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Бакалаврская программа «Управление цепями поставок и бизнес-аналитика»

Modeling of the Financial Flows in Logistics on the Basis of the Concept of Utility and Risks

2019/2020
Учебный год
ENG
Обучение ведется на английском языке
4
Кредиты
Кто читает:
Кафедра логистики
Статус:
Курс по выбору
Когда читается:
4-й курс, 1, 2 модуль

Course Syllabus

Abstract

The main purpose of the course is to: provide the basic principles and rules of financial mathematics at the level of the theory of quantitative methods in finance, teaching students the practical application of techniques to bring cash flow to the desired point in time based on dif-ferent models (the scheme of simple interest, compound interest scheme, the scheme of contin-uous percent), methods of restructuring cash flows in the format of logistics systems, methods of simultaneous investment and financial planning with the use of modern technology. The course program includes conducting seminars. In these classes students practice skills in the use of methods of financial mathematics, consolidate knowledge of the relevant theoretical material. The program also provides control work for the training of student. Stu-dent self-study also includes: learning theoretical material at a level sufficient for understand-ing the topics and sections of the course, participation in the seminars, which provide number of relevant activities that will help to secure the skills of using methods of financial mathemat-ics.
Learning Objectives

Learning Objectives

  • The main purpose of the course is to: provide the basic principles and rules of financial mathematics at the level of the theory of quantitative methods in finance, teaching students the practical application of techniques to bring cash flow to the desired point in time based on dif-ferent models (the scheme of simple interest, compound interest scheme, the scheme of contin-uous percent), methods of restructuring cash flows in the format of logistics systems, methods of simultaneous investment and financial planning with the use of modern technology.
  • Based on current requirements needed to consider the time value of money in the analysis of logistics op-erations as a result of the discipline, the student must: - have a broad understanding of the basic principles, rules and methods of financial mathematics; - know and use in their future activities of the appropriate methods and models to make optimal decisions on the analysis and restructuring of financial flows in logistics, including - • methods of equivalent transformations of financial flows; • methods of management / debt restructuring; • methods of flow control payments on leasing and insurance contracts in logistics; • methods of investment and financial planning of investments in logistics on the basis of econom-ic and mathematical modeling
Expected Learning Outcomes

Expected Learning Outcomes

  • Ability to present financial flows in different formats and transform them accoriding to actual tasks of the supply chain management
  • Ability to use the concept of utility for modeling the financial flows in supply chain research
  • Ability to use multiple criteria decision making approaches for optimizing financial flows in the supply chain research under conditions of uncertainty and risk
  • Ability to use mathematical models of simultaneous investment and financial planning in the supply chain research
Course Contents

