http://repub.eur.nl/res/col/445/ List of Publications en http://repub.eur.nl/static-eur/img/logo.png http://repub.eur.nl http://repub.eur.nl/res/pub/39181/ 2013-03-11T00:00:00Z Dual scaling is a multivariate exploratory method equivalent to correspondence analysis when analysing contingency tables. However, for the analysis of rating data different proposals appear in the dual scaling and correspondence analysis literature. It is shown here that a peculiarity of the dual scaling method can be exploited to detect differences in response styles. Response styles occur when respondents use rating scales differently for reasons not related to the questions, often biasing results. A spline-based constrained version of dual scaling is devised which can detect the presence of four prominent types of response styles, and is extended to allow for multiple response styles. An alternating nonnegative least squares algorithm is devised for estimating the parameters. The new method is appraised both by simulation studies and an empirical application. Schoonees, P.C. Velden, M. van de Groenen, P.J.F. http://repub.eur.nl/res/pub/38623/ 2013-02-04T00:00:00Z Cap and trade regulations along with an increasing consumer and company demand for green products and services constitute two major drivers for motivating corporations to adopt green practices. However, the adoption of such practices usually increases their operational costs. Therefore, the trade-off between “green” and cost-optimal policies is a common challenge for most organizations, at least in developed countries. The purpose of this paper is to assess alternative logistic network design options (applicable in most supply chains) taking into account both their cost and CO2 emissions performance. The applicability of the proposed methodology is illustrated through the design of a major white good retailer’s logistics network in the region of Greece. The results indicate that a company optimizes its cost performance by serving all its retail stores directly by truck through one central distribution center. On the other hand, a CO2 emissions optimal performance includes additional distribution centers and the employment of rail instead of truck transportation. Moreover, longer review periods, despite the higher holding and backorder costs, result in lower transportation costs and CO2 emissions. Mallidis, I. Dekker, R. Vlachos, D. http://repub.eur.nl/res/pub/38650/ 2012-12-31T00:00:00Z This paper estimates the probability of virtual crossmatch failure in kidney exchange matching. In particu-lar, the probability of a positive crossmatch after a negative virtual crossmatch is related to the recipient’s PRA level. Using Dutch kidney exchange data, we find significant evidence that this probability increases non-linearly with PRA level. We estimate a probit model that describes this relationship. Glorie, K.M. http://repub.eur.nl/res/pub/38649/ 2012-12-17T00:00:00Z Kidney exchange is an increasing modality for transplanting end stage renal disease patients with an incompatible living donor. Typically, the aim is to find an allocation of donors to patients that is optimal with respect to multiple hierarchical criteria. This paper presents an iterative branch-and-price algorithm for clearing such multi-criteria kidney exchanges with large patient-donor pools. Using a polynomial pricing procedure, the algorithm accomodates not only for cycles of incompatible pairs but also for long chains initiated by unspecified donors. Such chains are increasingly common and important in clinical practice, but, as we show, cannot be efficiently dealt with using existing depth-first pricing procedures. Our algorithm also supports individual rationality constraints required for multi-center coordination. Using Dutch kidney exchange data, we show the effect of long term multi-criteria optimization with our algorithm. Glorie, K.M. Wagelmans, A.P.M. Klundert, J.J. van de http://repub.eur.nl/res/pub/38651/ 2012-12-01T00:00:00Z This paper studies participation of unspecified donors in kidney exchange through simultaneous domino paired donation (DPD) and non-simultaneous extended altruistic donor (NEAD) chains. It extends existing research by investigating the termination of chains, the possibility of transplantation across the blood type barrier, and the impact of incentives in multi-center exchanges. Furthermore, it looks into the effect of various configuration parameters such as the time interval between exchanges. Our analysis is based on a simulation study that uses data of all 438 patient-donor pairs and 109 unspecified donors who were screened at Dutch transplant centers between 2003 and 2011. Because multi-center coordination may raise incentive issues, special attention is paid to individually rational implementation. We find that chains are best terminated when no further segment is part of an optimal exchange within 3 months. Transplantation across the blood type barrier allows for longer continuation of chains, more transplants and more equity among patient groups. NEAD chains perform slightly better than DPD chains, provided