Programme 2006-2007


Vendredi 22 juin
Auditoire Mahaim (B31) à 12h30

Erreurs sur les Variables et Modèles d’Évaluation des Actifs Financiers Canadiens
Alain Coën (UQAM)

Mardi 12 juin
Salle du Conseil (B31) à 12h30

Liquidity co-movements, market capitalization, and volatility
Renaud Beaupain (FUNDP)


Liquidity co-movements are studied within three different market capitalization indices, each made up of 100 NYSE stocks. To condition the analysis of liquidity comovements upon index volatility, three regimes of volatility are defined using the Markovswitching methodology. Our results shows that volatility bears on liquidity co-movements in a subtle way. First, volatility affects liquidity co-movements among small caps differently than liquidity co-movements among mid and large caps. Second, spread-based liquidity co-movements react to volatility differently than quote-based liquidity co-movements.

Mardi 15 mai
Salle du Conseil (B31)

Data Mining: Emerging Trends, Challenges and Applications
Dr. Bart Baesens
assistant professor at the Faculty of Applied Economic Sciences at the K.U.L. and the School of Management of the University of Southampton (United Kingdom)

Over the past few years, data mining has grown from a relatively unknown discipline into a widespread billion dollar business. Being first only adopted in the retail and banking sectors, we can nowadays observe a proliferation of the application domains, like for instance in e-commerce, terrorism prevention, RFID, software engineering, pharmaceutics, and bio-informatics. In this presentation, we cover some of these recent application domains and explain how data mining can contribute towards an increased efficiency in these fields. In the second part, we present some new data mining techniques that are expected to make a rapid transition into business environments. Techniques that will be discussed are, amongst others, support vector machines (SVMs), Bayesian network classifiers, multirelational data mining, semi-supervised learning and bagging and boosting.

Mardi 8 mai 2007
auditoire Mahaim (B31)

Diagnostiquer le climat de travail pour une plus grande mobilisation de son personnel: le cas du secteur de la santé et des services sociaux québécois 
par Denis Chênevert
Professeur agrégé, HEC Montréal

La mobilisation et la santé du personnel représentent actuellement un objet de préoccupation majeur dans le réseau de la santé au Québec. En effet, plusieurs intervenants du réseau s’intéressent à ces questions (Ministère, Agences de développement des réseaux locaux de santé et de services sociaux, établissements de la santé, syndicats, etc.). Bien que tous s’entendent sur l’importance d’avoir des ressources humaines mobilisées et en santé, plusieurs questions résident quant aux modèles d’organisation favorisant la satisfaction de tous, y compris celle des usagers. C’est à partir de plusieurs enquêtes réalisées sur de vastes échantillons que certaines réponses tentent d’être apportées à des questions telles que : Comment mobiliser le personnel soignant ? Quels sont les facteurs qui expliquent leur intention de départ ? Quelle est la relation entre leur niveau d’épuisement professionnel et leurs absences du travail ?

Jeudi 3 mai 2007, Salle du Conseil (B31), de 15h00 à 16h30.
The role of optimization in transportation planning
by Pr. Gilbert Laporte,
Chaire de Recherche du Canada en Distributique à HEC Montréal

Transportation is certainly the single area where operations research has had the most impact. For example, no major aviation company could survive without making extensive use of operations research at the strategic, tactical and operational levels. The same is also true to a large extent in railway and ship planning, in public trransit, in vehicle routing, and even in traffic management. In this talk I will survey the main problems encountered in transportation planning and I will briefly present some of the methods put forward to solve them.

Mardi 23 avril 2007, Salle 223 (N1) , de 13h00 à 14h30.
Project Management : rather an art than a science 
by Chris. F. Kindermans
President of the Project Management Institute Chapter (Belgium)
Lecturer at the Boston University (Brussels), at EHSAL (Brussels, Ghent) and Head lecturer of Project Management at IFBD (Institute for Business Development)
Principal at Proyecta BVBA

Mardi 17 avril 2007, Salle du conseil , de 12h30 à 14h.
The Impact of HR Practices on New Service Performance
by drs. M.J. Flikkema,
Assistant professor of Strategy and Organization at the Vrije Universiteit Amsterdam,
Department of Management and Organization

In our New Service Performance (NSP) study we examined the relationship between the effects of Human Resource (HR) practices, both at the firm and project level, and the performance of new Dutch services (n = 192). From a behavioral perspective on new service development, we focused specifically on development and performance of new services in the financial, training & education, and health industry.
The aim of our research was to explain the relationship between HR practices, development performance –like time to market- and NSP, based on behavioral characteristics of the service development teams. We found a positive relationship between specific HR practices at the project level, team cooperation and team engagement. In turn, team cooperation and engagement of the team members affect the development performance positively. Finally, we find that development performance contributes to financial performance, while innovation characteristics act as moderators. Firm, respondent, sector and innovation characteristics do not covary with NSP at the project level.

Mardi 20 mars 2007 , Salle du conseil , de 12h30 à 14h.
Methods for integrated production-transportation plannings: extensions of lot sizing problem
In this seminar we propose solving methods to optimize integrated planning problems in various supply chain structures. We use a simultaneous approach to jointly deal with the tactical/operational level problems, such as production, transportation and storage plannings. We transform most of the planning problems into special cases of the capacitated lot sizing problem. For each problem we give a complexity study and describe dominance properties to reduce problems’ size.
We propose different MILP formulations, pseudo-polynomial dynamic programs, heuristics and polynomial time algorithms depending on the problem complexity. We also compare methods’ performances in terms of the computational time and the solution quality, under different hypotheses.

