SwePub - sökning: WFRF:(Wu Desheng Dash)

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1.	Wu, Dexiang, et al. (författare) A decision support approach for two-stage multi-objective index tracking using improved lagrangian decomposition 2020 Ingår i: Omega. - : Elsevier BV. - 0305-0483 .- 1873-5274. ; 91 Tidskriftsartikel (refereegranskat)abstract We present a decision support approach for a network structured stochastic multi-objective index tracking problem in this paper. Due to the non-convexity of this problem, the developed network is modeled as a Stochastic Mixed Integer Linear Program (SMILP). We also propose an optimization-based approach to scenario generation to protect against the risk of parameter estimation for the SMILP. Progressive Hedging (PH), an improved Lagrangian scheme, is designed to decompose the general model into scenario based sub-problems. Furthermore, we innovatively combine tabu search and the sub-gradient method into PH to enhance the tracking capabilities of the model. We show the robustness of the algorithm through effectively solving a large number of numerical instances.
2.	Wu, Dexiang, et al. (författare) A Robust Decision Support Approach to Portfolio Risk Reduction Based on Credit Default Swap 2018 Ingår i: Journal of Fixed Income. - : Pageant Media US. - 1059-8596 .- 2168-8648. ; 27:3, s. 86-95 Tidskriftsartikel (refereegranskat)abstract We construct portfolios from the credit default swap (CDS) market by incorporating cardinality and solvency constraints into mean-variance and conditional value at risk (CVaR) models. Cardinality constraints are applied to limit the portfolio size and improve the allocation structure, while the solvency constraint is used to insulate the default risks of the portfolios under worst scenarios. CDS-based portfolios involve uncertainties that stem from spread changing and jump-to-default volatilities. We show that these uncertainties can be identified and managed using our developed systematic approach. Market data analysis from the CDS portfolios shows that using cardinality constraints reduces counterparty risks significantly. The proposed cardinality constrained CVaR model has robust performance in terms of the portfolio Sharpe ratio and one other metric, and also generally outperforms the associated mean-variance strategy.
3.	Wu, Dexiang, et al. (författare) An enhanced decision support approach for learning and tracking derivative index 2019 Ingår i: Omega. - : Elsevier BV. - 0305-0483 .- 1873-5274. ; 88, s. 63-76 Tidskriftsartikel (refereegranskat)abstract Tracking the movement of an index involves the parameter learning from data and algorithm design for solving the decision model. In this paper, we present a factor induced robust index tracking model to protect against the parameter estimation error and immunize both systematic and default risks of tracking portfolios. A Lagrangian-based algorithm is applied to approximate optimal solutions and enhance the capacity of the decision model. Two types of inequalities are derived to strengthen the Lagrangian lower bound and speed up the whole Lagrangian Relaxation (LR) method. With the designed system, we investigate large Credit Default Swap (CDS) dataset that includes 1246 daily observations across near 500 individual contracts. We show that the fluctuation range of portfolio out-of-sample returns can be shrunk significantly by using the proposed robust counterpart, e.g. from [-12%, 12%] to [-4%, 4%] in the second half of 2013, and other comparison metrics such as Sharpe ratio and tracking error to transaction costs (TE/TC) ratio could also be consistently improved.
4.	Wu, Dexiang, et al. (författare) Credit risk control and management using limited diversification 2021 Ingår i: Journal of Risk Research. - : Informa UK Limited. - 1366-9877 .- 1466-4461. ; 24:8, s. 958-971 Tidskriftsartikel (refereegranskat)abstract The diversified strategy can reduce the systematic risk efficiently, but may fail to account for emergent and default risk that many decision-makers usually face at large-scale level. Modern data-driven methodologies allow optimizing both systematic and non-systematic risks in a unified framework. In this article, we demonstrate an approach to analyze and compare partial-diversified portfolios of Credit Default Swap. We classify and investigate different metrics of credit risks and integrate them with limited diversification and other performance objectives. We test the developed approach in a study of hundreds of business contract investments over the recent financial crisis. The results indicate that the decisions using limited diversification are more robust in terms of allocation structure and out-of-sample downside risks reduction. Therefore, the partial-diversified optimization models provide alternatives to support a variety of problems involving unknown risks.
