Dmytro Matsypura

Supply chain networks with corporate social responsibility through integrated environmental decision-making

In this paper we develop a framework for the modeling and analysis of supply chain networks with corporate social responsibility through integrated environmental decision-making. We consider the multicriteria decision-making behaviour of the various decision-makers (manufacturers, retailers, and consumers), which includes the maximization of net returns, the minimization of emissions (waste), and the minimization of risk. Increasing levels of social responsibility activities between decision-makers are assumed to reduce transaction costs, waste, as well as risk. We derive the optimality conditions, define the equilibrium state for the supply chain network, and derive the equivalent finite-dimensional variational inequality, the solution of which yields the equilibrium product flows transacted between the tiers of the supply chain network as well as the nodal prices. We then utilize the variational inequality formulation to provide qualitative properties of the equilibrium flow and price patterns and to pr...

A cross‐cultural perspective of self‐leadership

Purpose – Seeks to understand how differences in national cultures impact on the understanding and meaning of the concept of self‐leadership and its application.Design/methodology/approach – First, research at the intersection of culture and leadership and Hofstedes culture framework are reviewed. Then the main components of self‐leadership theory are introduced, and how Hofstedes framework can be used to re‐analyze them given differences across cultures is discussed.Findings – While self‐leadership remains, in general, a valid concept, its understanding and application is likely to differ across cultures. Specifically, high power distance raises the importance of the symbolic value of tasks and correspondent covert processes of self‐leadership, high uncertainty avoidance makes more explicit the importance of non‐rational and intuition‐based thought processes, collectivism shows the relevance of social relations, femininity reiterates the importance of social relations and non‐rational processes, and lo...

Dynamics of global supply chain supernetworks

In this paper, we develop a framework for the modelling, analysis, and computation of solutions to global supply chains. We consider three tiers of decision-makers: manufacturers, who may be located in the same or in different countries; intermediaries, in the form of retailers, who may be either physical or virtual, as in the case of electronic commerce; and consumers at the demand markets who may purchase the product in different currencies in the countries. We model the behavior of the decision-makers, derive the equilibrium conditions, and establish the variational inequality formulation. We then utilize the variational inequality formulation to obtain qualitative properties of the equilibrium product shipment and price pattern. In addition, we propose a dynamic adjustment process for the continuous time adjustment of the product flows and prices and formulate it as a projected dynamical system whose set of solutions coincides with the set of solutions to the variational inequality problem. A discrete-time algorithm is then applied to several numerical supply chain examples. This research extends the recent results surrounding the modelling of supply chains in a network equilibrium setting to the global arena.

A Supply Chain Network Perspective for Electric Power Generation, Supply, Transmission, and Consumption

A supply chain network perspective for electric power production, supply, transmission, and consumption is developed. The model is sufficiently general to handle the behavior of the various decision-makers, who operate in a decentralized manner and include power generators, power suppliers, the transmitters, as well as the consumers associated with the demand markets. The optimality conditions are derived, along with the equilibrium state for the electric power supply chain network. The finite-dimensional variational inequality formulation of the equilibrium state is derived, whose solution yields the equilibrium electric power flows transacted between the tiers of the supply chain network as well as the nodal prices. The variational inequality formulation is utilized to provide qualitative properties of the equilibrium electric power flow and price patterns and to propose a computational scheme. The algorithm is then applied to compute the solutions to several numerical examples

Incremental network design with maximum flows

We study an incremental network design problem, where in each time period of the planning horizon an arc can be added to the network and a maximum flow problem is solved, and where the objective is to maximize the cumulative flow over the entire planning horizon. After presenting two mixed integer programming (MIP) formulations for this NP-complete problem, we describe several heuristics and prove performance bounds for some special cases. In a series of computational experiments, we compare the performance of the MIP formulations as well as the heuristics.

Strategy vs risk in margining portfolios of options

The strategy-based approach to portfolio margining has been used for margining customer accounts for more than four decades. The risk-based approach was proposed in the mid eighties for margining some inventory accounts of brokers but permitted for margining customer accounts only in 2005. This paper presents a computational experiment with the strategy-based approach and the risk-based approach with the purpose of clarifying which one yields lower margin requirements under different scenarios. There exists a widespread opinion, cf. (Reuters 2007; Longo 2007; Smith 2008), that the risk-based approach is always a winner in this competition, and therefore the strategy-based approach must be disqualified as outdated. However, the results of our experiment with portfolios of stock options show that, in many practical situations, the strategy-based approach yields substantially lower margin requirements in comparison with the risk-based approach.

Integer programs for margining option portfolios by option spreads with more than four legs

Margining is a crucial brokerage operation. In application to option portfolios it becomes exceptionally challenging because margin offsets with options require solving a highly intractable integer program. All these offsets are based on option spreads with a maximum of four legs. Although option spreads with more than four legs can be traced in regulatory literature of 2003, they have not yet been studied and used. Their usage in margin calculations would substantially increase the size of the program and therefore make it practically unsolvable. On the other hand, option spreads with more than four legs would allow the brokers to substantially increase the accuracy of margin calculations for option portfolios. In this paper we develop a theoretical framework for option spreads with any number of legs. We show that these spreads can be naturally described by homomorphisms of free abelian groups associated with option portfolios and option spreads with up to four legs. Using this observation we propose alternative integer programs that use option spreads with any number of legs and whose size does not depend on the number of legs. These programs can be solved in reasonable time and substantially increase the accuracy of margin calculations for option portfolios.

Margining option portfolios by network flows

As shown in [23], the problem of margining option portfolios where option spreads with two legs are used for offsetting can be solved in polynomial time by network flow algorithms. However, spreads with only two legs do not provide sufficient accuracy in measuring risk. Therefore, margining practice also uses spreads with three and four legs. A polynomial-time solution to the extension of the problem where option spreads with three and four legs are also used for offsetting is not known. We propose a heuristic network-flow algorithm for this extension and present a computational study that demonstrates high efficiency of the proposed algorithm in margining practice.

Operations Research Techniques in Wildfire Fuel Management

Wildfires are a naturally occurring phenomenon in many places of the world. While they perform a number of important ecological functions, the proximity of human activities to forest landscapes requires a measure of control/preparedness to address safety concerns and mitigate damage. An important technique utilized by forest managers is that of wildfire fuel management, in which a portion of the available combustible material in the forest is disposed of through a variety of fuel treatment activities. A number of operations research approaches have been applied to locate and schedule these fuel treatment activities, and herein we review and discuss the various models and approaches in the literature.

Margin Debt and Portfolio Margin Requirements

This paper investigates the effects of a change in the margin rules of the U.S. stock market. These rules determine how much investors can borrow to leverage their investments. Since the 1929 stock market crash, margin loans have been tightly regulated by the Securities and Exchange Act Regulation T. Between 2005 and 2008, the Securities and Exchange Commission modified these margin rules because they were perceived as not adequately reflecting investment risk. The amended rules have made it more attractive for investors to borrow by opening new margin accounts and diversifying their investment positions. This paper tests the hypothesis that the change in the margin rules has increased margin debt across the U.S. stock market. It provides statistical evidence that this structural change can be dated to the amendments in the rules. Since the 2008 financial crisis, margin debt has increased rapidly, reaching previously unseen levels. This worrying trend has been intensified by record low interest rates and rising stock values. These facts present new incentives for reassessing the efficacy of margin rules and margin requirements.