Mardi 28 février 2007 , Auditoire Mahaim, de 12h30 à 14h.
Evolution du contrôle de gestion en général et observations en Economie Sociale – Pratiques de GRH en Economie Sociale en comparaison avec les entreprises privées de taille identique
Louise Briand et Guy Bellemare (CRISES, Université du Québec en Outaouais),
invités par le CES, le Centre d’Economie Sociale.

Louise Briand (Université du Québec en Outaouais)_ Ses intérêts de recherche portent sur la gestion des affaires et du commerce, la comptabilité, la gestion, l’analyses des politiques et l’administration des organismes publics et sans but lucratif. Ses expertises de recherche touchent le contrôle de gestion dans les OSBL, le contrôle organisationnel, la gestion et la comptabilité en entreprise ainsi que l’économie sociale.
Guy Bellemare (Université du Québec en Outaouais)_ Ses intérêts de recherche portent sur les relations industrielles, la sociologie, la démocratie industrielle et les processus sociaux. Ses domaines d’expertises de recherche touchent les innovations organisationnelles, les services publics, la surveillance à distance, les analyses comparatives, le télétravail, l’économie sociale ainsi que les centres de la petite enfance.

Mardi 13 février 2007 , Salle du conseil, de 12h30 à 14h.
Brand Concept Map: A New Way of Segmenting the Market.
Céline Brandt, chercheuse à HEC-ULg

Brand maps, or graphical representations of brand associations’ networks are particularly useful when trying to understand the links and relations between brand attributes. These brand associations can be based on particular features, logos and usage situations. The networks show the value of the brand to consumers. Thus, it is essential for marketing managers to be aware of the nature and structure of associations for their brand.
In this paper, we first present the different methods used to build brand maps and compare them with a new methodology developed by Roedder John et al. (2005), namely: Brand Concept Maps (BCM).
This is followed by two empirical studies. In the first study, we apply the BCM methodology to identify the network of brand associations. In the second study, we aggregated data from individual brand maps to reveal segments with different brand perceptions.

Vendredi 15 décembre 2006 au séminaire 6, de 12h30 à 14h.
GARCH Options in Incomplete Markets
by Giovanni Barone-Adesi, Institute of Finance, University of Lugano (Suisse).

Mardi 5 décembre 2006 à la Salle 224 au N1, de 12h30 à 14h.
Inventory control in a decentralized Two-stage make-to-stock queuing system
Yasemin Arda, HEC-Ulg, UER Operations.

An important issue in the management of supply chains and manufacturing systems is to achieve the desired customer service level while respecting the individual economic objectives of the partners. These objectives are generally antagonistic and can lead to contradictory choices in the context of a network with a high degree of local decisional autonomy. The challenge involved is to determine a coordination mechanism that avoids global loss of economic efficiency and to solve nonlinear optimization problems that capture the key dynamics of a complex production/inventory system.
This study describes a coordination contract negotiated between a manufacturer and a supplier. The purpose of the negotiation is to determine the price of the supplied intermediate goods and the delay penalty in case of a late delivery. For a manufacturer with a dominant contracting position, the outcome of the negotiation can be computed as a Stackelberg equilibrium point. Under the resulting contract, the two-stage supply chain reaches globally optimal running conditions with the maximal possible profit obtained by the manufacturer and the smallest acceptable profit obtained by the supplier.

Mardi 21 novembre 2006 à la Salle du Conseil (Bât. B31 –Sart-Tilman) de 12h30 à 14h.

Linearizing Option Return for Portfolio and Risk Management:
A Tetranomial Approach

Laurent BODSON, de HEC-ULg.

read the paper

This paper proposes a lattice-based method deducing the first four moments and the co-moments (with any other asset) of an option return.
We consider the dynamics of an option-replicating portfolio of two basic assets and two long-term options. The tetranomial tree approach allows us to capture the moments up to order four of the underlier and to linearize the option return.
A numerical example illustrates some of the features and applications of this model.

Mardi 24 octobre 2006 de 12h30 à 14h, à la Salle du Conseil (Sart Tilman Bât. B31)

Les courbes de taux existent-elles ?

Professeur Claude ARCHER,
de la Haute Ecole Francisco Ferrer (Bruxelles)

Le calcul du prix d’un produit financier dépend souvent d’une courbe de taux théorique. On cherche la courbe qui s’ajuste au mieux à des taux observés.
Mais cette courbe est-elle unique ? Une autre courbe donnera-t-elle un prix similaire pour le même produit financier ? Cette courbe existe-elle toujours ?
Rien n’est moins sûr.
Nous partirons de la valorisation des swaptions pour montrer l’influence non négligeable qu’ont de petites variations de la courbe de taux sur la valorisation de la swaption.

Mardi 12 septembre 2006 de 15h à 16h, à la Salle du Conseil (Sart Tilman Bât. B31)

Marketing of arts: concept, research and challenges.

Par le Professeur François Colbert
holder of the Carmelle and Rémi-Marcoux Chair in Arts Management of HEC Montréal
and editor of the journal International Journal of Arts Management.

The notion of marketing of arts appeared for the first time in the 1970s in a volume by Philip Kotler, who placed it at the same level of bank or hospital marketing. Later on, the first volumes entirely devoted to marketing of arts were published in the 1980s.
What is the underlying concept behind this specific marketing application? Does research in this area abound? What is the nature of this research? How has it evolved? Has this research been translated into specific academic programs? Who are the main actors? What are the main challenges ahead?
These are some of the questions that will be discussed at the seminar.