Informs 2015

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INFORMS Philadelphia – 2015
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2 - From Bermudan to American
Liming Feng, Associate Professor, University of Illinois at Urbana-
Champaign, 104 S Mathews Ave, Urbana, IL, 61801,
United States of America,
The price of an American option could be approximated by that of a Bermudan
option when the number of monitoring times is large enough. This talk presents
results on convergence of the Bermudan option price and the early exercise
boundary. Examples illustrate the effectiveness of pricing American contracts
through the Bermudan approach.
3 - A Primal-dual Iterative Method for Stochastic
Dynamic Programming
Nan Chen, Prof, Chinese University of Hong Kong, 709A William
Mong Engineering Building, Hong Kong, Hong Kong - PRC,
Xiang Ma
We use the information relaxation technique to develop a value-and-policy
iterative method to solve stochastic control problems. A sequence of upper and
lower bound estimations on the true value functions and suboptimal policies are
generated. We prove that the sequence converge to the optimal value and policy
in a finite number of iterations.
4 - Modelling Time Dependence in Finance: A Time
Change Approach
Lingfei Li, Assistant Professor, The Chinese University of Hong
Kong, 608 William M.W.Mong Engineering BLD, Shatin,
Hong Kong - PRC,
We propose a time change method named as additive subordination for
constructing time-inhomogeneous Markov processes with tractability for financial
modelling. As an application, we develop an analytically tractable model for
pricing VIX options that is able to achieve excellent fit to the volatility surface.
WA07
07-Room 307, Marriott
Risk Management Approaches in
Engineering Applications
Cluster: Risk Management
Invited Session
Chair: Stan Uryasev, University of Florida, 303 Weil Hall, Gainesville,
FL, United States of America,
1 - Multidimensional Buffered Probability of Exceedance:
Risk Averse Tail Probability Approximations
Alexander Mafusalov, University of Florida, P.O. Box 116595, 303
Weil Hall, Gainesville, FL, 32611-6595, United States of America,
Probability of exceedance (POE) is widely used but has major drawbacks.
Buffered probability of exceedance (bPOE) is a conservative approximation of
POE and eliminates some of its drawbacks. We suggest a new multidimensional
generalization of bPOE (M-bPOE). M-bPOE is used to control exceedances for
several random variables simultaneously. Calculation formulas and optimization
formulations for M-bPOE are provided. Mathematical properties and possible
applications for M-bPOE are studied.
2 - Soft Margin Support Vector Classification as Buffered
Probability Minimization
Matthew Norton, University of Florida, 2449 NW 93rd St,
Gainesville, FL, 32606, United States of America,
, Alexander Mafusalov
We discuss a new concept called Buffered Probability of Exceedance (bPOE) and
show that soft margin support vector classification is equivalent to bPOE
minimization. This allows us to provide new insights into SVM’s. We provide a
new SVM formulation, called the EC-SVM, based upon these insights. We also
provide a general framework connecting soft margin support vector classification
and superquantile concepts.
3 - Support Vector Machines Based on Convex Risk Functionals and
General Norms
Stan Uryasev, University of Florida, 303 Weil Hall, Gainesville, FL,
United States of America, , Jun-ya Gotoh
We study unified formulations of support vector machines (SVMs) for binary
classification, minimizing a combination of an arbitrary convex risk functional
and an arbitrary norm-based regularizer. Especially, we investigate a condition
under which nontrivial formulations can be obtained and what properties of risk
functionals play roles in attaining interpretable dual formulations and/or tractable
robust counterparts for robust optimization modelings.
4 - Energy Commodities: A Tool for Hedging and Investments
Rita D’Ecclesia, Birkbeck, University of London,
Department of Economics, Mathematics and Statistics,
Energy commodity prices in US and in Europe have shown increasing volatility,
change in the relationship with other commodity prices and the traditional
financial assets is also observed. Given the non stationarity of their returns we
aim to measure the relationship existing between them and traditional financial
assets using time varying volatility and correlation estimators. A portfolio
diversification framework is also set using stochastic optimization modelling.
WA09
09-Room 309, Marriott
Innovation and Technology Management
Contributed Session
Chair: Zhongyuan Xu, Harbin Engineering University, 61th Building,
3046 Room, Harbin, China,
1 - Exploring Creative Collaboration in Maker Communities
Yi-tzu Chang, Department of Public Relations and Advertising,
Shih-Hsin University, No.1, Ln. 17, Sec. 1, Muzha Rd.,
Wenshan, Taipei, Taiwan - ROC,
Cheng-chieh Hsiao
The maker movement has drawn more and more attention from both
management research and practice regarding information, technology, and
innovation. Makers are creators who use digital technologies (e.g., 3D printing) to
design and fabricate products collaboratively in DIY communities like FabLabs
and makerspaces. This study interviews with 3D printing makers and develops a
motivation-ability-opportunity framework to delineate creative collaboration in
maker communities.
2 - How Much do Firms Earn in a Cooperative Innovation?
From the Perspective of Relational Rent
Si Zhang, University of Chinese Academy of Sciences, 1-1-23A
Zhong Hai Fu Yuan, Zengguang Rd 37. Haidian District, Beijing,
China, , Jizhen Li, Na Li
The paper first constructs an evaluation system that allows quantitative
estimation and categorization of the relational rent generated by partners in
collaborative innovation. Three types of rent are discovered, i.e. the individual,
interactive and serendipitous rent. We then examine how the
interdependence/relationship of focal paired firms affects the generation of
rent.Valuable implications are provided to enterprises in the gaining and
maximizing of benefits in innovative collaborations.
3 - Equity Split and Performance of High-technology Ventures:
Whose Hands to Put the Company in?
Yueheng Wang, Tsinghua Univeristy, Room 729B, Zijing
Apartment No.14, Tsinghua University, Beijing, 100084, China,
, Yanbo Wang, Jizhen Li
The impact of equity split on firm performance is a crucial yet controversial topic
regarding high-technology ventures in which shareholders play comparatively
significant roles. With data of 626 Chinese high-technology ventures, we founded
a curvilinear relationship between share concentration and firm performance,
together with opposite moderating effects of board’s functional diversity and firm
age, which reveal significant implications for shaping shareholder compositions
within those firms.
4 - Innovation Networks and Innovation Performance:
The Intermediary Role of Knowledge Management Capabi
Zhongyuan Xu, Harbin Engineering University, 61th Building,
3046 Room, Harbin, China,
This study extends the relationships between different innovation networks and
innovation performance from a new perspective of knowledge management
capability. Based on a survey to 239 Chinese knowledge intensive firms, this
study empirically demonstrates how knowledge management capability plays an
intermediary role from different innovation networks to innovation performance.
5 - Corporate Venture Capitalist Dependability and Their Inclusion in
Venture Capital Syndicates
Joseph Cabral, PhD Student, Rensselaer Polytechnic Institute, 124
Ferry Street, Apt. 213, Troy, NY, 12180, United States of America,
Given that the venture capital industry involves great uncertainty, mutual
dependency and staged investment, the reliability of partners is critical to the
decision to co-invest. Using logic consistent with transaction cost economics
Corporate Venture Capitalists are argued to be less predictable than traditional
venture capitals and as a result are excluded from earlier rounds of investment
where the greatest uncertainty and need for flexibility exists.
WA07