DEA investment strategy in the Brazilian stock market

This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen's alpha.

Entire spacelike -graphs in Lorentzian product spaces

In this work we establish suffcient conditions to ensure that an entire spacelike graph immersed with constant mean curvature in a Lorentzian product space, whose Riemannian fiber has sectional curvature bounded from below, must be a trivial slice of the ambient space

Hockey Stick Phenomenon: Supply Chain Management Challenge In Brazil

The objective of this study is to investigate a phenomenon that occurs in Brazil, specifically the spike in demand at the end of the sales period, known as the hockey stick phenomenon. This analysis will encompass the causes as well as the impacts of this phenomenon, in a way that allows alternative policies to be evaluated. Data was collected from a Brazilian branch of a large multinational in the non-durable consumer goods industry and in semi-structured interviews conducted face-to-face with executives of 26 clients. The data was used to generate a continuous simulation model based on the methods of systems dynamics. The findings showed that the phenomenon negatively impacted the manufacturer's financial performance in the long term and indicated required changes necessary to remediate the phenomenon. This is an empirical study on the hockey stick phenomenon, a problem that affects diverse companies in Brazil. The study showed that companies should not assume the hockey stick phenomenon to be an exogenous problem; it showed that there are policies able to improve financial performance; and it provided ideas regarding ways to carry out the change process.113264283Anily, S., Hassin, R., Pricing, replenishment, and timing of selling in a market with heterogeneous customers (2013) International Journal of Production Economics, 145 (2), pp. 672-682. , doi: 10. 1016/j. ijpe. 2013. 05. 021Barlas, Y., Formal aspects of model validity and validation in system dynamics (1996) System Dynamics Review, 12 (3), pp. 183-210. , doi: 10. 1002/(SICI)1099-1727(199623)12: 33. 0. CO2-4Bhattacharya, R., Bandyopadhyay, S., A review of the causes of bullwhip effect in a supply chain (2011) The International Journal of Advanced Manufacturing Technology, 54 (9), pp. 1245-1261. , doi: 10. 1007/s00170-010-2987-6Blattberg, R.C., Briesch, R., Fox, E.J., How promotions work (1995) Marketing Science, 14 (3), pp. 122-132. , doi: 10. 1287/mksc. 14. 3. G122Boubekri, N., Technology enablers for supply chain management (2001) Integrated Manufacturing Systems, 12 (6), pp. 394-399. , doi: 10. 1108/EUM0000000006104Bradley, J.R., Arntzen, B.C., The simultaneous planning of production, capacity, and inventory in seasonal demand environments (1999) Operations Research, 47 (6), pp. 795-806. , doi: 10. 1287/opre. 47. 6. 795Buzzell, R.D., Quelch, J.A., Salmon, W.J., The costly bargain of trade promotion (1990) Harvard Business Review, 68 (2), pp. 141-149Canning, L., Hanmer-Lloyd, S., Modelling the adaptation process in interactive business relationships (2002) Journal of Business & Industrial Marketing, 17 (7), pp. 615-636. , doi: 10. 1108/08858620210451127Chen, F., Sales-force incentives and inventory management (2000) Manufacturing & Service Operations Management, 2 (2), pp. 186-202. , doi: 10. 1287/msom. 2. 2. 186. 12351Cohen, D.A., Dey, A., Lys, T.Z., Real and accrual-based earnings management in the pre-and post-Sarbanes Oxley periods (2008) The Accounting Review, 83 (3), pp. 757-787. , doi: 10. 2308/accr. 2008. 83. 3. 