Search Results - subject:"Optimization problems"

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Becker, Marcus; Löffler, Andreas - In: Review of Managerial Science 18 (2024) 12, pp. 3487-3514

Incorporating a progressive income tax into an economic decision problem raises the question whether this tax does not create arbitrage opportunities. We investigate this problem in a riskless (multi-period) economy. With a convex tax function we identify a particular kind of arbitrage (called...

Persistent link: https://www.econbiz.de/10015375787

Lower Stackelberg equilibria : from bilevel optimization to Stackelberg games

Caruso, Francesco; Ceparano, Maria Carmela; Morgan, … - 2024

Persistent link: https://www.econbiz.de/10014631691

Menu auctions under asymmetric information

Martimort, David; Stole, Lars A. - 2024

Persistent link: https://www.econbiz.de/10015123617

Arbitrage and non-linear taxes

Becker, Marcus; Löffler, Andreas - 2024

Persistent link: https://www.econbiz.de/10015135887

A space–time variational method for optimal control problems: well-posedness, stability and numerical solution

Beranek, Nina; Reinhold, Martin Alexander; Urban, Karsten - In: Computational Optimization and Applications 86 (2023) 2, pp. 767-794

We consider an optimal control problem constrained by a parabolic partial differential equation with Robin boundary conditions. We use a space–time variational formulation in Lebesgue–Bochner spaces yielding a boundedly invertible solution operator. The abstract formulation of the optimal...

Persistent link: https://www.econbiz.de/10015210607

Some classical directional derivatives and their use in optimization

Giorgi, Giorgio - 2021

Persistent link: https://www.econbiz.de/10012887638

Arbitrage and nonlinear tax scales

Becker, Marcus; Löffler, Andreas - 2016

We look at the theory of arbitrage with taxation under certainty. The tax scale in our model is not linear. Under the premise that tax scale is convex, we analyze prices that do not exhibit arbitrage opportunities. It turns out that there are two kinds of arbitrage: unbounded as well as bounded...

Persistent link: https://www.econbiz.de/10011450858

Arbitrage and nonlinear tax scales

Becker, Marcus; Löffler, Andreas - 2016 - 12. April 2016 (first draft)

Persistent link: https://www.econbiz.de/10011450302

Effectively tackling reinsurance problems by using evolutionary and swarm intelligence algorithms

Salcedo-Sanz, Sancho; Carro-Calvo, Leo; Claramunt, Mercè; … - In: Risks 2 (2014) 2, pp. 132-145

This paper is focused on solving different hard optimization problems that arise in the field of insurance and, more … the reinsurance rules and conditions produces hard black-box optimization problems (problems in which the objective … and particle swarm optimization). We provide an analysis in three black-box optimization problems in reinsurance, where …

Persistent link: https://www.econbiz.de/10010421272

Représentations discrètes de l'ensemble des points non dominés pour des problèmes d'optimisation multi-objectifs

Jamain, Florian - Université Paris-Dauphine (Paris IX) - 2014

-objective optimization problems.First, we try to give some insight on this intractability by determining an, easily computable, upper bound …-objective optimization problems. These representations must satisfy some conditions of coverage, i.e. providing a good approximation …

Persistent link: https://www.econbiz.de/10011074634