5.	Wu, Dexiang, et al. (författare) Optimising data-driven network under limited resource : a partial diversification approach 2019 Ingår i: International Journal of Production Research. - : Informa UK Limited. - 0020-7543 .- 1366-588X. ; 57:21, s. 6875-6892 Tidskriftsartikel (refereegranskat)abstract This paper describes a cardinality constrained network flow structure whose special characteristics are used to analyse different risk aspects under an environment of uncertainty. The network structure developed is a suitable alternative to support financial planning and many other decision-making problems with limited resources. By setting a diversification level, we can manage systematic and non-systematic risks under a stochastic mixed integer linear programming framework. A dual decomposition method, Progressive Hedging (PH), is applied to more efficiently accommodate instances with large numbers of scenarios. We studied the impact of the level of the diversification on transaction costs and considered different factors that influence the performance of the algorithm. In particular, a Lagrangian bound is embedded to enhance the capacity of the method. Numerical results show the effectiveness of the proposed decision support approach.
6.	Chai, Limeng, et al. (författare) Pricing strategy for B&M store in a dual-channel supply chain based on hotelling model 2021 Ingår i: International Journal of Production Research. - : Informa UK Limited. - 0020-7543 .- 1366-588X. ; 59:18, s. 5578-5591 Tidskriftsartikel (refereegranskat)abstract We use hotelling model to analyse store brands as a strategy for B&M (brick-and-mortar) retailers to combat showrooming. We investigate how national-brand product mismatch and store-brand awareness affect supply chain's performance. We reach four major conclusions. First, store-brand strategy may be an effective means for B&M stores to mitigate showrooming. However, it's better to introduce premium store brands. Second, the B&M store's profit grows - and the online store's profit declines - as national-brand product mismatch increases in breadth. When many consumers feel the national-brand product does not match their needs, a product positioning strategy for the store brand can help B&M retailers improve profit margins. Third, as national-brand product mismatch increases in depth, the B&M store's profit rises and online store's profit falls. If national-brand products lack many features that consumers need, a product differentiation strategy can be implemented to use store brands to fill in the gaps left by national brands. Finally, the growth of store-brand awareness will not necessarily benefit the B&M store. The impact of store-brand awareness on the B&M store's profit depends on the hassle cost factort, and a brand promotion strategy will reduce the loss of B&M retailer's profit.
7.	Cheng, Yuxiang, et al. (författare) Financing the newsvendor with preferential credit : bank vs. manufacturer 2021 Ingår i: International Journal of Production Research. - : Informa UK Limited. - 0020-7543 .- 1366-588X. ; 59:14, s. 4228-4247 Tidskriftsartikel (refereegranskat)abstract This paper examines how preferential credit based on retailers’ credit line impacts on capital-constraint retailer’s operational decisions. We consider a condition of loan competition when banks and manufacturers offer preferential credit to capital-constraint retailers in the newsvendor model. Different credit lines and discounted rates of preferential credit mainly involve in retailers’ exogenous collateral and risk preference of banks and manufacturers in our model. We investigate impacts of bank financing, trade credit, and portfolio credit (financing from both bank credit and trade credit with different ratios) on retailer’s inventory decision with different cases that the retailer’s financing amounts exceed credit line or not. We derive the equilibrium wholesale price, expected sale price, and order quantity when retailers face with different conditions of collaterals and institutes’ risk preferences facing with market risk. A debt-financed retailer favours items with trade credit compared to bank financing, especially in conditions when its sourcing demand is great and when it finances from high-risk preference institutes. Retailer prefers to using the loan with high trade credit ratio when he opts portfolio credit conditions.
8.	Dong, Junfeng, et al. (författare) Two-period pricing and quick response with strategic customers 2019 Ingår i: International Journal of Production Economics. - : Elsevier BV. - 0925-5273 .- 1873-7579. ; 215, s. 165-173 Tidskriftsartikel (refereegranskat)abstract This research examines the impact of the strategic customer behavior in two-period pricing and the inventory decisions in a quick response system. A model with a differentiated value period of product is developed when customers are strategic and heterogeneous. Interestingly, the unique equilibrium is proven to exist if and only if the degree of customer strategic behavior is sufficiently high. Otherwise, the dynamic pricing strategy in one selling season is not a suitable choice for a firm. Moreover, the impact of strategic consumers on pricing and inventory strategies is investigated in the case where the clientele's taste for product value follows a uniform distribution. Surprisingly, contrary to previous studies, we found that strategic consumers may yield more revenues in specific scenarios. An extended analysis on Beta distribution is also presented, showing that there is greater chance to obtain the highest profit in the supply chain when all customers are strategic and if more people prefer low-value products.
