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  • 1.
    Abo Al Ahad, George
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Salami, Abbas
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Machine Learning for Market Prediction: Soft Margin Classifiers for Predicting the Sign of Return on Financial Assets2018Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
    Abstract [en]

    Forecasting procedures have found applications in a wide variety of areas within finance and have further shown to be one of the most challenging areas of finance. Having an immense variety of economic data, stakeholders aim to understand the current and future state of the market. Since it is hard for a human to make sense out of large amounts of data, different modeling techniques have been applied to extract useful information from financial databases, where machine learning techniques are among the most recent modeling techniques. Binary classifiers such as Support Vector Machines (SVMs) have to some extent been used for this purpose where extensions of the algorithm have been developed with increased prediction performance as the main goal. The objective of this study has been to develop a process for improving the performance when predicting the sign of return of financial time series with soft margin classifiers.

    An analysis regarding the algorithms is presented in this study followed by a description of the methodology that has been utilized. The developed process containing some of the presented soft margin classifiers, and other aspects of kernel methods such as Multiple Kernel Learning have shown pleasant results over the long term, in which the capability of capturing different market conditions have been shown to improve with the incorporation of different models and kernels, instead of only a single one. However, the results are mostly congruent with earlier studies in this field. Furthermore, two research questions have been answered where the complexity regarding the kernel functions that are used by the SVM have been studied and the robustness of the process as a whole. Complexity refers to achieving more complex feature maps through combining kernels by either adding, multiplying or functionally transforming them. It is not concluded that an increased complexity leads to a consistent improvement, however, the combined kernel function is superior during some of the periods of the time series used in this thesis for the individual models. The robustness has been investigated for different signal-to-noise ratio where it has been observed that windows with previously poor performance are more exposed to noise impact.

  • 2.
    Andersson, Jim
    et al.
    Lawson Sweden.
    Rudberg, Martin
    Linköpings universitet, Tekniska högskolan. Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Supply Chain Redesign Employing Advanced Planning Systems2007Ingår i: APMS 2007: Integrating Systems and Strategies in Production Management,2007, New York: Springer , 2007Konferensbidrag (Refereegranskat)
  • 3.
    Andersson, Mikael
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Bohman, Marcus
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Effektivisering av produktionsflöde: Införande av ny teststrategi2009Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
    Abstract [sv]

    Ericsson AB i Katrineholm är en del av sektionen Business Unit Network i Ericsson koncernen. Fabrikens huvuduppgift är att producera kretskort i små volymer med en hög produktmix och med fokus på leveransprecision och kostnadseffektivitet. På fabriken tillverkas kretskort på avdelningen Modul. Avdelningen Modul har under en längre tid haft ett högt utfall av icke godkända kretskort i deras produktionssystem, vilket har lett till ett växande lager av felkort på företagets reparationsavdelning.

    Syftet med detta examensarbete är att undersöka hur Ericsson i Katrineholm kan öka utflödet av godkända artiklar i sin testprocess på avdelningen Modul.

    Som underlag för att ta fram förslag har en kartläggning av produktionsprocessen gjorts i form av värdeflödeskartor, där informationen har samlats in från Ericssons olika databaser QSP, Testnet och C:M. Information har även samlats in vid informella intervjuer. Företagets nuläge har analyserats med hjälp av teorier som genomflödestider och utnyttjandegrad och utifrån dessa har förslag tagits fram med hjälp av programmen Excel och C#.

    I nulägesanalysen framkom att den teststrategi man nu använder inte fungerar tillräckligt bra, detta eftersom kretskort som det inte är fel på skickas till reparationsavdelningen. Detta beror även på att teststationerna som finns på avdelningen Modul är väldigt instabila och att testoperatörerna inte besitter tillräckligt mycket kunskap om varje artikel.

    I rapporten presenteras en ny teststrategi som baseras på 5 olika kriterier och som är baserad på data som inhämtats från databasen SID 40 dagar tillbaka. Till teststrategin tas även kompletterande information fram till testoperatörerna för att underlätta deras arbete då det handlar om att ta beslut om ett kort/enhet ska testas om. Vid införande av nya teststrategin skulle ett värde av 1,6 miljoner kronor för kort och 3,25 miljoner kronor för enheter skickas vidare i systemet till kund istället för att skickas till reparationsavdelningen. Detta skulle dock öka utnyttjandet i resurserna, för kort med 9,2 och för enheter med 19,2 procent, men utnyttjandet för både kort och enheter är väldigt lågt, vilket medför att det inte borde påverka systemet i för stor utsträckning. Detta förutsätter dock att testprocessen presterar på samma sätt som den gjort de 40 senaste dagarna.

    Till sist presenteras resultatet i ett grafiskt gränssnitt för att underlätta för operatörerna på avdelningen Modul. Rekommendationerna som ges till Ericsson angående den nya teststrategin är att den bör användas som ett hjälpmedel och om den senare ska användas bör den integreras i den vanliga testmiljön.

  • 4.
    Andersson, Robert
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Prediktion av beta för fonder2008Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats
    Abstract [en]

    SEB Merchant Banking provides to its institutional customers a true market neutral product called Dynamic Manager Alpha (DMA). The DMA is constructed by a long position in an exceptionally well performing mutual fund and a beta adjusted short position in an appropriate index. The key to making the product market neutral is adjusting with the correct beta, since the beta changes, it is very important to have a good model for predicting beta in the future.

    This master thesis begins with describing what beta is in a CAPM sense. It then continues with recognizing the so called “Two Beta Trap”, which separates two kinds of beta. The first is in CAPM sense, with a market portfolio represented by the whole market. The second is a “best fit” beta where the market portfolio is the index which explains as much as possible of the fund returns. It is this second way of calculating beta that is used in this thesis and therefore beta can be viewed upon like a hedgeratio.

    The purpose of this thesis is to predict the future beta for mutual funds with as high accuracy as possible. The starting point has been historic OLS (Ordinary Least Squares) estimation of beta. From earlier studies and own studies in this thesis a lot of different techniques for predicting beta has been tested. For example the eriodicity in the returns, the interval length, different regression methods as LAD (Least Absolute Deviation) and IRLS (Iteratively Reweighted Least Squares). Also different adjustments to beta have been tested for better catching the momentum in beta and general mean reverting tendencies.

    The results of the studies show that when possible, returns calculated with daily compounding is not favorable. For daily but especially weekly returns, LAD and IRLS are superior to OLS in predicting beta. Adjusting techniques have a positive effect in predicting beta, especially for weekly returns. Monthly returns seem to be most stable and have the smallest prediction errors, but with the right model and adjustment, betas with weekly returns have almost as good characteristics. Since the prediction model needs to have a fast response to market changes, returns calculated with short compounding is favorable. It is therefore very encouraging that the results from this thesis have showed great improvements in prediction of beta for returns calculated with weekly compounding.

  • 5.
    Andriolo, Alessandro
    et al.
    University of Padova, Italy.
    Battini, Dania
    University of Padova, Italy.
    Grubbström, Robert W.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Persona, Alessandro
    University of Padova, Italy.
    Sgarbossa, Fabio
    University of Padova, Italy.
    A century of evolution from Harriss basic lot size model: Survey and research agenda2014Ingår i: International Journal of Production Economics, ISSN 0925-5273, E-ISSN 1873-7579, Vol. 155, s. 16-38Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Determining the economic lot size has always represented one of the most important issues in production planning. This problem has long attracted the attention of researchers, and several models have been developed to meet requirements at minimum cost. In this paper we explore and discuss the evolution of these models during one hundred years of history, starting from the basic model developed by Harris in 1913, up to today. Following Harriss work, a number of researchers have devised extensions that incorporate additional considerations. The evolution of EOQ theory strongly reflects the development of industrial systems over the past century. Here we outline all the research areas faced in the past by conducting a holistic analysis of 219 selected journal papers and trying to give a comprehensive view of past work on the EOQ problem. Finally, a new research agenda is proposed and discussed.

  • 6.
    Axsäter, Sven
    et al.
    Department of Industrial Management and Logistics, Lund University, Sweden.
    Tang, Ou
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Introduction of Matrices for Production Structures and Similar Processes2011Ingår i: Production economics - an evergreen: a conference organized to honour professor Robert W. Grubbström : Linköping Institute of Technology, Sweden, May 8-9, 2009 / [ed] Attila Chikán, Hans H. Hinterhuber, Christopher O'Brien, Anders Segerstedt, D. Clay Whybark, Linköping: Production-Economic Research in Linköping (Profil) , 2011, s. 45-54Kapitel i bok, del av antologi (Övrigt vetenskapligt)
  • 7.
    Azaron, A.
    et al.
    University College Dublin.
    Tang, Ou
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Tavakkoli-Moghaddam, R.
    University of Tehran.
    Dynamic lot sizing problem with continuous-time Markovian production cost2009Ingår i: International Journal of Production Economics, ISSN 0925-5273, Vol. 120, nr 2, s. 607-612Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    This paper develops a polynomial algorithm for obtaining dynamic economic lot sizes in a single product multiperiod production system with the objective of minimizing total production and inventory costs over T periods. It is assumed that production costs are linear, inventory costs are concave, setup costs are zero and backlogging is not permitted in all periods. Moreover, the unit production cost is a stochastic variable, which is evolved according to a continuous-time Markov process over the planning horizon. The model is formulated as a stochastic dynamic programming (DP) optimization with the state variable being unit production cost. Then, it is solved using the backward dynamic programming approach. To justify the application of the proposed model, two practical cases are presented.

  • 8.
    Bao, Xing
    et al.
    Shanghai Jiaotong University.
    Tang, Ou
    Linköpings universitet, Tekniska högskolan. Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Ji, Jianhua
    Shanghai Jiaotong University.
    Applying Minimum Relative Entropy Method for Bimodal Distribution in a Remanufacturing System2008Ingår i: International Journal of Production Economics, ISSN 0925-5273, E-ISSN 1873-7579, Vol. 113, nr 2, s. 969-979Artikel i tidskrift (Refereegranskat)
    Abstract [en]

         

  • 9.
    Barkhagen, Mathias
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Optimal Decisions in the Equity Index Derivatives Markets Using Option Implied Information2015Doktorsavhandling, sammanläggning (Övrigt vetenskapligt)
    Abstract [en]

    This dissertation is centered around two comprehensive themes: the extraction of information embedded in equity index option prices, and how to use this information in order to be able to make optimal decisions in the equity index option markets. These problems are important for decision makers in the equity index options markets, since they are continuously faced with making decisions under uncertainty given observed market prices. The methods developed in this dissertation provide robust tools that can be used by practitioners in order to improve the quality of the decisions that they make.

    In order to be able to extract information embedded in option prices, the dissertation develops two different methods for estimation of stable option implied surfaces which are consistent with observed market prices. This is a difficult and ill-posed inverse problem which is complicated by the fact that observed option prices contain a large amount of noise stemming from market micro structure effects. Producing estimated surfaces that are stable over time is important since otherwise risk measurement of derivatives portfolios, pricing of exotic options and calculation of hedge parameters will be prone to include significant errors. The first method that we develop leads to an optimization problem which is formulated as a convex quadratic program with linear constraints which can be solved very efficiently. The second estimation method that we develop in the dissertation makes it possible to produce local volatility surfaces of high quality, which are consistent with market prices and stable over time. The high quality of the surfaces estimated with the second method is the crucial input to the research which has resulted in the last three papers of the dissertation.