that the renege rate is sufficiently low. Additional substantial gains are due to national individually rational coordination. Particularly highly sensitized and blood type O patients benefit. Appropriate timing of ex-changes can further improve these results. Glorie, K.M. Klerk, M. de Klundert, J.J. van de Zuidema, W.C. Claas, F.H.J. Weimar, W. http://repub.eur.nl/res/pub/37238/ 2012-09-13T00:00:00Z Recent dynamics in iron ore markets are driven by rapid changes in economic activities that affect commodity markets, trade flows, and shipping activities. Time series models for the relation between these variables in Southeast Asia and the Australasian region are supplemented with models for safety and pollution risk. Steel production in China, Japan, and South Korea is related to iron ore exports and vessel activity in Australia, with an estimated time lag of about two months. The Purchasing Manager Index, which is popular among traders as indicator of economic activity, is found to have predictive power both for steel production and for iron ore exports. The growth in economic activity and vessel movements is associated with significantly higher risks for ship accidents and pollution. Heij, C. Knapp, S. http://repub.eur.nl/res/pub/37239/ 2012-09-11T00:00:00Z The question of delay management is whether trains should wait for delayed feeder trains or should depart on time. Solutions to this problem strongly depend on the available capacity of the railway infrastructure. While the limited capacity of the tracks has been considered in delay management models, the limited capacity of the stations has been neglected so far. In this paper, we develop a model for the delay management problem that includes the stations’ capacities. This model allows to reschedule the platform assignment dynamically. Furthermore, we propose an iterative algorithm in which we first solve the delay management model with a fixed platform assignment and then improve this platform assignment in each step. We show that the latter problem can be solved in polynomial time by presenting a totally unimodular IP formulation. Finally, we present an extension of the model that balances the delay of the passengers on the one hand and the number of changes in the platform assignment on the other. All models are evaluated on real-world instances from Netherlands Railways. Dollevoet, T.A.B. Huisman, D. Schobel, A. Schmidt, M. http://repub.eur.nl/res/pub/37193/ 2012-09-07T00:00:00Z The Orienteering Problem (OP) is a generalization of the well-known traveling salesman problem and has many interesting applications in logistics, tourism and defense. To reflect real-life situations, we focus on an uncertain variant of the OP. Two main approaches that deal with optimization under uncertainty are stochastic programming and robust optimization. We will explore the potentialities and bottlenecks of these two approaches applied to the uncertain OP. We will compare the known robust approach for the uncertain OP (the robust orienteering problem) to the new stochastic programming counterpart (the two-stage orienteering problem). The application of both approaches will be explored in terms of their suitability in practice. Evers, L. Glorie, K.M. Ster, S. van der Barros, A.I. Monsuur, H. http://repub.eur.nl/res/pub/32416/ 2012-05-23T00:00:00Z Delay management determines which connections should be maintained in case of a delayed feeder train. Recent delay management models incorporate the limited capacity of the railway infrastructure. These models introduce headway constraints to make sure that safety regulations are satisfied. Unfortunately, these headway constraints cannot capture the full details of the railway infrastructure, especially within the stations. We therefore propose an iterative optimization approach that iteratively solves a macroscopic delay management model on the one hand, and a microscopic train scheduling model on the other hand. The macroscopic model determines which connections to maintain and proposes a disposition timetable. This disposition timetable is then validated microscopically for a bottleneck station of the network, proposing a feasible schedule of railway operations. This schedule reduces delay propagation and thereby minimizes passenger delays. We evaluate our iterative optimization framework using real-world instances around Utrecht in the Netherlands. Dollevoet, T.A.B. Corman, F. Huisman, D. http://repub.eur.nl/res/pub/32409/ 2012-05-11T00:00:00Z Express service providers manage shipments from senders to receivers under strict service level agreements. Such shipments are usually not sufficient to justify a single transportation, so it is preferred to maximize consolidation of these shipments to reduce cost. The consolidation is organized via depots and hubs: depots are local sorting centers that take care of the collection and delivery of the parcels at the customers, and hubs are used to consolidate the transportation between the depots. A single transportation between two locations, carried out by a certain vehicle at a specific time, is defined as