757Crescitelli, E., Figueiredo, J.B., Brand equity evolution: A system dynamics model (2009) Brazilian Administrative Review, 6 (2), pp. 101-117. , http://www.scielo.br/pdf/bar/v6n2/v6n2a03.pdf, Retrieved from, doi: 0. 1590/S1807-76922009000200003de-Margerie, V., Jiang, B., How relevant is OM research to managerial practice? An empirical study of top executives' perceptions (2011) International Journal of Operations & Production Management, 31 (2), pp. 124-147. , doi: 10. 1108/01443571111104737Desai, P.S., Koenigsberg, O., Purohit, D., Forward buying by retailers (2010) Journal of Marketing Research, 47 (1), pp. 90-102. , doi: 10. 1509/jmkr. 47. 1. 90Disney, S.M., Towill, D.R., On the bullwhip and inventory variance produced by an ordering policy (2003) Omega, 31 (3), pp. 157-167. , doi: 10. 1016/S0305-0483(03)00028-8Dodd, D., Favaro, K., Managing the right tension (2006) Harvard Business Review, 84 (12), pp. 62-74Forrester, J.W., (1961) Industrial dynamics, , Waltham, MA: Pegasus CommunicationsForrester, J.W., Senge, P.M., Tests for building confidence in system dynamics models (1980) System dynamics, TIMS Studies in the Management Sciences, pp. 209-228. , In A.A. Legasto Jr., J.W. Forrester, & J.M. Lyneis (Eds.),. New York: North-HollandGrobler, A., Thun, J.-H., Milling, P.M., System dynamics as a structural theory in operations management (2008) Production and Operations Management, 17 (3), pp. 373-384. , doi: 10. 3401/poms. 1080. 0023Handfield, R., Withers, B., A comparison of logistics management in Hungary, China, Korea and Japan (1993) Journal of Business Logistics, 14 (1), pp. 81-109Hines, P., Holweg, M., Sullivan, J., Waves, beaches, breakwaters and rip currents-a three-dimensional view of supply chain dynamics (2000) International Journal of Physical Distribution & Logistics Management, 30 (10), pp. 827-846. , doi: 10. 1108/09600030010351219Homer, J., Oliva, R., Maps and models in system dynamics: A response to Coyle (2001) System Dynamics Review, 17 (4), pp. 347-355. , doi:: 10. 1002/sdr. 224Hoole, R., Five ways to simplify your supply chain (2005) Supply Chain Management: An International Journal, 10 (1), pp. 3-6. , doi: 10. 1108/13598540510578306(2006) Ithink, , (Version 9, 0. 3) [Software]. Lebanon, NH, USA: Isee SystemsJohnston, D.A., McCutcheon, D.M., Stuart, F.I., Kerwood, H., Effects of supplier trust on performance of cooperative supplier relationships (2004) Journal of Operations Management, 22 (1), pp. 23-38. , doi: 10. 1016/j. jom. 2003. 12. 001Lee, H.L., Padmanabhan, V., Whang, S., Information distortion in supply chain: The bullwhip effect (1997) Management Science, 43 (4), pp. 546-558. , doi: 10. 1287/mnsc. 43. 4. 546Lee, H.L., Padmanabhan, V., Whang, S., The bullwhip effect in supply chains (1997) Sloan Management Review, 38 (3), pp. 93-102Lorentz, H., Wong, C.Y., Hilmola, O.-P., Emerging distribution systems in central and Eastern Europe: Implications from two case studies (2007) International Journal of Physical Distribution & Logistics Management, 37 (8), pp. 670-697. , doi: 10. 1108/09600030710825702Manning, K.C., Bearden, W.O., Rose, R.L., Development of a theory of retailer response to manufacturers' everyday low cost programs (1998) Journal of Retailing, 74 (1), pp. 107-137. , doi: 10. 1016/S0022-4359(99)80090-6Martinez-Moyano, I.J., Richardson, G.P., Best practices in system dynamics modeling (2013) System Dynamics Review, 29 (2), pp. 102-123. , doi: 10. 1002/sdr. 1495Moori, R.G., Perera, L.C.J., Mangini, E.R., Uma análise investigativa do efeito chicote na cadeia de suprimentos da indústria alimentícia (2011) Revista de Gestão, 18 (3), pp. 469-488. , doi: 10. 5700/rege 436Morecroft, J.D.W., Sterman, J.D., (1994) Modeling for learning organizations, , (Eds.)