    The stability of the estimated local volatility surfaces makes it possible to build a realistic dynamic model for the equity index derivatives market. This model forms the basis for the stochastic programming (SP) model for option hedging that we develop in the dissertation. We show that the SP model, which uses generated scenarios for the squared local volatility surface as input,  outperforms the traditional hedging methods that are described in the literature. Apart from having an accurate view of the variance of relevant risk factors, it is when building a dynamic model also important to have a good estimate of the expected values, and thereby risk premia, of those factors. We use a result from recently published research which lets us recover the real-world density from only a cross-section of observed option prices via a local volatility model. The recovered real-world densities are then used in order to identify and estimate liquidity premia that are embedded in option prices.

    We also use the recovered real-world densities in order to test how well the option market predicts the realized statistical characteristics of the underlying index. We compare the results with the performance of commonly used models for the underlying index. The results show that option prices contain a premium in the tails of the distribution. By removing the estimated premia from the tails, the resulting density predicts future realizations of the underlying index very well.

    Delarbeten
    1. An Improved Convex Model for Efficient Estimation of Option Implied Surfaces
    Öppna denna publikation i ny flik eller fönster >>An Improved Convex Model for Efficient Estimation of Option Implied Surfaces
    (Engelska)Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    Estimation of option implied surfaces that are consistent with observed market prices and stable over time is a fundamental problem in finance. This paper develops a general optimization based framework for estimation of the option implied risk-neutral density (RND) surface, while satisfying no-arbitrage constraints. Our developed framework considers all types of realistic surfaces and is hence not constrained to a certain function class. When solving the problem the RND is discretized, which leads to an optimization model where it is possible to formulate the constraints as linear constraints, making the resulting large-scale optimization problem convex and the solution a global optimum. This is a major advantage of our method compared to most estimation algorithms described in the literature, which are typically cast as non-convex optimization problems with multiple local optima. We show that our method produces smooth local volatility surfaces that can be used for pricing and hedging of exotic derivatives. The stability of our method is demonstrated through a time series study based on historical prices of S&P 500 index options.

    Nyckelord
    Risk-neutral density surface; Non-parametric estimation; Optimization; No-arbitrage constraints; Implied volatility surface; Local volatility surface
    Nationell ämneskategori
    Ekonomi och näringsliv
    Identifikatorer
    urn:nbn:se:liu:diva-117101 (URN)
    Tillgänglig från: 2015-04-16 Skapad: 2015-04-16 Senast uppdaterad: 2015-04-21
    2. Non-Parametric Estimation of Stable Local Volatility Surfaces
    Öppna denna publikation i ny flik eller fönster >>Non-Parametric Estimation of Stable Local Volatility Surfaces
    (Engelska)Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    In this paper we develop a general optimization based framework for estimation of the option implied local volatility surface. We show that our method produces local volatility surfaces with very high quality and which are consistent with observed S&P 500 index option quotes. Thus, unlike many methods described in the literature, our method does not produce a local volatility surface with irregular shape and many spikes for input data which contains a lot of noise. Through a time series study we show that our optimization based framework produces squared local volatility surfaces that are stable over time. Given a specic level of consistency with observed market prices there exist an innite number of possible surfaces. Instead of assuming shape constraints for the surface, as in many traditional methods, we seek the solution in the subset of realistic surfaces. We select squared local volatilities as variables in the optimization problem since it makes it easy to ensure absence of arbitrage, and realistic local volatilities imply realistic risk-neutral density- , implied volatility- and price surfaces. The objective function combines a measure of consistency with market prices, and a weighted integral of the squared second derivatives of local volatility in the strike and the time-to-maturity direction. Derivatives prices in the optimization model are calculated efficiently with a finite difference scheme on a non-uniform grid. The resulting optimization problem is non-convex, but extensive empirical tests indicate that the solution does not get stuck in local optima.

    Nyckelord
    Local volatility surface; Non-parametric estimation; Optimization; No-arbitrage conditions; Principal Component Analysis
    Nationell ämneskategori
    Ekonomi och näringsliv
    Identifikatorer
    urn:nbn:se:liu:diva-117102 (URN)
    Tillgänglig från: 2015-04-16 Skapad: 2015-04-16 Senast uppdaterad: 2015-04-21
    3. Modeling and evaluation of the option book hedging problem using stochastic programming
    Öppna denna publikation i ny flik eller fönster >>Modeling and evaluation of the option book hedging problem using stochastic programming
    2016 (Engelska)Ingår i: Quantitative finance (Print), ISSN 1469-7688, E-ISSN 1469-7696, Vol. 16, nr 2, s. 259-273Artikel i tidskrift (Refereegranskat) Published
    Abstract [en]

    Hedging of an option book in an incomplete market with transaction costs is an important problem in finance that many banks have to solve on a daily basis. In this paper, we develop a stochastic programming (SP) model for the hedging problem in a realistic setting, where all transactions take place at observed bid and ask prices. The SP model relies on a realistic modeling of the important risk factors for the application, the price of the underlying security and the volatility surface. The volatility surface is unobservable and must be estimated from a cross section of observed option quotes that contain noise and possibly arbitrage. In order to produce arbitrage-free volatility surfaces of high quality as input to the SP model, a novel non-parametric estimation method is used. The dimension of the volatility surface is infinite and in order to be able solve the problem numerically, we use discretization and principal component analysis to reduce the dimensions of the problem. Testing the model out-of-sample for options on the Swedish OMXS30 index, we show that the SP model is able to produce a hedge that has both a lower realized risk and cost compared with dynamic delta and delta-vega hedging strategies.

    Ort, förlag, år, upplaga, sidor
    Routledge, 2016
    Nyckelord
    Option hedging, Stochastic programming, Simulation, Local volatility surface, Empirical evaluation
    Nationell ämneskategori
    Sannolikhetsteori och statistik Ekonomi och näringsliv
    Identifikatorer
    urn:nbn:se:liu:diva-130323 (URN)10.1080/14697688.2015.1114358 (DOI)000378169900009 ()
    Konferens
    13th International Conference of Stochastic Programming
    Anmärkning

    At the time for thesis presentation publication was in status: Manuscript

    At the time for thesis presentation manuscript was named: Hedging of an Option Book at Actual Market Prices Using Stochastic Programming

    Tillgänglig från: 2016-07-29 Skapad: 2016-07-28 Senast uppdaterad: 2017-11-28Bibliografiskt granskad
    4. Recovering the Real-World Density and Liquidity Premia from Option Data
    Öppna denna publikation i ny flik eller fönster >>Recovering the Real-World Density and Liquidity Premia from Option Data
    2016 (Engelska)Ingår i: Quantitative finance (Print), ISSN 1469-7688, E-ISSN 1469-7696, Vol. 16, nr 7, s. 1147-1164Artikel i tidskrift (Refereegranskat) Published
    Abstract [en]

    In this paper we develop a methodology for simultaneous recovery of the real-world probability density and liquidity premia from observed S&P500 index option prices. Assuming the existence of a numeraire portfolio for the US equity market, fair prices of derivatives under the benchmark approach can be obtained directly under the real-world measure. Under this modeling framework there exists a direct link between observed call option prices on the index and the real-world density for the underlying index. We use a novel method for estimation of option implied volatility surfaces of high quality which enables the subsequent analysis. We show that the real-world density that we recover is consistent with the observed realized dynamics of the underlying index. This admits the identication of liquidity premia embedded in option price data. We identify and estimate two separate liquidity premia embedded in S&P500 index options that are consistent with previous findings in the literature.

    Ort, förlag, år, upplaga, sidor
    Taylor & Francis, 2016
    Nyckelord
    Real-world density; Liquidity premia; Local volatility model; No-nparametric estimation; Simulated Maximum Likelihood
    Nationell ämneskategori
    Ekonomi och näringsliv
    Identifikatorer
    urn:nbn:se:liu:diva-117104 (URN)10.1080/14697688.2015.1128117 (DOI)000379836500011 ()
    Tillgänglig från: 2015-04-16 Skapad: 2015-04-16 Senast uppdaterad: 2017-12-04Bibliografiskt granskad
    5. Option Market Prediction of the S&P 500 Index Return Distribution
    Öppna denna publikation i ny flik eller fönster >>Option Market Prediction of the S&P 500 Index Return Distribution
    (Engelska)Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    In this paper we evaluate the density forecasts obtained from a cross-section of S&P 500 index option prices. The option implied density forecasts rely on a result derived by Heath and Platen (2006), which under certain assumptions allows us to transform risk-neutral densities into real-world densities. In order to remove liquidity premia from the real-world densities we use a  transformation into densities implied by the Minimal Market Model. The accuracy of the estimated real-world density forecasts relies on using a recently developed method for estimation of risk-neutral densities of high quality. We find that our recovered real-world densities explains the realized return distribution for S&P 500 better than historical GARCH densities for a forecasting horizon of two days. This can be contrasted to the findings in two recent papers in the literature, who find that historical densities estimated from intra-day data performs as least as well as option implied densities for a forecasting horizon of one day.

    Nyckelord
    Option implied information; Density forecast evaluation; Real-world density; Local volatility model; Non-parametric estimation
    Nationell ämneskategori
    Ekonomi och näringsliv
    Identifikatorer
    urn:nbn:se:liu:diva-117105 (URN)
    Tillgänglig från: 2015-04-16 Skapad: 2015-04-16 Senast uppdaterad: 2015-04-21Bibliografiskt granskad
  • 10.
    Barkhagen, Mathias
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Risk-Neutral and Physical Estimation of Equity Market Volatility2013Licentiatavhandling, sammanläggning (Övrigt vetenskapligt)
    Abstract [sv]

    Det övergripande syftet med doktorandprojektet är att utveckla ett ramverk för att fatta optimala beslut på aktiederivatmarknaderna. Att fatta optimala beslut syftar till exempel på hur man optimalt ska hedga en optionsportfölj, eller hur man ska göra optimala investeringar på aktiederivatmarknaderna. Ramverket för att fatta optimala beslut kommer att baseras på stokastisk programmerings-modeller (SP-modeller), vilket betyder att det är nödvändigt att generera högkvalitativa scenarier för marknadspriser för en framtida tidpunkt som indata till SP-modellen. Detta leder till en situation där de traditionella metoderna, som finns beskrivna i litteraturen, för att modellera marknadspriser inte ger scenarier av tillräckligt hög kvalitet för att fungera som indata till SP-modellen. Följaktligen är huvudfokus för denna avhandling att utveckla metoder som, jämfört med de traditionella metoderna som finns beskrivna i litteraturen, förbättrar estimeringen av ytor som impliceras av en given mängd observerade optionspriser. Estimeringen kompliceras av att observerade optionspriser innehåller mycket brus och möjligen också arbitrage. Det betyder att för att kunna estimera optionsimplicerade ytor som är arbitragefria och av hög kvalitet, så behöver estimeringsmetoden hantera bruset i indata på ett adekvat sätt.

