. The method captures nonlinearity among the state (predicting) variables and portfolio weights without assuming any particular distribution of returns and other data, without fitting a model with a fixed number of predicting variables to data and without estimating any parameters. The empirical results for a portfolio of stock and bond indices show the proposed approach generates a more efficient outcome compared to traditional methods and is robust in using different objective functions across different sample periods.Publication Metadata only Macro-financial spillovers(Elsevier Ltd, 2023) Cotter J.; Hallam M.; Department of Economics; Yılmaz, Kamil; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 6111We analyse spillovers between the real and financial sides of the US economy, and between those in the US and other advanced economies. The approach developed allows for differences in sampling frequency between financial and macroeconomic data. We find that financial markets are typically net transmitters of shocks to the real side of the economy, particularly during turbulent market conditions. This result holds both for domestic US macro-financial spillovers, and also those between the US and other advanced economies. Our macro-financial spillover measures are found to have significant predictive ability for future macroeconomic conditions in both in-sample and out-of-sample forecasting environments. Furthermore, the predictive ability frequently of our macro-financial measures frequently exceeds that of purely financial systemic risk measures previously employed in the literature for the same task.Publication Metadata only The effect of corporate social responsibility (CSR) activities on companies with bad reputations(Lawrence Erlbaum Assoc Inc, 2006) Yoon, Yeosun; Schwarz, Norbert; Department of Business Administration; Canlı, Zeynep Gürhan; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; 16135Based on theories of attribution and suspicion, three experiments highlight the mediating role of perceived sincerity of motives in determining the effectiveness of CSR activities. CSR activities improve a company's image when consumers attribute sincere motives, are ineffective when sincerity of motives is ambiguous, and hurt the company's image when motives are perceived as insincere. Variables affecting perceived sincerity include the benefit salience of the cause, the source through which consumers learn about CSR, and the ratio of CSR contributions and CSR-related advertising. High benefit salience of the cause hurts the company, in particular when consumers learn about it from a company source. This backfire effect can be overcome by spending more on CSR activities than on advertising that features CSR.Publication Metadata only Derivatives and stock market volatility: is additional government regulation necessary?(Kluwer Academic Publ, 1995) Department of Business Administration; Tiniç, Mehmet Seha; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; N/AN/APublication Metadata only The liquidity effect in the federal funds market: Evidence from daily open market operations(Wiley-Blackwell, 2006) Carpenter, Seth; Department of Economics; Demiralp, Selva; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 42533We use forecast errors made by the Federal Reserve while preparing open market operations to identify a liquidity effect at a daily frequency in the federal funds market. We find a liquidity effect on most days of the reserve maintenance period in addition to settlement day. The effect is nonlinear; large changes in supply more consistently have a measurable effect than do small changes. In addition, a higher aggregate level of reserve balances in the banking system is associated with a smaller liquidity effect during the maintenance period but a larger liquidity effect on the last days of the period.Publication Metadata only The liquidity effect in the federal funds market: Evidence at the monthly frequency(Wiley-Blackwell, 2008) Carpenter, Seth; Department of Economics; Demiralp, Selva; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; 42533In this paper, we argue that much of the research into the link between money and interest rates suffers from misspecification. The measure of money and the measure of interest rates are not always well matched. In examining the transmission of monetary policy, we show that using an appropriate measure of money, Federal Reserve balances, and the appropriate interest rate, the federal funds rate, a clear liquidity effect exists. Furthermore, we explain how a lack of a clear institutional understanding may have contributed to the finding of a "liquidity puzzle" in the past.