Search Results - subject:"Continuous-time formulation"

A new cumulative scheduling model using effective continuous-time formulation and dominance rules for optimality

Nguyen Nhan Quy; Yalaoui, Farouk - In: Decision analytics journal 7 (2023), pp. 1-10

by valid inequalities. Computational experiments reveal that the continuous-time formulation significantly outperforms …, which enables us to eliminate these decision variables and develop a simpler, more concise, and efficient continuous-time … formulation. Furthermore, we introduce two optimality-based dominance rules for the continuous-time model, which are strengthened …

Persistent link: https://www.econbiz.de/10014505214

On Ramseyʼs conjecture

Mitra, Tapan; Sorger, Gerhard - In: Journal of Economic Theory 148 (2013) 5, pp. 1953-1976

derived for the continuous-time formulation of the model that was originally used by Ramsey, and they stand in stark contrast …

Persistent link: https://www.econbiz.de/10011043009

On Ramseyʼs conjecture

Mitra, Tapan; Sorger, Gerhard - In: Journal of economic theory 148 (2013) 5, pp. 1953-1976

Persistent link: https://www.econbiz.de/10010195589

A two-asset stochastic model for long-term portfolio selection

Kung, James J. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 10, pp. 3089-3098

In mean–variance (M–V) analysis, an investor with a holding period [0,T] operates in a two-dimensional space—one is the mean and the other is the variance. At time 0, he/she evaluates alternative portfolios based on their means and variances, and holds a combination of the market portfolio...

Persistent link: https://www.econbiz.de/10011051159