a movement. In this paper, we address the problem of scheduling all movements in an express network at minimum cost. Our approach allows to impose restrictions on the number of arriving/departing movements at the hubs so that sufficient handling capacity is ensured. As the movement scheduling problem is complex, it is divided into two parts: one part concerns the movements between depots and hubs; the other part considers the movements between the hubs. We use a column generation approach and a local search algorithm to solve these two subproblems, respectively. Computational experiments show that by using this approach the total transportation costs are decreased. Louwerse, I. Mijnarends, J. Meuffels, I. Huisman, D. Fleuren, H.A. http://repub.eur.nl/res/pub/32399/ 2012-05-09T00:00:00Z Having sufficient inventories in the piece-picking area of a warehouse is an essential condition for warehouse operations. This requires a timely replenishment of the products from a reserve area in case they could run out of stock. In this paper we develop analytical models to arrive at priority rules for these replenishments in case replenishments and order picking are done simultaneously because of time pressure. This problem was observed in a warehouse of a large cosmetics firm. The priority rules are compared by means of simulation and regression. Finally we present the results of applying one of these rules in practice. Vries, H. de Carrasco-Gallego, R. Farenhorst-Yuan, T. Dekker, R. http://repub.eur.nl/res/pub/32410/ 2012-05-01T00:00:00Z Franses, Ph.H.B.F. Legerstee, R. http://repub.eur.nl/res/pub/32528/ 2012-05-01T00:00:00Z This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the FIGARCH model of Baillie et al. (1996), FIEGARCH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of Ding et al. (1993). The estimated d parameters, indicating long-term dependence, suggest that fractional integration is found in most of agricultural commodity futures returns series. In addition, the FIGARCH (1,d,1) and FIEGARCH(1,d,1) models are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts. Chang, C.L. McAleer, M.J. Tansuchat, R. http://repub.eur.nl/res/pub/32529/ 2012-05-01T00:00:00Z As the preponderance of journal rankings becomes increasingly more frequent and prominent in academic decision making, such rankings in broad discipline categories is taking on an increasingly important role. The paper focuses on the robustness of rankings of academic journal quality and research impact using on the widely-used Thomson Reuters ISI Web of Science citations database (ISI) for the Statistics & Probability category. The paper analyses 110 ISI international journals in Statistics & Probability using quantifiable Research Assessment Measures (RAMs), and highlights the similarities and differences in various RAMs, which are based on alternative transformations of citations and influence. Alternative RAMs may be calculated annually or updated daily to determine When, Where and How (frequently) published papers are cited (see Chang et al. (2011a, b, c), Chang et al. (2012)). The RAMs are grouped in four distinct classes that include impact factor, mean citations and non-citations, journal policy, number of high quality papers, and journal influence and article influence. These classes include the most widely used RAMs, namely the classic 2-year impact factor including journal self citations (2YIF), 2-year impact factor excluding journal self citations (2YIF*), 5-year impact factor including journal self citations (5YIF), Eigenfactor (or Journal Influence), Article Influence, h-index, PI-BETA (Papers Ignored - By Even The Authors), 5YD2 (= 5YIF/2YIF) as a measure of citations longevity, and Escalating Self Citations (ESC) as a measure of increasing journal self citations. The paper highlights robust rankings based on the harmonic mean of the ranks of RAMs across the 4 classes. It is shown that focusing solely on the 2-year impact factor (2YIF) of a journal, which partly answers the question as to When published papers are cited, to the exclusion of other informative RAMs, which answer Where and How (frequently) published papers are cited, can lead to a distorted evaluation of journal quality, impact and influence relative to the more robust harmonic mean of the ranks. Chang, C.L. McAleer, M.J. http://repub.eur.nl/res/pub/32175/ 2012-04-01T00:00:00Z In many distribution networks, it is vital that time windows in which deliveries are made are assigned to customers for the long term. However, at the moment of assigning time windows demand is not known. In this paper we introduce the time window assignment vehicle routing problem, the TWAVRP. In this problem time windows have to be assigned before demand is known. Next the realization of demand is revealed and an optimal vehicle routing schedule has to be made that satisfies the time window constraints. We assume that different scenarios of demand realizations are known, as well as their probability distribution. The TWAVRP is the problem of assigning time windows such that the expected traveling costs are minimized. We propose