    De första två artiklarna i avhandlingen utvecklar ett icke-parametriskt optimeringsbaserat ramverk för estimering av högkvalitativa och arbitragefria options-implicerade ytor. Den första artikeln behandlar estimeringen av den risk-neutrala täthetsytan (RND-ytan) och den andra artikeln estimeringen av den lokala volatilitetsytan. Båda metoderna ger upphov till jämna och realistiska ytor för marknadsdata. Estimeringen av RND-ytan är ett konvext optimeringsproblem men resultatet är känsligt för valet av parametrar. När den lokala volatilitetsytan estimeras är parametervalet mycket enklare men optimeringsproblemet är icke-konvext, även om algoritmen inte verkar fastna i lokala optima. SP-modellerna som används för att fatta optimala beslut på aktiederivatmarknaderna behöver också indata i form av genererade scenarier för de underliggande aktiepriserna eller indexnivåerna. Den tredje artikeln i avhandlingen behandlar estimering och evaluering av existerande modeller för aktiemarknaden. Den tredje artikeln tillhandahåller preliminära resultat som visar att, av de jämförda modellerna, ger en GARCH(1,1)-modell med Poissonhopp en bättre beskrivning av dynamiken för det svenska aktieindexet OMXS30 jämfört med mer komplicerade modeller som innehåller stokastisk volatilitet.

    Delarbeten
    1. Non-parametric estimation of the option implied risk-neutral density surface
    Öppna denna publikation i ny flik eller fönster >>Non-parametric estimation of the option implied risk-neutral density surface
    (Engelska)Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    Accurate pricing of exotic or illiquid derivatives which is consistent with noisy market prices presents a major challenge. The pricing accuracy will crucially depend on using arbitrage free inputs to the pricing engine. This paper develops a general optimization based framework for estimation of the option implied risk-neutral density (RND), while satisfying no-arbitrage constraints. Our developed framework is a generalization of the RNDs implied by existing parametric models such as the Heston model. Thus, the method considers all types of realistic surfaces and is hence not constrained to a certain function class. When solving the problem the RND is discretized making it possible to use general purpose optimization algorithms. The approach leads to an optimization model where it is possible to formulate the constraints as linear constraints making the resulting optimization problem convex. We show that our method produces smooth local volatility surfaces that can be used for pricing and hedging of exotic derivatives. By perturbing input data with random errors we demonstrate that our method gives better results than the Heston model in terms of yielding stable RNDs.

    Nyckelord
    Risk-neutral density surface, Non-parametric estimation, Optimization, No-arbitrage constraints, Implied volatility surface, Local volatility
    Nationell ämneskategori
    Ekonomi och näringsliv Sannolikhetsteori och statistik
    Identifikatorer
    urn:nbn:se:liu:diva-94357 (URN)
    Tillgänglig från: 2013-06-25 Skapad: 2013-06-25 Senast uppdaterad: 2013-06-26Bibliografiskt granskad
    2. Non-parametric estimation of local variance surfaces
    Öppna denna publikation i ny flik eller fönster >>Non-parametric estimation of local variance surfaces
    (Engelska)Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    In this paper we develop a general optimization based framework for estimation of the option implied local variance surface. Given a specific level of consistency with observed market prices there exist an infinite number of possible surfaces. Instead of assuming shape constraints for the surface, as in many traditional methods, we seek the solution in the subset of realistic surfaces. We select local volatilities as variables in the optimization problem since it makes it easy to ensure absence of arbitrage, and realistic local volatilities imply realistic risk-neutral density- (RND), implied volatility- and price surfaces. The objective function combines a measure of consistency with market prices, and a weighted integral of the squared second derivatives of local volatility in the strike and the time-to-maturity direction. Derivatives prices in the optimization model are calculated efficiently with a finite difference scheme on a non-uniform grid. The framework has previously been successfully applied to the estimation of RND surfaces. Compared to when modeling the RND, it is for local volatility much easier to choose the parameters in the model. Modeling the RND produces a convex optimization problem which is not the case when modeling local volatility, but empirical tests indicate that the solution does not get stuck in local optima. We show that our method produces local volatility surfaces with very high quality and which are consistent with observed option quotes. Thus, unlike many methods described in the literature, our method does not produce a local volatility surface with irregular shape and many spikes or a non-smooth and multimodal RND for input data with a lot of noise.

    Nyckelord
    Local volatility surface; Non-parametric estimation; Optimization; No-arbitrage conditions
    Nationell ämneskategori
    Ekonomi och näringsliv Sannolikhetsteori och statistik
    Identifikatorer
    urn:nbn:se:liu:diva-94358 (URN)
    Tillgänglig från: 2013-06-25 Skapad: 2013-06-25 Senast uppdaterad: 2013-06-26Bibliografiskt granskad
    3. Statistical tests for selected equity market models
    Öppna denna publikation i ny flik eller fönster >>Statistical tests for selected equity market models
    (Engelska)Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    In this paper we evaluate which of four candidate equity market models that provide the best fit to observed closing data for the OMXS30 index from 30 September 1986 to 6 May 2013. The candidate models are two GARCH type models and two stochastic volatility models. The stochastic volatility models are estimated with the help of Markov Chain Monte Carlo methods. We provide the full derivations of the posterior distributions for the two stochastic volatility models, which to our knowledge have not been provided in the literature before. With the help of statistical tests we conclude that, out of the four candidate models, a GARCH model which includes jumps in the index level provides the best fit to the observed OMXS30 closing data.

    Nyckelord
    GARCH models, stochastic volatility models, Markov Chain Monte Carlo methods, statistical tests
    Nationell ämneskategori
    Ekonomi och näringsliv Sannolikhetsteori och statistik
    Identifikatorer
    urn:nbn:se:liu:diva-94359 (URN)
    Tillgänglig från: 2013-06-25 Skapad: 2013-06-25 Senast uppdaterad: 2013-06-26Bibliografiskt granskad
  • 11.
    Barkhagen, Mathias
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Statistical tests for selected equity market modelsManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    In this paper we evaluate which of four candidate equity market models that provide the best fit to observed closing data for the OMXS30 index from 30 September 1986 to 6 May 2013. The candidate models are two GARCH type models and two stochastic volatility models. The stochastic volatility models are estimated with the help of Markov Chain Monte Carlo methods. We provide the full derivations of the posterior distributions for the two stochastic volatility models, which to our knowledge have not been provided in the literature before. With the help of statistical tests we conclude that, out of the four candidate models, a GARCH model which includes jumps in the index level provides the best fit to the observed OMXS30 closing data.

  • 12.
    Barkhagen, Mathias
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Blomvall, Jörgen
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    An Improved Convex Model for Efficient Estimation of Option Implied SurfacesManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    Estimation of option implied surfaces that are consistent with observed market prices and stable over time is a fundamental problem in finance. This paper develops a general optimization based framework for estimation of the option implied risk-neutral density (RND) surface, while satisfying no-arbitrage constraints. Our developed framework considers all types of realistic surfaces and is hence not constrained to a certain function class. When solving the problem the RND is discretized, which leads to an optimization model where it is possible to formulate the constraints as linear constraints, making the resulting large-scale optimization problem convex and the solution a global optimum. This is a major advantage of our method compared to most estimation algorithms described in the literature, which are typically cast as non-convex optimization problems with multiple local optima. We show that our method produces smooth local volatility surfaces that can be used for pricing and hedging of exotic derivatives. The stability of our method is demonstrated through a time series study based on historical prices of S&P 500 index options.

  • 13.
    Barkhagen, Mathias
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Blomvall, Jörgen
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Hedging of an Option Book at Actual Market Prices Using Stochastic ProgrammingManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    Hedging of an option book in an incomplete market with transaction costs is an important problem in finance that many banks have to solve on a daily basis. In this paper we develop a stochastic programming (SP) model for the hedging problem in a realistic setting, where all transactions take place at observed bid and ask prices. The SP model relies on a realistic modelling of the important risk factors for the application, the price of the underlying security and the volatility surface. The volatility surface is unobservable and must be estimated from a cross-section of observed option quotes that contain noise and possibly arbitrage. In order to produce arbitrage-free volatility surfaces with high quality as input to the SP model a novel non-parametric estimation method is used. The dimension of the volatility surface is infinite and in order to be able solve the problem numerically we use discretization and PCA to reduce the dimensions of the problem. Testing the model out-of-sample for options on the Swedish OMXS30 index, we show that the SP model is able to produce a hedge that has both a lower realized risk and cost compared with dynamic delta and delta-vega hedging strategies.

  • 14.
    Barkhagen, Mathias
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    Blomvall, Jörgen
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    Modeling and evaluation of the option book hedging problem using stochastic programming2016Ingår i: Quantitative finance (Print), ISSN 1469-7688, E-ISSN 1469-7696, Vol. 16, nr 2, s. 259-273Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Hedging of an option book in an incomplete market with transaction costs is an important problem in finance that many banks have to solve on a daily basis. In this paper, we develop a stochastic programming (SP) model for the hedging problem in a realistic setting, where all transactions take place at observed bid and ask prices. The SP model relies on a realistic modeling of the important risk factors for the application, the price of the underlying security and the volatility surface. The volatility surface is unobservable and must be estimated from a cross section of observed option quotes that contain noise and possibly arbitrage. In order to produce arbitrage-free volatility surfaces of high quality as input to the SP model, a novel non-parametric estimation method is used. The dimension of the volatility surface is infinite and in order to be able solve the problem numerically, we use discretization and principal component analysis to reduce the dimensions of the problem. Testing the model out-of-sample for options on the Swedish OMXS30 index, we show that the SP model is able to produce a hedge that has both a lower realized risk and cost compared with dynamic delta and delta-vega hedging strategies.

  • 15.
    Barkhagen, Mathias
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Blomvall, Jörgen
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Non-parametric estimation of local variance surfacesManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    In this paper we develop a general optimization based framework for estimation of the option implied local variance surface. Given a specific level of consistency with observed market prices there exist an infinite number of possible surfaces. Instead of assuming shape constraints for the surface, as in many traditional methods, we seek the solution in the subset of realistic surfaces. We select local volatilities as variables in the optimization problem since it makes it easy to ensure absence of arbitrage, and realistic local volatilities imply realistic risk-neutral density- (RND), implied volatility- and price surfaces. The objective function combines a measure of consistency with market prices, and a weighted integral of the squared second derivatives of local volatility in the strike and the time-to-maturity direction. Derivatives prices in the optimization model are calculated efficiently with a finite difference scheme on a non-uniform grid. The framework has previously been successfully applied to the estimation of RND surfaces. Compared to when modeling the RND, it is for local volatility much easier to choose the parameters in the model. Modeling the RND produces a convex optimization problem which is not the case when modeling local volatility, but empirical tests indicate that the solution does not get stuck in local optima. We show that our method produces local volatility surfaces with very high quality and which are consistent with observed option quotes. Thus, unlike many methods described in the literature, our method does not produce a local volatility surface with irregular shape and many spikes or a non-smooth and multimodal RND for input data with a lot of noise.

  • 16.
    Barkhagen, Mathias
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Blomvall, Jörgen
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Non-Parametric Estimation of Stable Local Volatility SurfacesManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    In this paper we develop a general optimization based framework for estimation of the option implied local volatility surface. We show that our method produces local volatility surfaces with very high quality and which are consistent with observed S&P 500 index option quotes. Thus, unlike many methods described in the literature, our method does not produce a local volatility surface with irregular shape and many spikes for input data which contains a lot of noise. Through a time series study we show that our optimization based framework produces squared local volatility surfaces that are stable over time. Given a specic level of consistency with observed market prices there exist an innite number of possible surfaces. Instead of assuming shape constraints for the surface, as in many traditional methods, we seek the solution in the subset of realistic surfaces. We select squared local volatilities as variables in the optimization problem since it makes it easy to ensure absence of arbitrage, and realistic local volatilities imply realistic risk-neutral density- , implied volatility- and price surfaces. The objective function combines a measure of consistency with market prices, and a weighted integral of the squared second derivatives of local volatility in the strike and the time-to-maturity direction. Derivatives prices in the optimization model are calculated efficiently with a finite difference scheme on a non-uniform grid. The resulting optimization problem is non-convex, but extensive empirical tests indicate that the solution does not get stuck in local optima.

