Croatian Operational Research Review

Stock assessment using Cumulative Prospect Theory in DEA cross-efficiency model: a case study of the Indian stock market

2023-11-23T09:25:18+01:00

Market volatility is becoming increasingly common as numerous factors are implemented in the financial system. As a result, portfolio managers and individual investors require reliable methods to assess stock performance. This study examines stock assessments using cross-efficiency evaluations in cases where negative data is present. An alternative approach to achieve this goal is to use an RDM DDF-based cross-efficiency model which oversees the negative data. We expand the RDM-based cross-efficiency analysis, which uses row and column average values to select portfolios and identify different groups for stock management. To explore the psychological factors that influence the choices made by stock market investors, we incorporate the cumulative prospect theory value for each stock as an output and the variance as an input to evaluate the overall efficiency of the assets. For the empirical analysis, our study focuses on a sample of 30 stocks listed on the Nifty-50 on India's National Stock Exchange. The results of our empirical study verify that the proposed method can serve as an effective tool for stock selection. This demonstrates how the chosen portfolio gives companies a more diversified and well-balanced approach for selecting stocks, thus improving logical decision-making.

Analyzing correlations between approaches to analyzing decision-making styles

2024-02-28T14:53:24+01:00

Descriptive decision-making theories center on the analysis of individuals' decision-making styles (DMSs). Different approaches have been used to study DMSs, but this study focuses on two approaches: those of (1) Scott & Bruce and (2) Rowe. Scott & Bruce categorizes DMSs into rational, intuitive, dependent, avoidant, and spontaneous, whereas Rowe delineates them into analytical, behavioral, conceptual, and directive. Previous studies have independently used these approaches to identify dominant DMSs or to establish correlations between DMSs and various personal characteristics. In this study, both DMS approaches were concurrently used to examine their correlations. The sample comprised 263 students, and correlation analyses were conducted on the entire dataset and its subsets while considering different characteristics (i.e. students' gender and study program, and the data collection timeframe). Multivariate correlation, along with descriptive statistics, was employed to investigate the correlation between the two approaches. The analysis revealed a positive correlation between the behavioral and dependent styles and a negative correlation between the avoidant and analytical styles. Additionally, the examination of the dominant and submissive styles indicated a significant connection between the analytical and rational DMSs. Overall, the two approaches exhibited weak connectivity. For a more comprehensive understanding of decision-makers' behavior and enhanced predictive capabilities, the concurrent application of the two approaches is imperative.

Impact of technological interdependencies on employment by BCFE method: evidence from GVC participation of developing countries

2023-12-22T11:09:12+01:00

Technology has a profound impact on the job market, creating both opportunities and challenges for workers, companies and economies. Its effect on employment has been discussed extensively for developed countries while it has not been widely examined in developing countries. This paper provides an examination of the interplay between technology and employment in developing countries through their participation in global value chain in a sample of 33 developing countries over the period 2010-2020. The Dynamic panel bootstrap-corrected fixed effects estimation showed positive and relevant impact of Backward GVC participation and ICT imports on employment, while the effect of forward participation was not significant.

On the American style futures contracts

2023-11-15T11:44:55+01:00

There is a large number of sources devoted to the American style options. On the other hand, the American futures contracts are understudied in the scientific literature. This motivated us to examine these instruments in comparison to the relevant options. Their optimal boundaries are obtained and a finite difference scheme is applied to the pricing problem. We consider separately the long and short positions.

Unveiling the roots of cyberloafing: a Fuzzy Analytic Hierarchy perspective on antecedents in the Indian IT landscape

2023-10-17T10:46:04+02:00

In an era where work and workplaces are increasingly digitized, the pervasive phenomenon of cyberloafing—diverting work hours to non-job-related online activities—poses a growing challenge. This study delves into the intricacies of cyberloafing among Indian IT professionals, identifying and prioritizing its antecedents using a Fuzzy Analytic Hierarchy Process (FAHP). Surveying 250 employees from CMMI Level 5 IT companies in Delhi-NCR, our findings reveal that interpersonal factors hold the most significant weight (58.7%) in contributing to cyberloafing, followed by individual (29.7%) and situational antecedents (11.6%). Notably, factors such as status at work (44.3%), personality (15.6%), and managerial support (14.4%) emerged as crucial sub criteria. This research not only adds precision to understanding cyberloafing but also proposes tailored measures to mitigate its impact. Our results underscore the imperative for organizations to address cyberloafing, especially in the context of the dynamic Indian IT landscape.

A dual method for polar cuts in disjoint bilinear programming

2024-02-26T20:52:21+01:00

As one branch of deterministic approaches to disjoint bilinear programming, cutting plane methods are renowned for its ability to systematically reduce the search space by adding cutting planes that are able to cut off regions deemed infeasible or suboptimal. Polar cuts have been widely utilized as a dominating type of cut in terms of deepness. During the establishment of a polar cut, the modified Newton's method is employed to derive the cutting points along the positive or negative extensions of edges emanating from a local solution. Nonetheless, its performance can be further improved along the positive extensions. Drawing inspiration from integer programming, we develop a new approach based on the LP duality theory for this purpose. It re-formulates the original program with a piece-wise linear concave objective function as a single LP. Moreover, we propose a new technique to derive the edges as accommodation to degeneracy. Numerical results show that, by utilizing our newly developed dual method, computing time can be gradually saved as the percentage of generated cutting points along the positive extensions of edges rises.

A genetics algorithms for optimizing a function over the integer efficient set

2024-04-08T10:18:50+02:00

In this paper, we propose an algorithm called Directional Exploration Genetic Algorithm (DEGA) to resolve a function $\Phi$ over the efficient set of a multi-objective integer linear programming problem (MOILP). DEGA algorithm belongs to evolutionary algorithms, which operate on the decision space by choosing the fastest improving directions that improve the objectives functions and $\Phi$ function. Two variants of this algorithm and a basic version of the genetic algorithm (BVGA) are performed and implemented in Python. Several benchmarks are carried out to evaluate the algorithm's performances and interesting results are obtained and discussed.

Quantifying the effects of expectation variability on economic dynamics: insights from the Dornbusch overshooting model

2024-02-29T14:05:15+01:00

The article applies the famous Dornbusch "overshooting" model to investigate the impact of different types of expectations on economic model stability. We tested the well-known Dornbusch model with discrete variables. Initially, we established a foundational model, employing simulations to illustrate the impact of each parameter within the model on the overall solution, starting from an initial value. Subsequently, we explored the influence of different expectation types on the stability of the steady state vector, considering simple, static, adaptive, and rational expectations (Muth-type rational expectation and perfect foresight). It was observed that static expectations and perfect foresight did not contribute to stability. In the case of simple, adaptive, and rational expectations, the stability conditions (parameter combinations) are the same as the stability conditions for the steady state vector of the baseline model. This condition is restricted to four parameters: two related to the interest rate, one to the foreign-domestic price level and one to the adjustment speed. We also run a simulation to show how the inclusion of each type of expectation leads to a change in the global solution of the model for a given initial value.