., Portland, OR: Productivity PressNeale, J.J., Willems, S.P., Managing inventory in supply chains with nonstationary demand (2009) Interfaces, 39 (5), pp. 388-399. , doi: 10. 1287/inte. 1090. 0442Nyaga, G., Closs, D., Rodrigues, A., Calantone, R., The impact of demand uncertainty and configuration capacity on customer service performance in a configure-to-order environment (2007) Journal of Business Logistics, 28 (2), pp. 83-104. , doi: 10. 1002/j. 2158-1592. 2007. tb00059. xOliveira, S.P., Freitas, F.V., Muniz, L.B., Prazeres, R., Hygienical-sanitary conditions of the food commerce of the city of Ouro Preto, MG (2005) Revista Higiene Alimentar, 19 (136), pp. 26-31Oyer, P., Fiscal year ends and nonlinear incentive contracts: The effect on business seasonality (1998) Quarterly Journal of Economics, 113 (1), pp. 149-185. , doi: 10. 1162/003355398555559Ozelkan, E.C., Cakanyildirim, M., Reverse bullwhip effect in pricing (2009) European Journal of Operational Research, 192 (1), pp. 302-312. , doi: 10. 1016/j. ejor. 2007. 09. 009Paik, S.-K., Bagchi, P.K., Understanding the causes of the bullwhip effect in a supply chain (2007) International Journal of Retail & Distribution Management, 35 (4), pp. 308-324. , doi: 10. 1108/09590550710736229Poddar, A., Donthu, N., Improving trade promotions through virtual forward buying (2013) Journal of Business & industrial Marketing, 28 (1), pp. 16-28. , doi: 10. 1108/08858621311285688Potter, A., Lalwani, C., Investigating the impact of demand amplification on freight transport (2008) Transportation Research Part E: Logistics and Transportation Review, 44 (5), pp. 835-846. , doi: 10. 1016/j. tre. 2007. 06. 001Powers, T., Closs, D., An examination of the effects of trade incentives on logistical performance in a consumer products distribution channel (1987) Journal of Business Logistics, 8 (2), pp. 1-28Richardson, G.P., Pugh III, A.L., (1981) Introduction to system dynamics modeling with dynamo, , Cambridge, MA: MIT PressRocha, A., Dib, L.A., The entry of Wal-Mart in Brazil and the competitive responses of multinational and domestic firms (2002) International Journal of Retail & Distribution Management, 30 (1), pp. 61-73. , doi: 10. 1108/09590550210415266Sargent, R.G., Verification, validation, and accreditation of simulation models (2000) Proceedings of Winter Simulation Conference, 2000, p. 32. , Orlando, FLShaw, R., Creating a ring of commitment to customers (1996) Journal of Marketing Practice: Applied Marketing Science, 2 (3), pp. 71-92. , doi: 10. 1108/EUM0000000004299Singer, M., Donoso, P., Konstantinidis, G., Who wants to break the hockey-stick sales pattern in the supply chain? (2009) Annals of Operations Research, 169 (1), pp. 131-147. , doi: 10. 1007/s10479-008-0480-5Singhal, K., Singhal, J., Imperatives of the science of operations and supply-chain management (2012) Journal of Operations Management, 30 (3), pp. 237-244. , doi: 10. 1016/j. jom. 2011. 11. 003Slone, R.E., Mentzer, J.T., Dittmann, J.P., Are you the weakest link in your company's supply chain? (2007) Harvard Business Review, 85 (9), pp. 116-127Sohoni, M.G., Bassamboo, A., Chopra, S., Mohan, U., Sendil, N., Threshold incentives over multiple periods and the sales hockey stick phenomenon (2010) Naval Research Logistics, 57 (6), pp. 503-518. , doi: 10. 1002/nav. 20417Stank, T.P., Dittmann, J.P., Autry, C.W., The new supply chain agenda: A synopsis and directions for future research (2011) International Journal of Physical Distribution & Logistics Management, 41 (10), pp. 940-955. , doi: http://dx. doi. org/10. 