  • 17.
    Barkhagen, Mathias
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Blomvall, Jörgen
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Non-parametric estimation of the option implied risk-neutral density surfaceManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    Accurate pricing of exotic or illiquid derivatives which is consistent with noisy market prices presents a major challenge. The pricing accuracy will crucially depend on using arbitrage free inputs to the pricing engine. This paper develops a general optimization based framework for estimation of the option implied risk-neutral density (RND), while satisfying no-arbitrage constraints. Our developed framework is a generalization of the RNDs implied by existing parametric models such as the Heston model. Thus, the method considers all types of realistic surfaces and is hence not constrained to a certain function class. When solving the problem the RND is discretized making it possible to use general purpose optimization algorithms. The approach leads to an optimization model where it is possible to formulate the constraints as linear constraints making the resulting optimization problem convex. We show that our method produces smooth local volatility surfaces that can be used for pricing and hedging of exotic derivatives. By perturbing input data with random errors we demonstrate that our method gives better results than the Heston model in terms of yielding stable RNDs.

  • 18.
    Barkhagen, Mathias
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Blomvall, Jörgen
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Option Market Prediction of the S&P 500 Index Return DistributionManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    In this paper we evaluate the density forecasts obtained from a cross-section of S&P 500 index option prices. The option implied density forecasts rely on a result derived by Heath and Platen (2006), which under certain assumptions allows us to transform risk-neutral densities into real-world densities. In order to remove liquidity premia from the real-world densities we use a  transformation into densities implied by the Minimal Market Model. The accuracy of the estimated real-world density forecasts relies on using a recently developed method for estimation of risk-neutral densities of high quality. We find that our recovered real-world densities explains the realized return distribution for S&P 500 better than historical GARCH densities for a forecasting horizon of two days. This can be contrasted to the findings in two recent papers in the literature, who find that historical densities estimated from intra-day data performs as least as well as option implied densities for a forecasting horizon of one day.

  • 19.
    Barkhagen, Mathias
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Blomvall, Jörgen
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Platen, Eckhard
    Quantitative Finance Research Centre, University of Technology, Sydney, Australia.
    Recovering the Real-World Density and Liquidity Premia from Option Data2016Ingår i: Quantitative finance (Print), ISSN 1469-7688, E-ISSN 1469-7696, Vol. 16, nr 7, s. 1147-1164Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this paper we develop a methodology for simultaneous recovery of the real-world probability density and liquidity premia from observed S&P500 index option prices. Assuming the existence of a numeraire portfolio for the US equity market, fair prices of derivatives under the benchmark approach can be obtained directly under the real-world measure. Under this modeling framework there exists a direct link between observed call option prices on the index and the real-world density for the underlying index. We use a novel method for estimation of option implied volatility surfaces of high quality which enables the subsequent analysis. We show that the real-world density that we recover is consistent with the observed realized dynamics of the underlying index. This admits the identication of liquidity premia embedded in option price data. We identify and estimate two separate liquidity premia embedded in S&P500 index options that are consistent with previous findings in the literature.

  • 20.
    Berberovic, Adnan
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Eriksson, Alexander
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies2017Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
    Abstract [en]

    Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. We also add price momentum as a sixth factor and add a one-day lag to the factors. The Regime-Switches are obtained from a Hidden Markov Model with conditional Student's t distributions. For the return process we use factor data as input, Student's t distributed residuals, and Student's t copula dependencies. To fit the copulas, we develop a novel approach based on the Expectation-Maximisation algorithm. The results are promising as the quantiles for most of the portfolios show a good fit to the theoretical quantiles. Using a sophisticated Stochastic Programming model, we back-test the predictive power over a 26 year period out-of-sample. Furthermore we analyse the performance of different factors during different market regimes.

  • 21.
    Berggren, Caroline
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Asplund, Jesper
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Identifying and analyzing digital payment flows regarding illegal purposes on the Internet: I samarbete med CGI och Finanskoalitionen2016Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
    Abstract [en]

    The aim of this study was to illustrate an unexplored illegal exploitation of legal businesses, with the purpose of limiting this market and especially the related transactions. The issue of transactions regarding illegal material executed with credit cards was solved through involving the companies who issues the credit cards, making the market more transparent and thus preventing this kind of transactions. The thesis will illustrate how cryptocurrencies, such as Bitcoin, are being exploited regarding illegal transactions and more specifically, transactions regarding selling and purchasing Child Abusive Material within file hosting services (cyberlockers). The analyzed data was gathered using a webcrawler and different methods for analyzing correlation were implemented on the data to find relationships between different data points. The data points were then clustered, using an algorithm to create a relationship network. The developed model analyzed the data to identify trends and patterns regarding the illegal transactions and the results can be used to find the most prominent users who are potential perpetrators that actively distributes illegal material. A deeper analysis is then performed on the, according to the model, most interesting users in an attempt to identify their underlying identity.

    When cryptocurrencies are used by perpetrators to pay and get paid for illegal material, the transaction flows cannot immediately be connected to specific identities and therefore it is required to first identify potential perpetrators and track their transactions, to later compare them with the transactions that has already been identified as payments for illegal material. Apart from this model, a framework has been created to identify certain patterns and trends regarding the cyberlockers’ transaction flows. This was performed through analysis of the transaction flows connected to cyberlockers that were suspected to contain Child Abusive Material or other illegal material.

    With the results from the first and second model, the most interesting cyberlockers for future investigations were discovered, according to the trends and patterns in their surrounding transaction flows. When that analysis was performed and the first model was implemented, potential perpetrators was identified through collaborations between the investigating unit, the Police, the cyberlockers in question and the relevant exchange services. Through this collaboration the identities of the perpetrators are revealed and the transaction flows can then be analyzed to limit further distribution of Child Abusive Material within cyberlockers and consequently limit the illegal transactions with cryptocurrencies.

    Keywords: Bitcoin, Child Abusive Material, Cyberlockers, Illegal payments, Cryptocurrency, Webcrawler, Correlation, Relationship network.

  • 22.
    Bergstedt, Malin
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Sales and Operations Planning Framework: How to balance demand and supply for a project-oriented and complex organization operating inthe aerospace and defence industry2019Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
    Abstract [en]

    One challenge organizations are facing in all industries is determining the likely events of the future and developing strategies to handle these challenges. Sales and operations planning are a decision-making process and tool that helps organizations to allocate resources not only to handle the challenges but also to take advantage of future conditions by balancing supply and demand. There is only a limited amount of framework and models available today. This project will divulge and reveal a new framework for sales and operations planning which has been developed in collaboration with an organization operating in the aerospace and defence industry. The basis of the framework consists of a monthly five step process that facilitates the organization in making decisions based on long term (five-years) organizational goals and tying them in with project specific needs. Ultimately, this will provide a centralized system in meeting current project specific demands whilst ensuring future operations are not compromised but enhanced. The company’s current sales and operations planning maturity level was evaluated and compared to the developed framework to find gaps of what needs to change for the company to have proactive sales and operations planning.

  • 23.
    Blomvall, Jörgen
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    Measurement of interest rates using a convex optimization model2017Ingår i: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 256, nr 1, s. 308-316Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Measurement of a single interest rate curve is an important and well-studied inverse problem. To select plausible interest rate curves from the infinite set of possible interest rate curves, forward rates should be used in the regularization. By discretizing the interest rate curve it is shown that the inverse problem can be reformulated as a convex optimization model that can be efficiently solved using existing solvers. The convex optimization model can include bills, bonds, certificates of deposits, forward rate agreements and interest rate swaps using both equality constraints and inequality constraints that stem from bid/ask prices. The importance of an appropriate regularization and allowing for deviations from market prices to obtain stable forward rate curves is illustrated using market data. (C) 2016 Elsevier B.V. All rights reserved.

  • 24.
    Blomvall, Jörgen
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    Ekblom, Jonas
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    Corporate Hedging: an answer to the "how" question2018Ingår i: Annals of Operations Research, ISSN 0254-5330, E-ISSN 1572-9338, Vol. 266, nr 1-2, s. 35-69Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    We develop a stochastic programming framework for hedging currency and interest rate risk, with market traded currency forward contracts and interest rate swaps, in an environment with uncertain cash flows. The framework captures the skewness and kurtosis in exchange rates, transaction costs, the systematic risks in interest rates, and most importantly, the term premia which determine the expected cost of different hedging instruments. Given three commonly used objective functions: variance, expected shortfall, and mean log profits, we study properties of the optimal hedge. We find that the choice of objective function can have a substantial effect on the resulting hedge in terms of the portfolio composition, the resulting risk and the hedging cost. Further, we find that unless the objective is indifferent to hedging costs, term premia in the different markets, along with transaction costs, are fundamental determinants of the optimal hedge. Our results also show that to reduce risk properly and to keep hedging costs low, a rich-enough universe of hedging instruments is critical. Through out-of-sample testing we validate the findings of the in-sample analysis, and importantly, we show that the model is robust enough to be used on real market data. The proposed framework offers great flexibility regarding the distributional assumptions of the underlying risk factors and the types of hedging instruments which can be included in the optimization model.

  • 25.
    Blomvall, Jörgen
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Ekblom, Jonas
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Ndengo, Marcel
    Linköpings universitet, Matematiska institutionen, Optimeringslära. Linköpings universitet, Tekniska högskolan.
    Estimating U.S. Treasury Yield Curves By A Generalized Optimization FrameworkManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    We show that traditional data sets for the U.S. Treasury yield curves contain large amounts of noise, in e.g. the Fama-Bliss discount file already the second factor loading for innovations in forward rates is a consequence of noise. We implement the quadratic and cubic McCulloch splines, Nelson-Siegel and Svensson models and compare these traditional models with a recently developed generalized optimization framework using daily CRSP data from 1961 to 2011. In out-of-sample tests, it is shown that the generalized optimization framework produces smaller pricing errors compared to the traditional methods. Factor loadings from the generalized optimization framework show that the short and long end of the forward rate curve move independently, where principal component 1-3 explain the long end, and subsequent principal components explain the short end. This is consistent with the behavior of the market where short rates are governed by central bank while long rates are dependent on e.g. the expectation of future inflation.

  • 26.
    Blomvall, Jörgen
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    Hagenbjörk, Johan
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    A generic framework for monetary performance attribution2019Ingår i: Journal of Banking & Finance, ISSN 0378-4266, E-ISSN 1872-6372, Vol. 105, s. 121-133Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    We propose a generic framework for performance attribution in monetary terms. Through a second-order Taylor approximation, the changes in portfolio value are attributed to a set of systematic risk factors. By considering two error terms arising from the Taylor approximation, combined with an exact definition of the carry term, we derive a residual-free performance attribution framework, where we exert control over the size of the error terms. The framework incorporates foreign exchange rates and transaction costs, which is illustrated by simulating a European investor acting on the U.S. fixed income market. For the out-of-sample period, we show that we can attribute almost all portfolio value differences and variance using six risk factors obtained from principal component analysis. The results show that our method, in combination with high-quality estimates of risk factors, outperforms other fixed-income attribution models from the literature. (C) 2019 Elsevier B.V. All rights reserved.

