本文精选了管理学国际期刊《Journal of Management Science and Engineering》近期发表的论文，提供管理学研究领域最新的学术动态。

Analysis of technology pathway of China's liquid fuel production with consideration of energy supply security and carbon price

原刊和作者：

Journal of Management Science and Engineering Volume 8 Issue 1

Bingqing Ding （East China University of Science and Technology）

Marek Makowski （International Institute for Applied Systems Analysis）

Jinyang Zhao （East China University of Science and Technology）

Hongtao Ren （East China University of Science and Technology）

Behnam Zakeri （International Institute for Applied Systems Analysis）

Tieju Ma （International Institute for Applied Systems Analysis）

Abstract

Efforts to provide alternative resources and technologies for producing liquid fuel have recently been intensified. Different levels of dependence on oil imports and carbon prices have a significant impact on the composition of the cost-minimizing portfolio of technologies. Considering such factors, how should China plan its future liquid fuel industry? The model for supporting the technology portfolio and capacity configuration that minimizes the total system cost until 2045 is described in this study. The results obtained for different carbon prices and levels of dependence on oil import indicate that the oil-to-liquid fuel (OTL) will remain dominant in China's liquid fuel industry over the next three decades. If the carbon price is low, the coal-to-liquid fuel (CTL) process is competitive. For a high carbon price, the biomass-to-liquid fuel (BTL) technology expands more rapidly. The results also reveal that developing the BTL and CTL can effectively reduce the oil-import dependency; moreover, a high carbon price can lead to the CTL being replaced with the low-carbon technology (e.g., BTL). Improvement in energy raw material conversion and application of CO2 removal technologies are also effective methods to control carbon emissions for achieving the carbon emission goals and ultimately emission reduction targets.

Link: https://doi.org/10.1016/j.jmse.2022.07.002

The valuation of barrier options under a threshold rough Heston model

原刊和作者：

Journal of Management Science and Engineering Volume 8 Issue 1

Kevin Z. Tong （University of Ottawa）

Allen Liu （Bank of Montreal）

Abstract

In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional kernel with the CIR process. The new model both captures the leverage effect and produces rough paths for the volatility process. The model also nests the threshold diffusion, Heston and rough Heston models. We can derive analytical formulas for the double barrier option prices based on the eigenfunction expansion method. We also implement the model and numerically investigate the sensitivities of option prices with respect to the parameters of the model.

Link: https://doi.org/10.1016/j.jmse.2022.07.004

Supply chain decisions and coordination in the presence of an imperfect spot market

原刊和作者：

Journal of Management Science and Engineering Volume 8 Issue 1

Jinpeng Xu （Xidian University）

Gengzhong Feng （Xi'an Jiaotong University）

Kwai-Sang Chin （City University of Hong Kong）

Wei Jiang （Shanghai Jiao Tong University）

Abstract

This study considers a supply chain consisting of a commodity supplier and a final product manufacturer with uncertain demand. In addition to purchasing from the supplier through a forward contract, the manufacturer can adjust their inventory by trading the commodity in an online spot market after observing the actual demand. However, the spot market is imperfect in that transactions cannot be certainly realized and come with additional transaction costs. Furthermore, the spot price is volatile such that overly relying on the spot market is unwise. To investigate how the spot market affects the decisions and coordination in a supply chain, we develop a game-theoretical model incorporating spot trading. We derive the optimal ordering decision in a centralized supply chain, as well as the supplier's and manufacturer's equilibrium pricing and ordering decisions in a decentralized supply chain. The impact of the imperfect spot market on the optimal decisions and profits is analyzed. This study also demonstrates how the supply chain can be coordinated in the presence of an imperfect spot market. Finally, a numerical analysis is performed to examine the analytical results. Our results indicate that the spot market can generally improve the performance of the centralized supply chain and benefit the manufacturer in the decentralized one. However, it can be detrimental to the supplier. The supply chain can be coordinated by a revenue-sharing contract, and both parties' profits can be improved. Our findings suggest that the manufacturer could take advantage of the spot market, and the supplier should attempt to integrate or coordinate the supply chain to share the benefits of spot trading.

Link: https://doi.org/10.1016/j.jmse.2022.06.003

Information provision and consumer search behavior for products with asymmetric uncertainty

原刊和作者：

Journal of Management Science and Engineering Volume 8 Issue 1

Xiaomei Li （Tianjin University）

Zhengbo Liang （Tianjin University）

Yan Liu （Hong Kong Polytechnic University）

Abstract

When selling multiple products with asymmetric uncertainty, should the seller disclose product information so that customers do not have to incur any cost to resolve their uncertainties; if so, which product should the seller choose? To address these questions, we consider a monopolist selling two substitutable products to a group of consumers. Each consumer has asymmetric uncertainty regarding the two products. A total of four different information provision structures are considered based on whether the seller discloses information about each product with the aim of determining which strategy provides the seller with the greatest revenue. We derive several interesting results. First, the optimal information provision strategy depends on the magnitude of uncertainty in relation to the product with lower uncertainty. Specifically, if the uncertainty regarding the product with lower uncertainty is sufficiently small, it is optimal for the seller to provide information about the product with higher uncertainty, otherwise, the seller should provide information about both products. Second, when only one product's information should be revealed, it is optimal for the seller to choose the product with higher uncertainty and charge a higher price. Third, withholding information on both products is never optimal for the seller. Finally, our main model is extended by examining the Mean-Preserving Spread setting, and the robustness of our main results is confirmed. Furthermore, we examine the situation in which a monopolist sells a single product with two main attributes. We find that each of the four information provision strategies can be optimal under various scenarios.

Link: https://doi.org/10.1016/j.jmse.2022.07.005

Correlation uncertainty, limited participation, and flight to quality

Journal of Management Science and Engineering Volume 8 Issue 1

Helen Hui Huang （University of Regina）

Yanjie Wang （Southwestern University of Finance and Economics）

Shunming Zhang （Renmin University of China）

Abstract

This study extends the multi-asset model of Huang et al. (2017), who examine only two types of investors, by adding a new investor type with partial information on the correlation coefficient and re-explores the limited participation phenomenon under correlation ambiguity. We investigate whether asset allocations depend on incomplete information under market equilibrium—specifically, whether investors with less information might hold greater equilibrium positions than investors with more information. We find that, as the true correlation coefficient (and the maximum correlation coefficient for ambiguity-averse investors) increases and asset quality increases, investors with less information escape from low- to high-quality assets, thus exhibiting a flight-to-quality trading pattern in equilibrium.

Link: https://doi.org/10.1016/j.jmse.2022.07.003