1108/09600031111185220Sterman, J.D., Modeling managerial behavior: Misperceptions of feedback in a dynamic decision making experiment (1989) Management Science, 35 (3), pp. 321-339. , doi: http://dx. doi. org/10. 1287/mnsc. 35. 3. 321Sterman, J.D., (2000) Business dynamics: Systems thinking and modeling for a complex world, , Boston: Irwin McGraw-HillSterman, J.D., Operational and behavioral causes of supply chain instability (2006) The bullwhip effect in supply chains: A review of methods, components and cases, pp. 17-56. , In O.A.C. Torres & F.A.V. Morán (Eds.),. Hampshire, England: Palgrave McMillanSu, Y., Geunes, J., Price promotions, operations cost, and profit in a two-stage supply chain (2012) Omega, 40 (6), pp. 891-905. , doi: 10. 1016/j. omega. 2012. 01. 010Taylor, D.H., Measurement and analysis of demand amplification across the supply chain (1999) International Journal of Logistics Management, 10 (2), pp. 55-70. , doi: 10. 1108/09574099910805996Taylor, A., Taylor, M., Operations management research: Contemporary themes, trends and potential future directions (2009) International Journal of Operations & Production Management, 29 (12), pp. 1316-1340. , doi: 10. 1108/01443570911006018Towill, D.R., McCullen, P., The impact of agile manufacturing on supply chain dynamics (1999) The International Journal of Logistics Management, 10 (1), pp. 83-96. , doi: 10. 1108/09574099910805879Towill, D.R., Zhou, L., Disney, S.M., Reducing the bullwhip effect: Looking through the appropriate lens (2007) International Journal of Production Economics, 108 (1-2), pp. 444-453. , doi: 10. 1016/j. ijpe. 2006. 12. 024Umble, M.M., Srikanth, M.L., (1990) Synchronous manufacturing: Principles for world class excellence, , Cincinnati: South-Western Publishing CompanyVasconcellos, L.H.R., Sampaio, M., The stockouts study: An examination of the extent and the causes in the São Paulo supermarket sector (2009) Brazilian Administration Review, 6 (3), pp. 263-279. , http://www.scielo.br/pdf/bar/v6n3/v6n3a07.pdf, Retrieved from, doi: 10. 1590/S1807-76922009000300007Villegas, F.A., Smith, N.R., Supply chain dynamics: Analysis of inventory vs. order oscillations trade-off (2006) International Journal of Production Research, 44 (6), pp. 1037-1054. , doi: 10. 1080/00207540500338203Wolstenholme, E.F., Qualitative vs. quantitative modelling: The evolving balance (1999) Journal of the Operational Research Society, 50 (4), pp. 422-428. , doi: 10. 1057/palgrave. jors. 2600700Yin, R.K., (2003) Case study research: Design and methods, , (3rd ed.). Thousand Oaks, CA: Sage PublicationsZotteri, G., An empirical investigation on causes and effects of the bullwhip-effect: Evidence from the personal care sector (2013) International Journal of Production Economics, 143 (2), pp. 489-498. , doi: 10. 1016/j. ijpe. 2012. 06. 00

Critical Behavior of a Three-State Potts Model on a Voronoi Lattice

We use the single-histogram technique to study the critical behavior of the three-state Potts model on a (random) Voronoi-Delaunay lattice with size ranging from 250 to 8000 sites. We consider the effect of an exponential decay of the interactions with the distance,$J(r)=J_0\exp(-ar)$, with $a>0$, and observe that this system seems to have critical exponents $\gamma$ and $\nu$ which are different from the respective exponents of the three-state Potts model on a regular square lattice. However, the ratio $\gamma/\nu$ remains essentially the same. We find numerical evidences (although not conclusive, due to the small range of system size) that the specific heat on this random system behaves as a power-law for $a=0$ and as a logarithmic divergence for $a=0.5$ and $a=1.0$Comment: 3 pages, 5 figure