  • 27.
    Blomvall, Jörgen
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Ndengo, Marcel
    Linköpings universitet, Matematiska institutionen, Optimeringslära. Linköpings universitet, Tekniska högskolan.
    High Quality Yield Curves from a Generalized Optimization FrameworkManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    Traditional methods for estimating yield curves are special cases of a generalized optimization framework. For pricing out-of-sample in both the Swedish and U.S. interest rate swap (IRS) markets, it is shown that the framework dominates or is close to dominating the traditional methods in the comparison by first order stochastic dominance. When measuring the perceived variance for each traditional method, it is shown that, for the same level of market consistency, the framework produces lower variance. For these new yield curves, PCA of innovations in forward rates shows that the first three loadings (shift, twist and butterfly) do not explain movements in the short end, and that the subsequent loadings explain uncorrelated movements in the short end.

  • 28.
    Blomvall, Jörgen
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Ndengo, Marcel
    Linköpings universitet, Matematiska institutionen, Optimeringslära. Linköpings universitet, Tekniska högskolan.
    Multiple Yield Curves Estimation Using A Generalized Optimization FrameworkManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    After the credit crunch which started in 2007, significant basis spreads for exchanging floating payments of different tenors appeared. To deal with the problem, multiple yield curves estimation methods have been suggested. In this paper, a generalized optimization framework is extended to a multiple yield curve framework. As has been observed by practitioners, extending traditional cubic splines to multiple yield curves, though consistent with the market prices, does not provide smooth and realistic yield curves. When the parameters in the generalized optimization framework are selected to exactly match market prices, the yield curves are much more realistic, but small waves still remain due to noise in the input data. To avoid having a rough yield curve, we also study the least squares parameter setting in the generalized optimization framework. This method gives much smoother and more realistic yield curves with adjustments to market prices that are less than 0.2 basis points. When exact traditional methods are extended to estimate multiple yield curves, then even tiny pricing errors can cause a situation where the shape constraints prevent the method from finding realistic yield curves.

  • 29.
    Bogataj, Marija
    et al.
    University of Ljubljana, Slovenia Mediterranean Institute Adv Studies, Slovenia .
    Grubbström, Robert W
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    On the representation of timing for different structures within MRP theory2012Ingår i: International Journal of Production Economics, ISSN 0925-5273, E-ISSN 1873-7579, Vol. 140, nr 2, s. 749-755Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    MRP Theory has been developed during the last 25 years for capturing processes concerning multi-level, multi-stage production-inventory systems in a compact way. Input-output analysis has been used to describe structures, and Laplace transforms to describe the timing relations. This theory has mainly dealt with assembly systems, in which each item has only one successor. The lead times for the assembly of an item have usually been constants and equal for all items entering a given successor. For such systems, the equations describing the flows of components may be written to include the generalised input matrix as the product of an input matrix containing needed amounts, and a diagonal lead time matrix with lead time operators along its main diagonal. less thanbrgreater than less thanbrgreater thanOn occasion, there has been a need to deviate from this representation enabling lead times to vary depending on which input item that is considered. This paper deals with how to represent lead times and similar output delays (in diverging, arborescent systems), when the assumption of equal times is relaxed, in order to retain the basic structure of the fundamental balance equations involved. The intention of this paper is to create a general taxonomy for the representation of timing in algebraic form for a variety of systems covering both assembly systems and arborescent systems (such as extraction, distribution and remanufacturing), as well as systems with mixed properties. For instance, this method may be used directly for the evaluation of investments in capacity or in the location of activities in a production network, or even in a global supply chain.

  • 30.
    Bogataj, Marija
    et al.
    University of Ljubljana, Slovenia MEDIFAS, Slovenia .
    Grubbström, Robert W.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Transportation delays in reverse logistics2013Ingår i: International Journal of Production Economics, ISSN 0925-5273, E-ISSN 1873-7579, Vol. 143, nr 2, s. 395-402Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this paper we extend and apply MRP theory towards reverse logistics including the considerations of transportation consequences. Our aim is to demonstrate the versatility obtained from using MRP theory when combining Input-Output Analysis and Laplace transforms. This enables an analysis of a supply chain including four sub-systems, namely manufacturing, distribution, consumption and reverse logistics, where the geographical distance between the activities play an important role. The main focus in this paper is on reverse logistics (recycling, remanufacturing). Especially we wish to model the evaluation of disposal and reverse activities far away from agglomerations, which often means an improved environment for nearby inhabitants. This is also illustrated in a numerical example. We use the Net Present Value as a measure of the economic performance. Our ambition is to show that supply chain sub-systems may accurately be described using input and output matrices collected together in corresponding matrices for the system as a whole. Activity levels in each sub-system govern the speed of the respective processes, and these activity levels, in general, will be considered as decision variables. We now analyse reverse logistics activities in which the flows of materials and goods are typically divergent (arborescent processes), similar to properties of the distribution sub-system, and recent results on the extensions of basic MRP theory introducing the concepts of output delays and the generalised output matrix are also introduced here, when modelling the reverse logistics sub-system.

  • 31.
    Bogataj, Marija
    et al.
    University of Ljubljana, Slovenia.
    Grubbström, Robert W.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan. Mediterranean Institute for Advanced Studies, Sempeter pri Gorici, Slovenia.
    Bogataj, Ludvik
    University of Ljubljana, Slovenia.
    Efficient location of industrial activity cells in a global supply chain2011Ingår i: International Journal of Production Economics, ISSN 0925-5273, E-ISSN 1873-7579, Vol. 133, nr 1, s. 243-250Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Inefficient locations for production, distribution and reverse logistics plants will result in excess costs no matter how well material requirements planning (MRP), inventory control, distribution and information sharing decisions are optimized. In this paper we study ways in which aspect of activity cell location decisions can be analyzed within an extended MRP model. This model has previously been extended by including distribution and reverse logistics components in a compact form, presented in Grubbstrom et al. (2007). Our aim is to demonstrate the basic differences between an approach to location problems with MRP "under the same roof" as the global supply chain, in which transportation time delays and direct transportation costs have substantial influence. We discuss possibilities of how to present location aspects in the supply chain model obtained from combining input-output analysis and Laplace transforms in four sub-systems, namely manufacturing, distribution, consumption and reverse logistics, and show how the transportation costs and lead time influenced by the location of all these activities affect the resulting net present value (NPV). Our aim is to build a model supporting decisions concerning the structure of a supply chain as an alternative to a mixed integer programming formulation. The model developed is based on the use of continuous functions describing spatial distributions of cost and customer demand. Continuous functions are embedded in the MRP extension previously introduced in Grubbstrom et al. (2007). Location decisions influence (i) production costs, because timing influences the cost of activities involved in creating a product, cf. (Grubbstrom and Bogataj, submitted for publication), and (ii) logistics costs, which refer to the procurement and physical transmission of materials through the supply chain. In this current paper we wish to combine both of these aspects into a comprehensive model, where we show the interaction between the "space of flows" and the "space of places" as Giovanni Arrighi distinguishes one from the other in his book The Long Twentieth Century.

  • 32.
    Brandouy, Olivier
    et al.
    Sorbonne Grad Business Sch, France .
    Corelli, Angelo
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Veryzhenko, Iryna
    ENSAM Paristech, France .
    Waldeck, Roger
    Telecom Bretagne, France .
    A re-examination of the "zero is enough" hypothesis in the emergence of financial stylized facts2012Ingår i: Journal of Economic Interaction and Coordination, ISSN 1860-711X, E-ISSN 1860-7128, Vol. 7, nr 2, s. 223-248Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In recent years, a growing literature has claimed that the market microstructure is sufficient to generate the so-called stylized facts without any reference to the behaviour of market players. Indeed, qualitative stylized-facts can be generated with zero-intelligence traders (ZITs) but we stress that they are without any quantitative predictive power. In this paper we show that in most of the cases, such qualitative stylized facts hide unrealistic price motions at the intraday level and ill-calibrated return processes as well. To generate realistic price motions and return series with adequate quantitative values is out-of-reach using pure ZIT populations. To do so, one must increasingly constrain agents choices to a point where it is hard to claim that their behaviour is completely random. In addition we show that even with highly constrained ZIT agents, one cannot reproduce real time series from these. Except in a few cases, first order moments of ZITs never equal real data ones. We therefore claim that stylized facts produced by means of ZIT agents are useless for financial engineering.

  • 33.
    Camargo, Carlos Eduardo
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    The human aspect of Lean: Special considerations for an adequate implementation of Lean2017Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
    Abstract [en]

    Ever since the Toyota Production System (TPS) was re-named and introduced into the western culture as the Lean philosophy, many studies and articles have been published where the benefits of this philosophy are highlighted and directly related to improvements on the performance and efficiency of manufacturing processes, more specifically in the car manufacturing industry. Since the focus of these studies has been mostly on measurable benefits, the human aspect that exists in every organization and the effect that Lean can have over this aspect have been left out of the spotlight. Because of this, the present study has the main purpose of presenting the findings obtained by a limited number of studies performed on the subject, and based on their results, determine what type of effects can a new way of work based on the Lean principles have over the mental and physical well-being of people, and which aspects are important to consider when implementing Lean in order to avoid negative results and negative effects on people.

    By identifying the potential effects that Lean could generate over people, and the aspects related to them, the present study is intended to provide a wider vision to the reader about the two components that the Lean philosophy is built on, one being a practical component made of tools and another focused on the development and motivation of people inside an organization, and the potential consequences of giving relevance to only the practical side of Lean. In addition, the present study also emphasizes the importance of certain aspects that are always present in the context of any organization, as is the case of culture, which have been identified through the experiences collected by different studies and have been determined as essential to be considered in any strategy of implementation of Lean. With all this information, the present study is expected to provide readers with the basic knowledge that any Lean implementation effort should consider in order to increase the chances of a successful implementation of Lean where positive results are obtained while the safety and well-being of employees is maintained in the process.

    Even though the present study does not involve the study of a particular case, the information collected and presented in this work summarizes all the relevant knowledge that has been acquired by all the limited studies performed on this interesting topic, and therefore represents a very good step towards the acknowledgment of the importance that the human aspect has on the final outcome of any Lean implementation.

  • 34.
    Camen, Carolina
    et al.
    Karlstad University, Sweden.
    Lidestam, Helene
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten. Swedish National Rd and Transport Research Institute VTI, Linkoping, Sweden.
    Dominating factors contributing to the high(er) costs for public bus transports in Sweden2016Ingår i: RESEARCH IN TRANSPORTATION ECONOMICS, ISSN 0739-8859, Vol. 59, s. 292-296Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The purpose of this study is to deepen the understanding of what are the underlying reasons for the increasing cost of public transport in general and bus services in particular in a Swedish context. Data were collected through in-depth interviews with managers at the bus operators as well as the authority organizations. This paper contributes by identifying nine categories that can be the dominating factors behind the increasing costs of public bus services in Sweden. The identified categories of cost drivers are; of traffic appearance (peak times), greening of buses, age requirements, the contract period, the accessibility customization, special requirements on buses, collective agreements (working time regulation), tendering and contracting process, and finally, counterproductive political governance. It can be concluded that many of the cost drivers originate from the circumstances of the process of public procurement, such as different demands for different regions in Sweden as well as the trade-off between the bus operators wishes for higher flexibility in the contracts and the traffic authorities fear of more risks and thereby higher bids in the end. (C) 2016 Elsevier Ltd. All rights reserved.

