Informs 2015

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INFORMS Philadelphia – 2015
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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,
1 - Exchange-Traded Funds: Price Dynamics and Trading Strategies
Tim Leung, Professor, Columbia University, 116th Street, New
York, NY, 10027, United States of America,
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
Business, 5807 S Woodlawn Ave, Chicago, IL, 60637,
United States of America,
1 - Inventory Pooling under Correlated Fat-tail Demands
Zhen Liu, Options Clearing Corp (OCC), One North Wacker
Drive, Suite 500, Chicago, IL, 60606, United States of America,
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, ,
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.
MB08
08-Room 308, Marriott
Green Business Models
Cluster: Business Model Innovation
Invited Session
Chair: Vishal Agrawal, Assistant Professor, Georgetown University,
Washington, DC, United States of America,
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,
1 - Competition and Firms’ Willingness to Implement
Industrial Symbiosis
Nagesh Gavirneni, Associate Professor, Cornell University,
325 Sage Hall, Ithaca, NY, United States of America,
Yunxia Zhu, Vaidy Jayaraman,
Milind Dawande
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, ,
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, ,
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,
, 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,
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,
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
Catherine Magelssen, Assistant Professor, London Business
School, Sussex Place, Regent’s Park S342, London Business
School, London, NW1 4SA, United Kingdom,
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
MB06