9.	Hnaien, Faicel, et al. (författare) Single-period inventory model for one-level assembly system with stochastic lead times and demand 2016 Ingår i: International Journal of Production Research. - : Informa UK Limited. - 0020-7543 .- 1366-588X. ; 54:1, s. 186-203 Tidskriftsartikel (refereegranskat)abstract Replenishment planning of an assembly system with one type of finished product assembled from diverse external suppliers to satisfy finished product demand. It is supposed that the component lead times and finished product demand are random discrete variables. The assembly company must determine what are the best quantities of components and when is the right time to order. The objective is to minimise the total cost which is composed of holding component costs, tardiness penalties, lost sales and surplus item costs for finished products. A single-period analytical model is proposed. Several properties of the objective function are proven. They are used to develop a Branch and Bound algorithm. Numerical tests for the algorithm are presented. Five heuristics based on Newsvendor model for lead time and demand are proposed and compared with the Branch and Bound algorithm. These tests show that the suggested Branch and Bound algorithm can solve large size problems within a short time. The proposed heuristics but one are not competitive with the Branch and Bound algorithm. The truncated version of Branch and Bound gives better results. The model suggested is better adapted to actual contract assembler environments, more realistic and can better approximate real-life industrial situations. The proposed exact algorithm provides optimal solutions for all discrete distributions of probabilities of lead times and demand. A new general approach to design such discrete optimisation algorithms is presented.
10.	Kasimu, Aihaiti, et al. (författare) System Dynamic-Based Oil Weathering Processes : Simulation and Analysis 2020 Ingår i: IEEE Systems Journal. - 1932-8184 .- 1937-9234. ; 14:1, s. 1375-1383 Tidskriftsartikel (refereegranskat)abstract In recent years, many oil spill weathering process models have been developed to predict the trajectory and fate of oil at sea. As a part of oil spill damage assessment model, a precise prediction of physical fate and chemical properties of spilled oil on the sea surface is a key factor to assess environmental damages and take response actions. A system dynamic (SD) model is applied to predict the physical fate and properties of spilled oil in this paper, since oil weathering processes affect each other after spillage. The major oil weathering processes, spreading, evaporation, dispersion, emulsification, dissolution, biodegradation, and oil properties, dynamic viscosity, dynamic density, and oil-water interfacial tension, are included in the SD model and simulated later. The main purpose of this paper is to provide a new way to predict oil weathering processes and oil mass balance using the SD model.
11.	Liang, Liang, et al. (författare) A Decision Support Approach to Liquidate a Distressed Debt Network 2020 Ingår i: IEEE Transactions on Systems, Man & Cybernetics. Systems. - 2168-2216 .- 2168-2232. ; 50:4, s. 1242-1251 Tidskriftsartikel (refereegranskat)abstract This paper investigates the debt clearing problem in a debt network with complicated debt relations among various debtors. Each pair of debt relations is modeled with both forward debt chain and backward debt chain to simplify the whole debt network with a developed algorithm. A debt clearing strategy is derived and its benefits and managerial implications are shown in risk management. This paper further demonstrates the validation of the approach for sovereign debt analysis and risk analytics using real debt data from ten developed countries.
12.	Pan, Yuchen, et al. (författare) An online-to-offline service recommendation method based on two-layer knowledge networks 2023 Ingår i: Information Sciences. - 0020-0255 .- 1872-6291. ; 648 Tidskriftsartikel (refereegranskat)abstract This paper introduces a novel method aimed at enhancing onlinetooffline (O2O) services recommendations by utilizing twolayer knowledge networks. The primary objective of this method is to assist consumers in efficiently navigating the myriad of options available when choosing O2O services. Using co-occurrence relationships, we construct a two-layer knowledge network system, comprising a service knowledge network based on service usage information as the first layer and a consumer knowledge network, built on co-used behaviors as the second layer. The former is established upon service use data, while the latter is founded on co-used behaviors among consumers. The features and information of these two knowledge networks can complement each other to produce precise and effective recommendations. Empirical findings gained from our experiments demonstrate that: (1) the proposed recommendation method outperforms widely-used and state-of-the-art recommendation methods; (2) both the service knowledge network and consumer knowledge network play an equally significant role in O2O service recommendations; (3) the location of O2O services is an essential factor in consumers' choices for services. Notably, this research also identifies the optimal parameter settings for the proposed recommendation method.