  • 35.
    Cederborg, Ola
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Case studies in Advanced Planning Systems for Tactical Planning in Process Industries2010Licentiatavhandling, sammanläggning (Övrigt vetenskapligt)
    Abstract [en]

    This thesis focuses on the use of Advanced Planning System (APSs) in the tactical planning process. In addition, there is a special focus towards process industries. The overall aim is to find out if and how APSs can support the tactical planning processes and add value to the company. A discussion on APSs as such is also presented, as the general definition of APS is unclear.

    The study is based on three case studies, first a longitudinal case study at a single company, second a in-depth case study at the same company and last a multiple case study at four Scandinavian companies. The case descriptions provide answers to the overall purpose of the thesis, but they also contribute to the general knowledge concerning APSs, as they describe industrial use of these systems.

    The study reveals several improvements that companies have achieved by implementing APSs and it conclude that APSs can support the tactical planning process. The improvements are seen either as results of process changes needed to implement the APS or the APS itself. Among the improvements, centralizing, automatizing and streamlining of the tactical planning processes are three of the most prominent. But several other improvements are also found, for example improvements concerning the customer service level and inventory levels.

    Although several successful implementations, it is not uncommon that implementations projects fail, which is why companies need to be careful when deciding to invest in an APS. Factors found to be linked to success concerning APS implementations are discussed, with the APS’s fit to the company’s processes and existing systems along with promotional activities, either by a project champion or the top management, are found to be important.

    Delarbeten
    1. APS for Tactical Planning in a Steel Processing Company
    Öppna denna publikation i ny flik eller fönster >>APS for Tactical Planning in a Steel Processing Company
    2011 (Engelska)Ingår i: Industrial management + data systems, ISSN 0263-5577, E-ISSN 1758-5783, Vol. 111, nr 3-4, s. 608-628Artikel i tidskrift (Refereegranskat) Published
    Abstract [en]

    Purpose: The main purpose is to describe and analyse the impact that  the implementation of an advanced planning system (APS) has on the tactical planning level at a steel processing company. This is done in terms of analysing changes in the tactical planning processes, effects on company performance, and how APS is used in a practical planning context.

    Design/methodology/approach: This research is based on a longitudinal case study in the process industry. The case company, a highend steel producer, has been studied during several years using a combination of data sources: literature reviews, interviews, archival records, attending meetings, workshops and seminars, etc.

    Findings: This case study points to the fact that implementing an APS and reorganizing the planning department and the planning processes are mutually dependent. The positive effects at the tactical planning level (in terms of service levels, fast and reliable order promises, more accurate forecasts) could not have been realized without the APS. On the other hand, APS could not have been effectively utilized without the organizational change.

    Research limitations/implication: The results presented in this paper are based on a single-case study, but in the context of our literature review and other case studies the findings are still valid and an important step towards better understanding of the practical use of APS.

    Practical implications: The process descriptions, lessons learnt and issues encountered in case studies like this should be helpful to practitioners on their way to implement APS, and companies seeking new ways to improve their planning can use this research to investigate the use of an advanced planning system.

    Originality/value: Studies on the practical use of standard APS software are still scarce. As such this paper provides enhanced knowledge and understanding on the use of APS in an industry setting.

    Ort, förlag, år, upplaga, sidor
    Emerald Group Publishing Limited, 2011
    Nyckelord
    Planning Systems, Demand Planning, Demand Fulfilment, Master Planning, Implementation, Case study
    Nationell ämneskategori
    Teknik och teknologier
    Identifikatorer
    urn:nbn:se:liu:diva-63281 (URN)10.1108/02635571111133579 (DOI)000291136900015 ()
    Tillgänglig från: 2010-12-14 Skapad: 2010-12-14 Senast uppdaterad: 2017-12-11Bibliografiskt granskad
    2. Capable-To-Promise for Segmented Customers in a CapacityConstrained Manufacturing Environment
    Öppna denna publikation i ny flik eller fönster >>Capable-To-Promise for Segmented Customers in a CapacityConstrained Manufacturing Environment
    (Engelska)Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    Companies operating in environments where demand supersedes production capacity often use some kind of customer segmentation to choose between orders. This calls for the need of methods for creating the best possible allocation of the capacity to different segments or customers, in order to maximize the company´s profit. In their need to fulfil this request, several companies have chosen to utilise the decision support offered by several advanced planning systems vendors, which aims at creating a more profitable utilisation of the resources with regard to the customer segments. The purpose of this study is to analyse the capable-to-promise functionality in a demand fulfilment process concerning segmented customers. A literature study is conducted and a process industry company, with finish to order production, is described and analysed. The company has experienced good results from using an APS’s demand fulfilment functionality. The main findings are the verifications of some theoretically expected benefits, such as customer service level and product mix composition.

    Nyckelord
    Advanced planning systems, available to promise, demand fulfilment, customer segmentation, process industry, case study
    Nationell ämneskategori
    Teknik och teknologier
    Identifikatorer
    urn:nbn:se:liu:diva-63282 (URN)
    Tillgänglig från: 2010-12-14 Skapad: 2010-12-14 Senast uppdaterad: 2010-12-14Bibliografiskt granskad
    3. Assessing factors affecting results of APS implementations
    Öppna denna publikation i ny flik eller fönster >>Assessing factors affecting results of APS implementations
    (Engelska)Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    Purpose: The purpose of this paper is to study if ERP success factors are applicable in APS implementations.

    Methodology: A multiple case study including four companies that have implemented an APS concerning their tactical planning process is conducted. Critical Success Factors derived from the ERP literature and described effects from APS implementations are studied at the companies. The cases are compared concerning their fulfilment of the critical success factors with respect to the effects they have experienced.

    Findings: Findings show that several critical success factors concerning ERP most likely are applicable in APS implementations. Also, the findings verify some of the previous described effects from APS implementations.

    Practical implications: The findings show some factors to pay attention to when going through APS implementation projects. They also show some of the effects that can be expected if succeeding with the APS implementation. Both these implications are of use to managers that consider implementing an APS.

    Originality/value: Studies considering success factors in APS implementations are lacking in the published literature. Testing ERP success factors application on APS implementations has not been done before. The findings of this paper fill some of that gap.

    Nyckelord
    Advanced planning systems, critical success factors, multiple case study
    Nationell ämneskategori
    Teknik och teknologier
    Identifikatorer
    urn:nbn:se:liu:diva-63283 (URN)
    Tillgänglig från: 2010-12-14 Skapad: 2010-12-14 Senast uppdaterad: 2010-12-14
  • 36.
    Cederborg, Ola
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Rudberg, Martin
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Advanced Planning Systems: Master Planning in the Process Industry2008Ingår i: Proceedings of the 15th EurOMA Conference, 2008, 2008Konferensbidrag (Övrigt vetenskapligt)
  • 37.
    Cederborg, Ola
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling. Linköpings universitet, Tekniska högskolan.
    Rudberg, Martin
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Capable-To-Promise for Segmented Customers in a CapacityConstrained Manufacturing EnvironmentManuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    Companies operating in environments where demand supersedes production capacity often use some kind of customer segmentation to choose between orders. This calls for the need of methods for creating the best possible allocation of the capacity to different segments or customers, in order to maximize the company´s profit. In their need to fulfil this request, several companies have chosen to utilise the decision support offered by several advanced planning systems vendors, which aims at creating a more profitable utilisation of the resources with regard to the customer segments. The purpose of this study is to analyse the capable-to-promise functionality in a demand fulfilment process concerning segmented customers. A literature study is conducted and a process industry company, with finish to order production, is described and analysed. The company has experienced good results from using an APS’s demand fulfilment functionality. The main findings are the verifications of some theoretically expected benefits, such as customer service level and product mix composition.

  • 38.
    Cederborg, Ola
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Rudberg, Martin
    Linköpings universitet, Institutionen för teknik och naturvetenskap, Kommunikations- och transportsystem. Linköpings universitet, Tekniska högskolan.
    Customer Segmentation and Capable-to-promise in a Capacity Constrained Manufacturing Environmen2009Ingår i: Proceedings of the 16th EurOMA Conference, 2009, 2009Konferensbidrag (Övrigt vetenskapligt)
    Abstract [en]

    The purpose of this study is to analyse customer segmentation and capable-to-promise functionality in a demand fulfilment process. This is done through a literature review and a case study, the case showing that the company has experienced good results from using an advanced planning system based on customer segmentation and capable-to-promise functionality.

  • 39.
    Chen, Lujie
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    Sustainability and company performance: Evidence from the manufacturing industry2015Doktorsavhandling, sammanläggning (Övrigt vetenskapligt)
    Abstract [en]

    This dissertation approaches the question of sustainability and its influence on company performance, with special focus on the manufacturing industry. In the contemporary production environment, manufacturing operations must take into account not only profit, but also environmental and social performance, in order to ensure the long-term development of the company. Companies have to decide whether they should allocate resources to environmental and social practices in order to improve their competitive advantage. Consequently, in decision-making processes concerning operations, it is important for companies to understand how to coordinate profit, people, and planet.

    The objective of this dissertation was to investigate the current situation regarding manufacturers’ sustainable initiatives, and to explore the relationship between these sustainable practices and companies’ performance, including financial performance, operational performance, innovation performance, environmental performance, and social performance. First of all, a structured literature review was conducted to identify sustainable factors considered to be important in the decision making of manufacturing operations. The findings were synthesized into a conceptual model, which was then adopted as the basis for designing the survey instrument used in this dissertation. Drawing on Global Reporting Initiative (GRI) reports, empirical research was performed to explore the relationship between environmental management practices and company performance. Interestingly, the findings showed that many environmental management practices had a strong positive impact on innovation performance. Sustainability disclosures and financial performance were further analyzed using extended data from the GRI reports. The results also showed that several sustainability performance indicators, such as product responsibility, human rights, and society, displayed a significant and positive correlation with return on equity in the sample companies.

    In order to further explore the research area and to verify these findings, a triangulation approach was adopted and new data were collected via a survey conducted among middle and large sample companies in the Swedish manufacturing industry. The results indicated that the sustainable improvement practices had a positive impact on company performance. Some environmental and social improvement practices had a direct and positive correlation with product and process innovation. Furthermore, findings suggested that better cooperation with suppliers on environmental work could help to strengthen the organizational green capabilities of the focal companies.

    When considering the company’s general approach to implementing sustainable practices, some interesting findings emerged. There were limited significant differences in sustainable practices when comparing different manufacturing sectors, and different countries and regions. However, the results showed that Swedish manufacturing companies often place higher priority on implementing economic and environmental sustainability practices than on social ones.

    This dissertation contributes to the literature on manufacturing sustainability. The study expands the understanding of how environmental, social, or economic perspectives as a triple bottom line can influence company performance and to a certain extent the supply chain. Identifying and understanding such relationships gives companies the opportunity to integrate sustainability into their manufacturing operations strategy in order to sustain their manufacturing operations over the long term.

    Delarbeten
    1. Manufacturing facility location and sustainability: A literature review and research agenda
    Öppna denna publikation i ny flik eller fönster >>Manufacturing facility location and sustainability: A literature review and research agenda
    2014 (Engelska)Ingår i: International Journal of Production Economics, ISSN 0925-5273, E-ISSN 1873-7579, Vol. 149, s. 154-163Artikel i tidskrift (Refereegranskat) Published
    Abstract [en]

    The perspectives on the manufacturing footprint of global firms are widening from the economic aspects to also include the environmental and social aspects. Thus, sustainability is becoming an important issue for the location of manufacturing facilities. It is therefore timely to review the relevant aspects and dimensions in the extant literature to investigate the relationship between sustainability and facility location. In this paper, we aim to understand how sustainability aspects are included in decision-making concerning manufacturing facility locations and the role of location in evaluating manufacturing sustainability. We examine the literature streams on sustainability and facility location. A comprehensive search includes peer-reviewed literature from 1990 to 2011. We propose a literature classification scheme with respect to focal area and research methodology. The content analysis identifies the environmental, social and economic perspectives and factors affecting location decisions. We synthesize the findings into a framework for taking sustainability aspects into account in manufacturing facility location decision-making. We also propose a research agenda for further research on sustainable locations.