Course Contents

  • Section 1. Mathematical modeling financial flows in supply chain
    Theme 1.1. Formats of representing and transforming financial flows. Financial flows in logistics. Formats for representing financial flows: 1) discrete se-quences; 2) continuous functions. Features of modeling financial flows in logistics in the form of discrete sequences of payments. Transformation and concentration of financial flows. Equa-tions of financial equivalence, equivalence of interest rates. Present value and future value of a financial flows. Postnumerando and prenumerando - formats of financial flows, methods of their conversion. Financial flows and index methods for optimizing discrete financial flows. The format for representing financial flows in the form of continuous functions. Baumol's model and its applications in supply chain research. Miller-Orr model and its applications in in supply chain research. Theme 1.2. Mathematical modeling of financial flows in supply chain under conditions of uncertainty and risk. The concept of uncertainty in modeling financial flows in supply chain. Approaches to formal-izing full group of events and procedures for formalizing uncertainty in the table format. Pro-cedures for constructing and parameterizing the corresponding event tree. Features of modeling financial flows under uncertainty for inventory management tasks. The concept of risk in the format of financial flows. The concept of pure risks. The concept of speculative risks. Features of formalizing the risk factor in the format of discrete payment sequences.
  • Section 2. Risk management of financial flows in logistics based on the concept of utility
    Theme 2.1. Utility concept and attributes of a neoclassical approach to modeling financial flows in supply chain Utility concept and its attributes. Decision making based on the concept of utility. Op-portunities and specifics of taking into account the attitude of a decision maker to risk. Illustra-tions in the format of the historic phenomenon: St. Petersburg paradox. Utility function: it’s definition and properties. The concept of risk-free equivalent for proposals in risk when model-ing financial flows in supply chain based on the concept of utility. The specifics of the proce-dures for determining the risk-free equivalent. Applications for modeling financial flows in lo-gistics. Theme 2.2. The expected utility criterion in risk management for the supply chain Jensen's inequality and its place in risk management theory based on the concept of use-fulness. Properties and interpretations of this inequality, which are due to the convexity or con-cavity of the utility function.. Classification of decision-makers by their relation to risk based on utility functions (cautious attitude to risk, neutral attitude to risk, risk lovers). The expected utility criterion (EUC). A utility randomization property and its application to the selection of the best utility-based solutions. An experimental measurement of utility, taking into account the attitude of decision makers to risk. Comparison of risk-based utility alternatives for model-ing financial supply chain flows. Applications and illustrations.
  • Section 3. Methods of multi-criteria optimization in modeling financial flows in logistics
    Theme 3.1. Modeling financial flows based on multi-criteria optimization methods Multiple criteria decision making (MCDM) as a methodology. Peculiarities of risk presentation in modeling financial flows based on the use of decision-making methods accord-ing to many criteria. Formalization of risk factors in the form of partial criteria. Possibilities of using traditional methods of multicriteria optimization to find the best solutions in the analysis of financial flows. The specifics of implementation in modeling financial flows of the most common selection criteria in MCDM studies: minimax (and / or maximin) criterion, Hurwitz criterion, scalar criterion (and / or geometric mean), ideal point criterion, generalized selection criteria and etc. Features of procedures for formalizing and clarifying the preferences of deci-sion-makers based on a synthesis of analytical hierarchy processes and traditional MCDM methods. Theme 3.2. Multi-criteria optimization under the conditions of uncertainty in logistics and supply chain management Multi-criteria decision-making optimization problems of supply chains considering conditions of uncertainty. Special approach that allows adapting the procedures of multi-criteria optimiza-tion to the format of conditions of uncertainty. The synthesis of optimization procedures, in-cluding the format of the multiple criteria decision-making theory and the format of procedures developed in the theory of decision-making in conditions of uncertainty. The specifics of this approach and algorithm for optimising such solutions are presented according to the inventory management problem.
  • Section 4. Mathematical models of simultaneous investment and financial planning in the supply chain research
    Features and specific investment optimization models in the analysis of investment de-cisions in the supply chain considering the time value of money. Optimization model of simul-taneous investment and financial planning by J. Dean. Optimization model of simultaneous in-vestment and financial planning by G. Albah. and its modification by G. Hughes and G. Vaygartner. Applications of optimization of investment and financial models to analyze and optimize the investment decision-making in the supply chain.
Assessment Elements

Assessment Elements

  • non-blocking Work on seminars
  • non-blocking Analitical note and other homeworks
  • non-blocking Control work
  • blocking Exam
    The exam consists of a written part (1 academician hour) and an oral part (they are held on the same day). When setting the final grade for an exam, the grades of these two indicated parts / steps are taken into account with equal weights. Moreover, to encourage more active work on the study of the discipline, the following is practiced. The partially oral stage of the exam can be counted even before it begins (as a result of the learning process, which is correlated with answers to special questions, as well as with specially completed tasks or developments, for example, which caused the student to speak at a scientific confer-ence, etc.). The mandatory attributes of such procedures associated with the partial offset of the oral part / stage of the exam include the following conditions. 1) They must be open, i.e. not only a specific student is informed about this, but an announcement is made for the entire group of students or the entire stream. 2) They must be specific, i.e. at the same time, it will certainly be clarified which part related to the oral stage of the exam will be counted; 3) They should be available to every student who wants to use this for-mat of training procedures..
Interim Assessment

Interim Assessment

  • Interim assessment (2 module)
    0.15 * Analitical note and other homeworks + 0.1 * Control work + 0.6 * Exam + 0.15 * Work on seminars
Bibliography

Bibliography

Recommended Core Bibliography

  • Elements of financial risk management, Christoffersen, P. F., 2003
  • Financial institutions management : a risk management approach, Saunders, A., 2018

Recommended Additional Bibliography

  • Merna, T., & Al-Thani, F. F. (2008). Corporate Risk Management (Vol. 2nd ed). Chichester, England: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=323307