a formulation of the TWAVRP and develop two variants of a column generation algorithm to solve the LP relaxation of this formulation. Numerical experiments show that these algorithms provide us with very tight LP-bounds to instances of moderate size in reasonable computation time. We incorporate the column generation algorithm in a branch and price algorithm and find optimal integer solutions to small instances of the TWAVRP. In our numerical experiments, the branch and price algorithm typically finds the optimal solution very early in the branching procedure and spends most time on proving optimality. Spliet, R. Gabor, A.F. http://repub.eur.nl/res/pub/32526/ 2012-04-01T00:00:00Z During the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. We provide an empirical comparison of alternative MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC), CCC, OGARCH Exponentially Weighted Moving Average, and covariance shrinking, using historical data for 89 US equities. We contribute to the literature in several directions. First, we consider a wide range of models, including the recent cDCC and covariance shrinking models. Second, we use a range of tests and approaches for direct and indirect model comparison, including the Model Confidence Set. Third, we examine how the robust model rankings are influenced by the cross-sectional dimension of the problem. Caporin, M. McAleer, M.J. http://repub.eur.nl/res/pub/32527/ 2012-04-01T00:00:00Z Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial derivatives. The purpose of this special issue on “Risk Management and Financial Derivatives” is to highlight some areas in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of risk management, with an emphasis on financial derivatives, specifically conditional correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence from S&P100 index and equity options, the performance of commodity trading advisors: a mean-variance-ratio test approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and simulating Weibull models of risk or price durations: an application to ACD models, valuation of double trigger catastrophe options with counterparty risk, day of the week effect on the VIX - a parsimonious representation, equity and CDS sector indices: dynamic models and risk hedging, the probability of default in collateralized credit operations, risk premia in multi-national enterprises, solving replication problems in a complete market by orthogonal series expansion, downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks, and implied Sharpe ratios of portfolios with options: application to Nikkei futures and listed options. Hammoudeh, S.M. McAleer, M.J. http://repub.eur.nl/res/pub/31985/ 2012-03-01T00:00:00Z Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with milder restrictions, whose purpose was to combine the need for interpretability and efficiency faced by model users with the computational problems that may emerge when the number of assets is quite large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic volatility models. The empirical analysis on stock returns on US market shows that 1% and 5 % Value-at-Risk thresholds based on one-step-ahead forecasts of covariances by the new specification are satisfactory for the period includes the global financial crisis. Asai, M. Caporin, M. McAleer, M.J. http://repub.eur.nl/res/pub/32132/ 2012-03-01T00:00:00Z In a decentralized two-stage supply chain where a supplier serves a retailer who, in turn, serves end customers, operations decisions based on local incentives often lead to suboptimal system performance. Operating decisions based on local incentives may in such cases lead to a degree of system disorder or anarchy, wherein one party's decisions put the other party and/or the system at a disadvantage. While models and mechanisms for such problem classes have been considered in the literature, little work to date has considered such problems under nonstationary demands and fixed replenishment order costs. This paper models such two-stage problems as a class of Stackelberg games where the supplier announces a set of time-phased ordering costs to the retailer over a discrete time horizon of finite length, and the retailer then creates an order plan, which then serves as the supplier's demand. We provide metrics for characterizing the degree of efficiency (and anarchy) associated with a solution, and provide a set of easily understood and implemented mechanisms that can increase this efficiency and reduce the negative impacts of anarchic decisions. Romeijn, H.E. Heuvel, W.J. van den Geunes, J. http://repub.eur.nl/res/pub/32133/ 2012-03-01T00:00:00Z In a recent paper, Liu (2008) considers the lot-sizing problem with lower and upper bounds on the inventory levels. He proposes an O(n^2) algorithm for the general problem, and an O(n) algorithm for the special case with non-speculative motives. We show that neither of the algorithms provides an optimal solution in general. Furthermore, we propose a fix for the former algorithm that maintains the O(n^2) complexity. Onal, M. Heuvel, W.J. van den Liu, T.