    Ort, förlag, år, upplaga, sidor
    Elsevier, 2014
    Nyckelord
    Corporate social responsibility (CSR); Environment; Facility location; Manufacturing; Sustainability
    Nationell ämneskategori
    Annan naturvetenskap Övrig annan teknik
    Identifikatorer
    urn:nbn:se:liu:diva-102696 (URN)10.1016/j.ijpe.2013.05.013 (DOI)000332439600015 ()
    Forskningsfinansiär
    VINNOVA
    Tillgänglig från: 2013-12-19 Skapad: 2013-12-19 Senast uppdaterad: 2019-06-27Bibliografiskt granskad
    2. Applying GRI reports for the investigation of environmental management practices and company performance in Sweden, China and India
    Öppna denna publikation i ny flik eller fönster >>Applying GRI reports for the investigation of environmental management practices and company performance in Sweden, China and India
    2015 (Engelska)Ingår i: Journal of Cleaner Production, ISSN 0959-6526, E-ISSN 1879-1786, Vol. 98, s. 36-46Artikel i tidskrift (Refereegranskat) Published
    Abstract [en]

    The relationship between environmental management practices (EMPs) and company performance hasrecently been debated in literature and is of interest for both industrial managers and political decisionmakers.This paper investigates the relationship between EMPs and firm performance in manufacturingcompanies in Sweden, China and India. With the content analysis of Global Reporting Initiative (GRI)reports and financial reports of sample companies, the levels of EMPs and the companies’ financialperformances were coded. Further statistical assessment was conducted in order to identify patterns andcorrelations. The results indicate that only selected EMPs have been employed differently in threedifferent countries. Most EMPs clearly do not have a positive correlation with the financial performance;i.e. employing EMPs does not necessarily improve the economic consequence of companies. Nevertheless,a number of EMPs do have a strong correlation with improving innovation performance in variouscompanies. It is also interesting to note that a negative correlation exists between the Environmentalstandard for suppliers and Sales growth. This is possibly due to increasing operational costs and a delay inmarket acceptance. This research illustrates the possibility of using standard environmental data fromGRI reports as a resource for future studies of EMPs. In order to improve long-term financial performance,this study also suggests that innovation should gain a substantial amount of attention when EMPsare employed.

    Ort, förlag, år, upplaga, sidor
    Elsevier, 2015
    Nyckelord
    Environmental management practices; Company performance; Global reporting initiative ; Manufacturing industry; Empirical research
    Nationell ämneskategori
    Miljöledning Ekonomi och näringsliv
    Identifikatorer
    urn:nbn:se:liu:diva-113755 (URN)10.1016/j.jclepro.2014.02.001 (DOI)000356194300005 ()
    Forskningsfinansiär
    VINNOVA
    Tillgänglig från: 2015-01-29 Skapad: 2015-01-29 Senast uppdaterad: 2019-06-27Bibliografiskt granskad
    3. The relationship between disclosures of corporate social performance and financial performance: Evidences from GRI reports in manufacturing industry
    Öppna denna publikation i ny flik eller fönster >>The relationship between disclosures of corporate social performance and financial performance: Evidences from GRI reports in manufacturing industry
    2015 (Engelska)Ingår i: International Journal of Production Economics, ISSN 0925-5273, E-ISSN 1873-7579, Vol. 170, s. 445-456Artikel i tidskrift (Refereegranskat) Published
    Abstract [en]

    Whether the corporate social performance affects the financial performance is still unclear in many manufacturing companies. We commonly expect, on one side, that profitable corporations have stronger incentives to reveal information on social performance in order to improve their publicity; on the other hand, companies may face the fear of rising costs due to Corporate Social Responsibility (CSR) activities. With increasing concerns of CSR, it is timely to investigate the relationship between the disclosure of corporate social performance and financial performance. In this paper with the above study objective, we use Global Reporting Initiative (GRI) reports of 75 sample companies, collect evidences by applying the method of structured content analysis of the cases and attempt to identify this relationship. The corporate social performance is measured by the indicators according to the GRI guidelines, i.e. within the categories of Labor practices and decent work, Human Rights, Society as well as Product responsibility. Financial performance is measured by return on equity, sales growth and cash flow/sales ratio. Using statistical evaluation methods, our results indicate that the categories of Human Rights, Society as well as Product responsibility display a significant and positive correlation with the return on equity. Same conclusion also holds for many CSR indicators. Nevertheless, when examining the CSR practices across different manufacturing sectors, we have not observed significant differences. The study results are important for understanding the development and implementation of CSR practices in the manufacturing industry.

    Ort, förlag, år, upplaga, sidor
    Elsevier, 2015
    Nyckelord
    corporate social responsibility, disclosures of social performance, financial performance, Global Reporting Initiative, empirical research
    Nationell ämneskategori
    Annan geovetenskap och miljövetenskap
    Identifikatorer
    urn:nbn:se:liu:diva-117443 (URN)10.1016/j.ijpe.2015.04.004 (DOI)000367486100009 ()
    Tillgänglig från: 2015-04-27 Skapad: 2015-04-27 Senast uppdaterad: 2019-06-27
    4. An empirical evaluation of sustainable operations practices and performance in the Swedish manufacturing industry
    Öppna denna publikation i ny flik eller fönster >>An empirical evaluation of sustainable operations practices and performance in the Swedish manufacturing industry
    2015 (Engelska)Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    This study explored whether there are patterns linking sustainability practices and performance in the Swedish manufacturing industry. Meanwhile, the relationships between sustainability improvement practices and companies’ triple bottom line performance were investigated using survey data from Swedish manufacturing companies. Treating each sustainability practice and performance indicator as an individual item, factor analysis and cluster analysis were conducted to explore the potential patterns and relationships. The results indicated that the triple bottom line provides a valid outline for representing companies’ sustainability practices in the Swedish manufacturing industry. In terms of sustainability performance, the results showed that economic performance was often treated as a separate category in practice, whereas environmental sustainability and social sustainability were often combined. Process and product technology level was positively correlated with environmental performance and innovation performance. Economic, social, and environmental practices had positive correlations with performance in the respective area. Even though not all social and environmental practices directly improved companies’ economic performance, some social and environmental practices, such as education, individual development, and environmental health improvement, had an indirect effect and, thus, are deserving of specific attention. These selected practices often had a positive impact on product and process innovation, which could further improve companies’ economic performance.

    Nyckelord
    Sustainability, operations strategies, operations performance, survey
    Nationell ämneskategori
    Annan geovetenskap och miljövetenskap
    Identifikatorer
    urn:nbn:se:liu:diva-121050 (URN)
    Tillgänglig från: 2015-09-03 Skapad: 2015-09-03 Senast uppdaterad: 2019-06-27Bibliografiskt granskad
    5. Does supplier involvement affect Swedish manufacturers’ sustainability?
    Öppna denna publikation i ny flik eller fönster >>Does supplier involvement affect Swedish manufacturers’ sustainability?
    2015 (Engelska)Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    This study examines the moderating role of supplier involvement in the focal company’s sustainable initiatives. Survey methodology was used to collect data from 349 Swedish manufacturers. Partial least squares structural equation modeling was then applied to analyze the causal relationships and moderating effects. The results showed that there was a significant positive relationship between sustainable drivers and sustainable improvement practices within the focal company itself. The focal company’s sustainable improvement practices significantly contributed to its sustainable performance. Moreover, the high levels of supplier involvement in environment-related work significantly strengthened the relationship between the focal company’s sustainable practices and performance. This study contributes to the literature in the field of green supply chain management. The results indicate not only that a “win-win” opportunity exists for members of the Swedish manufacturing industry who implement sustainable practices, but also that organizational green capabilities can be strengthened by cooperating with suppliers through organizational learning.

    Nyckelord
    Corporate social responsibility, Corporate sustainability, Empirical research, Organizational sustainability cooperation, Structural equation model, Supplier involvement, Sweden
    Nationell ämneskategori
    Annan geovetenskap och miljövetenskap
    Identifikatorer
    urn:nbn:se:liu:diva-121051 (URN)
    Tillgänglig från: 2015-09-03 Skapad: 2015-09-03 Senast uppdaterad: 2019-06-27Bibliografiskt granskad
  • 40.
    Chen, Lujie
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Feldmann, Andreas
    Department of Industrial Economics and Management, Royal Institute of Technology.
    Tang, Ou
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    An empirical evaluation of sustainable operations practices and performance in the Swedish manufacturing industry2015Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    This study explored whether there are patterns linking sustainability practices and performance in the Swedish manufacturing industry. Meanwhile, the relationships between sustainability improvement practices and companies’ triple bottom line performance were investigated using survey data from Swedish manufacturing companies. Treating each sustainability practice and performance indicator as an individual item, factor analysis and cluster analysis were conducted to explore the potential patterns and relationships. The results indicated that the triple bottom line provides a valid outline for representing companies’ sustainability practices in the Swedish manufacturing industry. In terms of sustainability performance, the results showed that economic performance was often treated as a separate category in practice, whereas environmental sustainability and social sustainability were often combined. Process and product technology level was positively correlated with environmental performance and innovation performance. Economic, social, and environmental practices had positive correlations with performance in the respective area. Even though not all social and environmental practices directly improved companies’ economic performance, some social and environmental practices, such as education, individual development, and environmental health improvement, had an indirect effect and, thus, are deserving of specific attention. These selected practices often had a positive impact on product and process innovation, which could further improve companies’ economic performance.

  • 41.
    Chen, Lujie
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Feldmann, Andreas
    Department of Industrial Economics and Management, Royal Institute of Technology.
    Tang, Ou
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    The relationship between disclosures of corporate social performance and financial performance: Evidences from GRI reports in manufacturing industry2015Ingår i: International Journal of Production Economics, ISSN 0925-5273, E-ISSN 1873-7579, Vol. 170, s. 445-456Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Whether the corporate social performance affects the financial performance is still unclear in many manufacturing companies. We commonly expect, on one side, that profitable corporations have stronger incentives to reveal information on social performance in order to improve their publicity; on the other hand, companies may face the fear of rising costs due to Corporate Social Responsibility (CSR) activities. With increasing concerns of CSR, it is timely to investigate the relationship between the disclosure of corporate social performance and financial performance. In this paper with the above study objective, we use Global Reporting Initiative (GRI) reports of 75 sample companies, collect evidences by applying the method of structured content analysis of the cases and attempt to identify this relationship. The corporate social performance is measured by the indicators according to the GRI guidelines, i.e. within the categories of Labor practices and decent work, Human Rights, Society as well as Product responsibility. Financial performance is measured by return on equity, sales growth and cash flow/sales ratio. Using statistical evaluation methods, our results indicate that the categories of Human Rights, Society as well as Product responsibility display a significant and positive correlation with the return on equity. Same conclusion also holds for many CSR indicators. Nevertheless, when examining the CSR practices across different manufacturing sectors, we have not observed significant differences. The study results are important for understanding the development and implementation of CSR practices in the manufacturing industry.