13.	Ren, Rui, et al. (författare) Forecasting Stock Market Movement Direction Using Sentiment Analysis and Support Vector Machine 2019 Ingår i: IEEE Systems Journal. - 1932-8184 .- 1937-9234. ; 13:1, s. 760-770 Tidskriftsartikel (refereegranskat)abstract Investor sentiment plays an important role on the stock market. User-generated textual content on the Internet provides a precious source to reflect investor psychology and predicts stock prices as a complement to stock market data. This paper integrates sentiment analysis into a machine learning method based on support vector machine. Furthermore, we take the day-of-week effect into consideration and construct more reliable and realistic sentiment indexes. Empirical results illustrate that the accuracy of forecasting the movement direction of the SSE 50 Index can be as high as 89.93% with a rise of 18.6% after introducing sentiment variables. And, meanwhile, our model helps investors make wiser decisions. These findings also imply that sentiment probably contains precious information about the asset fundamental values and can be regarded as one of the leading indicators of the stock market.
14.	Shah, Akber Aman, et al. (författare) Do Commercial Banks Benefited From the Belt and Road Initiative? A Three-Stage DEA-Tobit-NN Analysis 2019 Ingår i: IEEE Access. - 2169-3536. ; 7, s. 37936-37949 Tidskriftsartikel (refereegranskat)abstract The data envelopment analysis (DEA) treats decision-making units (DMUs) as black boxes: there is an unknown internal structure and transformation mechanism of input to output. Two-stage models have been proposed to resolve this problem by considering the internal structure of DMUs. However, each DMU has a different structure, and in two-stage models, the poor estimation of sub-models causes conflicts in the intermediate layer. Therefore, it is necessary to use additional tools to extract insight into opportunities to enhance the performance of DMUs. This paper presents a three-stage model employing DEA to evaluate efficiency, a Tobit regression model to identify the determinants, and a neural network (NN) to improve those determinants. Improvement in the determinants of a DMU enhances its efficiency. The developed model is applied to the empirical dataset of commercial banks from the countries that have joined the belt and road initiative (BRI), grouping them based on their economist intelligence unit (EIU) rating. The results provide valuable information on the efficiency enhancement process for banks to benefit from the BRI.
15.	Tang, Zijie, et al. (författare) Option contracts for online celebrities as retailers in supply chains 2020 Ingår i: International Journal of Production Research. - : Informa UK Limited. - 0020-7543 .- 1366-588X. ; 58:14, s. 4215-4232 Tidskriftsartikel (refereegranskat)abstract The online celebrity economy, also called the internet celebrity economy, is growing rapidly in China. Celebrity retailers are usually demand sensitive and capital constrained. The capital constraints along with information asymmetry often render supply chains inefficient when manufacturers are producing at non-optimal levels. Few studies have shed light on the online celebrity supply chain, especially with respect to options. In this study, we examine how option contracts can coordinate supply chains. We find that a capital-constrained retailer can achieve more profitable orders when given an option. The manufacturer - without the full information of market demand - also benefits from offering an option to the retailer. Our numerical case shows that the options contract generates different payoffs depending on the capital of the retailer.
16.	Tao, Liangyan, et al. (författare) Optimal due date quoting for a risk-averse decision-maker under CVaR 2018 Ingår i: International Journal of Production Research. - : Informa UK Limited. - 0020-7543 .- 1366-588X. ; 56:5, s. 1934-1959 Tidskriftsartikel (refereegranskat)abstract This study investigates a due date quoting problem for a project with stochastic duration, taking the decision-maker's risk attitude into consideration. The project profit is defined as the difference between the price and the cost that is comprised of production cost and earliness-tardiness penalties. In this situation, the due date determination has to be modelled as a stochastic optimisation due to stochastic duration. Conditional value at risk is thus employed as a performance measure to describe the decision-maker's risk attitude. In fixed price contract, when the unit production cost is not smaller than the unit penalty on earliness, the optimal due date increases with the increase of the degree of a decision-maker's risk aversion, the unit penalty on delay, and the decrease of the unit penalty on earliness. Besides, when the price is proportional to the due date and the slope is no bigger than the unit penalty on tardiness, the optimal due date is smaller than the result in fixed price. This is because high price for a short due date encourages a decision-maker to quote a small due date. Further, we compare the optimal due date in different parameter setting where the penalty coefficient of earliness is negative or zero, which means there is reward or no penalty on earliness, respectively. Finally, a case study is conducted to validate the effectiveness and efficiency of the proposed model.
