Search Results - subject:"STochastic process"

Real option valuation of an emerging renewable technology design in wave energy conversion

DiLellio, James A.; Butler, John C.; Rizaev, Igor; … - In: Econometrics : open access journal 13 (2025) 1, pp. 1-18

models the uncertainty as a risk-neutral stochastic process using chance nodes. We also show how our results are analogous to … probabilistic results are subject to the ongoing evolution of wholesale electricity prices and the stochastic process models used …

Persistent link: https://www.econbiz.de/10015408163

The effect of spot price control on the future electricity supply

Barrientos, Jorge Hugo; Hoyos, Santiago; Alviar, Mauricio - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 3, pp. 114-119

Persistent link: https://www.econbiz.de/10015425671

Modeling financial leasing by optimal stopping approach

De Cesare, Luigi; Cananà, Lucianna; Ciano, Tiziana; … - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 199-213

Persistent link: https://www.econbiz.de/10015044798

A hybrid biobjective Markov chain based optimization model for sustainable aggregate production planning

Tirkolaee, Erfan Babaee; Aydın, Nadi Serhan; Mahdavi, Iraj - In: IEEE transactions on engineering management : EM ; a … 71 (2024), pp. 4273-4283

Persistent link: https://www.econbiz.de/10015407828

Adaptive decision-making strategy for supply chain systems under stochastic disruptions

Roi, Ho Van; You, Sam-Sang; Duy Anh Nguyen; Kim, Hwan-Seong - In: LogForum : elektroniczne czasopismo naukowe z dziedziny … 19 (2023) 3, pp. 497-514

Persistent link: https://www.econbiz.de/10014450257

Identifying the underlying components of high-frequency data : pure vs jump diffusion processes

Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025

Persistent link: https://www.econbiz.de/10015191535

Freidlin-Wentzell type exit-time estimates for time-inhomogeneous diffusions and their applications

Aleksian, Ashot; Villeneuve, Stéphane - 2025

Persistent link: https://www.econbiz.de/10015192337

Introducing shrinkage in heavy-tailed state space models to predict equity excess returns

Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 535-553

Persistent link: https://www.econbiz.de/10015193830

Sparse spanning portfolios and under-diversification with second-order stochastic dominance

Arvanitis, Stelios - 2025

We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order stochastic spanning based on a greedy algorithm and Linear...

Persistent link: https://www.econbiz.de/10015194210

Norm constrained empirical portfolio optimization with stochastic dominance : robust optimization non-asymptotics

Arvanitis, Stelios - 2025

The present note provides an initial theoretical explanation of the way norm regularizations may provide a means of controlling the non-asymptotic probability of False Dominance classification for empirically optimal portfolios satisfying empirical Stochastic Dominance restrictions in an iid...

Persistent link: https://www.econbiz.de/10015194229