Search Results - subject:"Dynamic programming"

Un modelo microeconómico estocástico del comportamiento de una jefa de familia como único participante en el ingreso familiar : el caso mexicano, 2005-2016

Dominguez-Gijón, Rosa María; Venegas-Martínez, Francisco - In: Economía teoría y práctica 49 (2018), pp. 119-142

Persistent link: https://www.econbiz.de/10012203085

Portfolio Optimization with DARA Stochastic Dominance Constraints

Kopa, Milos - 2018

An optimization method is developed for constructing investment portfolios which stochastically dominate a given benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data sets of historical returns of equity price reversal...

Persistent link: https://www.econbiz.de/10012932280

Dynamic Portfolio Optimization with Liquidity Cost and Market Impact : A Simulation-and-Regression Approach

Zhang, Rongju - 2018

We present a simulation-and-regression method for solving dynamic portfolio optimization problems in the presence of general transaction costs, liquidity costs and market impact. This method extends the classical least squares Monte Carlo algorithm to incorporate switching costs, corresponding...

Persistent link: https://www.econbiz.de/10012936715

A Nonlinear Certainty Equivalent Approximation Method for Dynamic Stochastic Problems

Cai, Yongyang - 2018

This paper introduces a nonlinear certainty equivalent approximation method for dynamic stochastic problems. We first use a novel, stable and efficient method for computing the optimal policy functions for deterministic dynamic optimization problems, and then use them as certainty-equivalent...

Persistent link: https://www.econbiz.de/10012936887

An HJB Approach to a General Continuous-Time Mean-Variance Stochastic Control Problem

Aivaliotis, Georgios - 2018

We consider a general continuous mean-variance problem where the cost functional has an integral and a terminal-time component. We transform the problem into a superposition of a static and a dynamic optimization problem. The value function of the latter can be considered as the solution to a...

Persistent link: https://www.econbiz.de/10012937129

Optimizing Conditional Value-at-Risk in Dynamic Pricing

Gönsch, Jochen - 2018

Many industries use dynamic pricing on an operational level to maximize revenue from selling a fixed capacity over a finite horizon. Classical risk-neutral approaches do not accommodate the risk aversion often encountered in practice. We add to the scarce literature on risk aversion by...

Persistent link: https://www.econbiz.de/10012926535

Dynamic Programming Decomposition for Choice-Based Revenue Management with Flexible Products

Koch, Sebastian; Gönsch, Jochen; Steinhardt, Claudius - 2018

and solve the resulting one-dimensional problems. However, up to now, these dynamic programming decomposition approaches … revenue management with flexible products and customer choice in a dynamic programming environment. In particular, we propose … dynamic program with a resource-based state space. This reformulation renders the application of dynamic programming …

Persistent link: https://www.econbiz.de/10014036820

Inpatient Overflow : An Approximate Dynamic Programming Approach

Dai, J.; Shi, Pengyi - 2018

formulated MDP, we resort to approximate dynamic programming (ADP). A critical part in designing an ADP algorithm is to choose …

Persistent link: https://www.econbiz.de/10014122695

An exercise on discrete-time intertemporal optimization

Natividad-Carlos, Fidelina Borja - 2013

substitution method, the Hamiltonian method, and the dynamic programming approach) derives the conditions that must be satisfied by …

Persistent link: https://www.econbiz.de/10009768058

Approximate dynamic programming with postdecision states as a solution method for dynamic economic models

Hull, Isaiah - 2013

I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household's dynamic program in...

Persistent link: https://www.econbiz.de/10010202969