2015 Informs Annual Meeting

MB06

INFORMS Philadelphia – 2015

MB06 06-Room 306, Marriott Tutorial in Financial Services Sponsor: Financial Services Sponsored Session Chair: Bo Zhang, IBM Research, 1101 Kitchawan Road, Route 134, Yorktown Heights, NY, 10594, United States of America, zhangbo@us.ibm.com 1 - Exchange-Traded Funds: Price Dynamics and Trading Strategies Tim Leung, Professor, Columbia University, 116th Street, New York, NY, 10027, United States of America, tl2497@columbia.edu The ETF market has been growing at a robust pace with over $1.8 trillion in assets under management with 4,200+ products. Some ETFs, called leveraged ETFs, has gained popularity as they offer accessibility and liquidity for leveraged positions. This tutorial gives an overview of the market of ETFs & their derivatives, and discuss the associated mathematical problems. We begin by studying the price dynamics of ETFs, followed by a risk analysis of dynamic and static portfolios of ETFs. MB07 07-Room 307, Marriott Assessing Systemic Risk Cluster: Risk Management Invited Session Chair: John Birge, Professor, University of Chicago Booth School of Zhen Liu, Options Clearing Corp (OCC), One North Wacker Drive, Suite 500, Chicago, IL, 60606, United States of America, zhenliu@alum.northwestern.edu We study inventory pooling problem in Eppen (1979) under multivariate Normal Inverse Gaussian demands. We obtain the optimal inventory level in a closed form by employing standardized NIG density function, and express the optimal expected costs in terms of unit NIG loss function. Our results complement Bimpikis and Markakis (2015) by considering the correlation of demands. We further consider transshipment problem of Dong and Rudi (2004) under NIG demands, and provide some analytical results. 2 - Assessing Systemic Risk in Financial Systems under Uncertainity Jiming Peng, Associate Professor, University of Houston, Houston, TX, 77204, United States of America, jopeng@uh.edu, Aein Khabazian We consider the issue of assessing systemic risk under uncertainty in a financial system based on the linear optimization model proposed by Eisenberg and Noe (2001). The coefficients of this model representing interbank liabilities and non- interbank assets are assumed to be known and constant. However, in real world application these coefficients are typically unknown and subject to market fluctuation, respectively. We develop robust and worst case optimization to account for the uncertainties. Business, 5807 S Woodlawn Ave, Chicago, IL, 60637, United States of America, john.birge@chicagobooth.edu 1 - Inventory Pooling under Correlated Fat-tail Demands

Industrial Symbiosis is a resource-sharing strategy that encourages traditionally separate industries to exchange water, energy and by products. Inspired by the paper-sugar industrial complex, we model and analyze symbiotic systems and establish that competition from firms that produce only regular (both regular and green) products encourages (discourages)implementation of industrial symbiosis. 2 - Is Buying Grocery Online Good for the Environment? Ekaterina Astashkina, INSEAD, Boulevard de Constance, Fontainebleau, 77305, France, ekaterina.astashkina@insead.edu, Elena Belavina, Karan Girotra Buying groceries online is catching on. We compare the carbon footprint of offline and online grocery retail. The different economics in the two lead to distinct supply chain structures, inventory management policies and customer ordering behavior, and, consequently, differences in transportation and food waste related emissions. 3 - Adoption of Residential Solar Energy Systems under Third-party Ownership and Direct Ownership Ernesto Guerra, University of California Berkeley, Berkeley, CA, United States of America, ernestoguerra@berkeley.edu, Jose Guajardo We formulate an empirical model to characterize the adoption of solar energy systems under third-party ownership and direct ownership in the U.S. residential market. The analysis is developed in the context of government incentives and supply-side determinants. 4 - The Potential of Servicing as a Green Business Model Vishal Agrawal, Assistant Professor, Georgetown University, Washington, DC, United States of America, va64@georgetown.edu, Ioannis Bellos In recent years, manufacturers in various industries have begun to orient their practices towards selling the use of the product as opposed to selling the product itself. We investigate the economic and environmental implications of the manufacturer’s design and pricing decisions under different forms of servicizing business models. MB09 09-Room 309, Marriott Best Dissertation Award Finalists – Technology, Innovation Management and Entrepreneurship Section Sponsor: Technology, Innovation Management & Entrepreneurship Sponsored Session Chair: Jianxi Luo, Assistant Professor, Singapore University of Technology and Design, 8 Somapah Rd, Singapore, 487372, Singapore, luo@sutd.edu.sg 1 - Managing Informal Networks for Innovation Russell Funk, Assistant Professor, University of Minnesota, 321 19th Avenue South, #3-354, Minneapolis, MN, 55455, United States of America, rfunk@umn.edu This dissertation examines how informal networks affect innovation in organizations. Using data on nanotechnology and pharmaceutical firms, the first two studies show that the overall structure of collaboration among inventors differs dramatically across organizations and these differences matter for innovation performance. Motivated by these findings about the contingent benefits of network configurations, study three examines strategies for changing networks using data from online communities. 2 - Property Rights Theory and Ownership of Firm-specific Advantages within the Multinational Firm

MB08 08-Room 308, Marriott Green Business Models Cluster: Business Model Innovation Invited Session

Catherine Magelssen, Assistant Professor, London Business School, Sussex Place, Regent’s Park S342, London Business School, London, NW1 4SA, United Kingdom, cmagelssen@london.edu

Chair: Vishal Agrawal, Assistant Professor, Georgetown University, Washington, DC, United States of America, va64@georgetown.edu Co-Chair: Ioannis Bellos, Assistant Professor, George Mason University- ISOM Area, Enterprise Hall, 4400 University Drive, MS 5F4, Fairfax, VA, 22030, United States of America, ibellos@gmu.edu 1 - Competition and Firms’ Willingness to Implement Industrial Symbiosis Nagesh Gavirneni, Associate Professor, Cornell University,

This dissertation extends property rights theory to inside the firm. I examine how multinational firms allocate ownership rights to knowledge assets to subsidiaries within the firm. The ownership of knowledge assets has implications on the internal distribution of risk, incentives, resources, and power. Using a unique dataset, I examine the determinants of the internal structure of ownership of knowledge assets and the impact of ownership on innovation within the multinational firm. 3 - Three Essays on Technological Changes and Competitive

325 Sage Hall, Ithaca, NY, United States of America, nagesh@cornell.edu, Yunxia Zhu, Vaidy Jayaraman, Milind Dawande

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