  • 42.
    Chen, Lujie
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Olhager, Jan
    Industrial Management and Logistics, Lund University.
    Tang, Ou
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Manufacturing facility location and sustainability: A literature review and research agenda2014Ingår i: International Journal of Production Economics, ISSN 0925-5273, E-ISSN 1873-7579, Vol. 149, s. 154-163Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The perspectives on the manufacturing footprint of global firms are widening from the economic aspects to also include the environmental and social aspects. Thus, sustainability is becoming an important issue for the location of manufacturing facilities. It is therefore timely to review the relevant aspects and dimensions in the extant literature to investigate the relationship between sustainability and facility location. In this paper, we aim to understand how sustainability aspects are included in decision-making concerning manufacturing facility locations and the role of location in evaluating manufacturing sustainability. We examine the literature streams on sustainability and facility location. A comprehensive search includes peer-reviewed literature from 1990 to 2011. We propose a literature classification scheme with respect to focal area and research methodology. The content analysis identifies the environmental, social and economic perspectives and factors affecting location decisions. We synthesize the findings into a framework for taking sustainability aspects into account in manufacturing facility location decision-making. We also propose a research agenda for further research on sustainable locations.

  • 43.
    Chen, Lujie
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Tang, Ou
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Does supplier involvement affect Swedish manufacturers’ sustainability?2015Manuskript (preprint) (Övrigt vetenskapligt)
    Abstract [en]

    This study examines the moderating role of supplier involvement in the focal company’s sustainable initiatives. Survey methodology was used to collect data from 349 Swedish manufacturers. Partial least squares structural equation modeling was then applied to analyze the causal relationships and moderating effects. The results showed that there was a significant positive relationship between sustainable drivers and sustainable improvement practices within the focal company itself. The focal company’s sustainable improvement practices significantly contributed to its sustainable performance. Moreover, the high levels of supplier involvement in environment-related work significantly strengthened the relationship between the focal company’s sustainable practices and performance. This study contributes to the literature in the field of green supply chain management. The results indicate not only that a “win-win” opportunity exists for members of the Swedish manufacturing industry who implement sustainable practices, but also that organizational green capabilities can be strengthened by cooperating with suppliers through organizational learning.

  • 44.
    Chen, Lujie
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Tang, Ou
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Feldmann, Andreas
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Applying GRI reports for the investigation of environmental management practices and company performance in Sweden, China and India2015Ingår i: Journal of Cleaner Production, ISSN 0959-6526, E-ISSN 1879-1786, Vol. 98, s. 36-46Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The relationship between environmental management practices (EMPs) and company performance hasrecently been debated in literature and is of interest for both industrial managers and political decisionmakers.This paper investigates the relationship between EMPs and firm performance in manufacturingcompanies in Sweden, China and India. With the content analysis of Global Reporting Initiative (GRI)reports and financial reports of sample companies, the levels of EMPs and the companies’ financialperformances were coded. Further statistical assessment was conducted in order to identify patterns andcorrelations. The results indicate that only selected EMPs have been employed differently in threedifferent countries. Most EMPs clearly do not have a positive correlation with the financial performance;i.e. employing EMPs does not necessarily improve the economic consequence of companies. Nevertheless,a number of EMPs do have a strong correlation with improving innovation performance in variouscompanies. It is also interesting to note that a negative correlation exists between the Environmentalstandard for suppliers and Sales growth. This is possibly due to increasing operational costs and a delay inmarket acceptance. This research illustrates the possibility of using standard environmental data fromGRI reports as a resource for future studies of EMPs. In order to improve long-term financial performance,this study also suggests that innovation should gain a substantial amount of attention when EMPsare employed.

  • 45.
    Chen, Lujie
    et al.
    Xian Jiaotong Liverpool Univ, Peoples R China.
    Tang, Ou
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    Jia, Fu
    Univ York, England.
    The moderating role of supplier involvement in achieving sustainability2019Ingår i: Journal of Cleaner Production, ISSN 0959-6526, E-ISSN 1879-1786, Vol. 235, s. 245-258Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this study, we aim to explore the role of the involvement of suppliers while firms execute sustainable initiatives. We have based the entire study on a survey covering 101 Swedish manufacturers. The structural equation models of partial least squares are adopted to analyse their responses, examining the relationship among the constructs, stakeholders influence, sustainable practices, sustainable performance, and supplier involvement. We find that, in the firms, the effects of stakeholder influence on the sustainable practices is both significant and positive; the sustainable practices of sampled firms are to a great extent facilitating the sustainable performance. In addition, intensely participating in the initiatives related to environmental protection (e.g., cleaner production) by the suppliers, helps reinforce the relationship of sustainable practice and sustainable performance in the firms, however the moderating effects of suppliers involvement in economic and social activities is not significant. This has significant implications to firms decision regarding where to invest in sustainability. (C) 2019 Published by Elsevier Ltd.

  • 46.
    Chen, Lujie
    et al.
    CEIBS, Peoples R China.
    Zhao, Xiande
    CEIBS, Peoples R China.
    Tang, Ou
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    Price, Lydia
    CEIBS, Peoples R China.
    Zhang, Shanshan
    South China University of Technology, Peoples R China.
    Zhu, Wenwen
    South China University of Technology, Peoples R China.
    Supply chain collaboration for sustainability: A literature review and future research agenda2017Ingår i: International Journal of Production Economics, ISSN 0925-5273, E-ISSN 1873-7579, Vol. 194, s. 73-87Artikel, forskningsöversikt (Refereegranskat)
    Abstract [en]

    New technology is altering business strategies and innovation capabilities while increasing the possibilities of production and process innovation. Supply chain collaboration undertaken for the sake of sustainability is currently speeding up this process of change; a growing pool of research is exploring the links between sustainability collaboration and company performance on economic, environmental, and social metrics. It is a good time to review the literature to reveal what has been studied and what are the gaps in the current body of knowledge, and also to comment on what the future research agenda should include. For these purposes, the authors conducted a systematic literature review and a quantitative bibliometric analysis. Results indicate that research about supply chain collaboration for the purpose of sustainability is gaining growing attention in the business field; however, environmental and economic considerations still dominate the research, while there is a lack of consideration about social concerns such as child labor and personal development. In addition, the collaboration partners under investigation have mainly been the company and its customers and suppliers, whereas competitors and other horizontal collaboration partners have received little attention.

  • 47.
    Constantin, Robert
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Gerzic, Denis
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans2018Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
    Abstract [en]

    In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration.

    We conclude, with certainty, that there are many alternatives for funding and that they each need to be analysed and compared on many levels to be able to make a correct decision as to which ones to choose. An important part of this is to consider the implications of the newest regulations and risk exposure, as it might greatly influence the final price for contracts.

    Between the cases that we considered, the SEK bond was the one with the lowest resulting spread, and the one which is the simplest considering the collateral involved. While other alternatives might be better depending on how profitable it is for the municipality to receive collateral, the SEK bond is the most transparent one and with least risk involved.

  • 48.
    Dackner, Gustav
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Falk, Linus
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi.
    Measuring the Risk-neutral Probability Distribution of Equity Index Options2019Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
    Abstract [en]

    The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. (1998), with some modifications, is used, representing the local volatility surface through a bicubic spline. The local volatility surface is optimized to be consistent with market data on option prices, futures contracts and Overnight Index Swap (OIS) interest rates. Repricing of options is done through a finite difference method (FDM) approach presented by Andersen and Brotherton-Ratcliffe (1998), using the Crank-Nicholson scheme. An interior point solver is used to minimize the squared pricing error weighted by liquidity in each option. Fast and accurate gradients of the objective function are obtained using the Automatic Differentiation library Autograd.The local volatility surface is constructed for multiple dates and the systematic changes are analyzed through Principal Component Analysis (PCA) of the logarithmic local variance. A stochastic process is assigned to the local volatility surface using the sensitivities towards systematic changes identified through the PCA. Using a Gaussian Kernel Density Estimator, the probability density function (PDF) of the future value of the portfolio is measured. The method requires simulated portfolio values, which are achieved through FDM pricing using simulations of the local volatility surface and the underlying index. The cumulative distribution function (CDF) is finally computed by integration of the PDF. To evaluate the measured probability distribution, a normal CDF inversion of 106 measured out-of-sample CDF values are compared to theoretical normal distribution quantiles with Q-Q plots.

    The constructed local volatility surface is consistent with market prices to an extent where it is more accurate for more liquid options. It is in most cases realistic with respect to smoothness, but have an unexpectedly large offset from the at-the-money strike level in the skew structure. It is unstable from date to date and also significantly dependent on choice of parameters, limited by computational power, and input data. The unstable construction of the local volatility surface results in measurement noise that cause negative auto correlation in the principal components, which impairs their explanatory ability. The main result show that the shape of the probability distribution is measured accurately, but the standard deviation (or volatility) is overestimated.

  • 49.
    Danielsson, Johan
    et al.
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Gistvik, Gustav
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska högskolan.
    Estimation, model selection and evaluation of regression functions in a Least-squares Monte-Carlo framework2014Självständigt arbete på avancerad nivå (masterexamen), 20 poäng / 30 hpStudentuppsats (Examensarbete)
    Abstract [en]

    This master thesis will investigate one solution to the problem issues with nested stochastic simulation arising when the future value of a portfolio need to be calculated. The solution investigated is the Least-squares Monte-Carlo method, where regression is used to obtain a proxy function for the given portfolio value. We will further investigate how to generate an optimal regression function that minimizes the number of terms in the regression function and reduces the risk of overtting the regression.

  • 50.
    Ding, Huiping
    et al.
    Beijing Jiaotong Univ, Peoples R China.
    Huang, Hua
    Beijing Jiaotong Univ, Peoples R China.
    Tang, Ou
    Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Produktionsekonomi. Linköpings universitet, Tekniska fakulteten.
    Sustainable supply chain collaboration with outsourcing pollutant-reduction service in power industry2018Ingår i: Journal of Cleaner Production, ISSN 0959-6526, E-ISSN 1879-1786, Vol. 186, s. 215-228Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In developing countries, coal power plants still play a major role in the power sector and they are considered as a major emission source of air pollution. Strict regulations have compelled the coal power plants to improve environmental performance by reducing carbon emissions and the emission of pollutants. However, due to cost disadvantages, the coal power plants often lack motivation to internalize environmental externalities through investing in green technology. This situation raises a question: is there any alternative to reduce pollutants in operations economically? With a focus on service supply as well as a consideration of government policies, this paper develops a model to investigate the opportunity of outsourcing a pollutant-reduction service to meet the environmental constraint. The service supply chain consists of a coal power plant (end user) and a pollutant-reduction service provider, with the former outsourcing the service to the latter. We study the policy for improving the profit of this service supply chain whereas the benefit allotment is adjusted through outsourcing price negotiation between the two partners. The results show that the green service outsourcing price is interrelated with the government incentive policy which defines the shares of the two partners. Our key contribution lies in integrating the complex factors affecting the supply chain collaboration such as green service, financial feasibility, environmental constraint, government policies, outsourcing price negotiation, and profit sharing. Our research findings have the following implications; considering environmental externalities, the government should motivate the collaboration between supply chain partners; the economic scale of output and sales price subsidy of electricity generation are the primary factors affecting the price of outsourcing green service and, consequently, the allotment of supply chain profits. The study results indicate the collaboration is potentially effective in improving environmental performance. (C) 2018 Elsevier Ltd. All rights reserved.

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