17.	Wu, Desheng Dash, et al. (författare) A System Dynamics Modelling of Contagion Effects in Accounts Risk Management 2014 Ingår i: Systems research and behavioral science. - : Wiley. - 1092-7026 .- 1099-1743. ; 31:4, s. 502-511 Tidskriftsartikel (refereegranskat)abstract Financial contagion has been with us as long as there has been an economy. The system of collective human behavior usually creates stable markets, but occasionally, this collective behavior results in various bubbles. Financial contagion specifically deals with the domino effect of one banking institution failing, which, as a result of interrelationships with other banks, leads to further failures. The year 1929 was a very bad year, but 2008 had its moments as well. These financial contagions result in undermining confidence in similar institutions. Our research question is to examine whether the role of accounts receivable payments is affected by social interaction of those holding loans from a lending institution. System dynamics modelling is used to demonstrate the impact of word-of-mouth social contacts on accounts receivable, and the ensuing increase in financial risk.
18.	Wu, Desheng Dash, et al. (författare) Green supply chain management under capital constraint 2019 Ingår i: International Journal of Production Economics. - : Elsevier BV. - 0925-5273 .- 1873-7579. ; 215, s. 3-10 Tidskriftsartikel (refereegranskat)abstract To determine how carbon emissions reduction affects supply chain operations and financing decisions, this paper examines a green supply chain, which consists of one manufacturer (playing the leading role) and one capital-constrained retailer; in this supply chain, bank financing and trade credit financing are viable. This research explores the retailer's optimal order quantity, the manufacturer's optimal wholesale price, the optimal level of carbon emissions (for both bank financing and trade credit financing), and the design of the contract to coordinate the supply chain. We find that the supply chain achieves a win-win outcome in terms of production quantity and emissions reduction when the manufacturer invests in emissions reduction. In addition, we find that a supply chain with a contract outperforms a non-contract supply chain in production quantity and emissions reduction. Furthermore, the effect is more remarkable when trade credit financing is viable.
19.	Wu, Desheng Dash (författare) Selling to the Socially Interactive Consumer : Order More or Less? 2015 Ingår i: ieee transactions on systems man cybernetics systems. - 2168-2216. ; 45:3, s. 399-410 Tidskriftsartikel (refereegranskat)abstract This paper studies the newsvendor problem in the presence of consumer behavior, specifically, social interaction. We show that deterministic consumer valuation on products derived from social interaction can be an advantage for firms. This paper examines the implications of random consumer product valuation and a lower threshold number of subscribers to the proposed deal. Several implications have been yielded.
20.	Wu, Desheng Dash, et al. (författare) Simulation Decision System on the Preparation of Emergency Resources Using System Dynamics 2015 Ingår i: Systems research and behavioral science. - : Wiley. - 1092-7026 .- 1099-1743. ; 32:6, s. 603-615 Tidskriftsartikel (refereegranskat)abstract This paper establishes a simulation decision system for both emergency resource preparation and emergency resource replenishment. The decision system uses both system dynamics and goal programming. A system dynamics model is then developed and validated with real case data as simulation decision support to emergency resource replenishment. An optimization simulation using the data from the emergency resource preparation process in the Ya'an earthquake in China is reported.
21.	Zhang, Baofeng, et al. (författare) Optimal Option Ordering and Pricing Decisions With Capital Constraint and Default Risk 2017 Ingår i: IEEE Systems Journal. - 1932-8184 .- 1937-9234. ; 11:3, s. 1537-1547 Tidskriftsartikel (refereegranskat)abstract This paper examines a single-period supply chain system consisting of a manufacturer selling an option contract to a capital-constrained retailer who faces stochastic demand. Option contract can transfer partial risk from the retailer to the manufacturer. This paper extends the existing literature of game-theoretic and credit financing models by explicitly incorporating retailer's default risk into the pure option ordering and pricing decision problems. Stackelberg equilibriums under different scenarios, i.e., capital sufficient, capital constraint without credit, bank credit (BC), and trade credit (TC), are derived. The analytic model demonstrates that, under TC, the retailer can behave with and without bankruptcy risk, which depends on the retailer's initial capital. Both the mathematical model and computational experiments reveal that the decisions and profits under BC are independent of retailer's default risk, whereas default risk has a significant impact on the decisions and profits under TC. It shows that TC contract can partially coordinate the supply chain.

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