Search Results - subject:"Stochastic Dynamic Programming"

Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase

He, Lin; Liang, Zongxia - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 404-410

establish the optimal dynamic asset allocation strategy by stochastic dynamic programming method. We obtain the optimal dynamic …

Persistent link: https://www.econbiz.de/10010662450

Upper and lower bounds for convex value functions of derivative contracts

Ben-Ameur, Hatem; de Frutos, Javier; Fakhfakh, Tarek; … - In: Economic Modelling 34 (2013) C, pp. 69-75

The aim of this paper is to compute upper and lower bounds for convex value functions of derivative contracts. Laprise et al. (2006) compute bounds for American-style vanilla options by selected portfolios of call options. We provide an alternative interpretation of their numerical procedure as...

Persistent link: https://www.econbiz.de/10010709347

Optimal production and admission control for a stochastic SOM system with demands for product and PSS

Wang, Kangzhou; Jiang, Zhibin; Li, Na; Geng, Na - In: International journal of production research 51 (2013) 23/24, pp. 7270-7288

Persistent link: https://www.econbiz.de/10010229337

A two-phase multi criteria dynamic programming approach for personnel selection process

Özdemir, Asli - In: Problems and perspectives in management : PPM ; … 11 (2013) 2, pp. 98-108

Persistent link: https://www.econbiz.de/10010209763

Optimal production control policy in unreliable batch processing manufacturing systems with transportation delay

Bouslah, B.; Gharbi, A.; Pellerin, R.; Hajji, A. - In: International journal of production research 51 (2013) 1, pp. 264-280

Persistent link: https://www.econbiz.de/10009700307

Expected future value decomposition based bid price generation for large-scale network revenue management

Escudero, Laureano F.; Monge, Juan F.; Romero Morales, … - In: Transportation science : a journal of the Institute for … 47 (2013) 2, pp. 181-197

Persistent link: https://www.econbiz.de/10009751570

Upper and lower bounds for convex value functions of derivative contracts

Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75

Persistent link: https://www.econbiz.de/10010360612

Integrated joint pest management strategies in the presence of control spillovers

Yigezu, Yigezu A.; Alexander, Corinne; Preckel, Paul V.; … - In: European review of agricultural economics : ERAE 40 (2013) 5, pp. 785-805

Persistent link: https://www.econbiz.de/10010341040

The farm level impacts of water sharing plans in the Namoi Valley: A stochastic dynamic programming analysis

Aluwihare, Parakrama B.; Jones, Randall E.; Letcher, … - Australian Agricultural and Resource Economics Society … - 2005

modelling framework, based on stochastic dynamic programming linked to hydrological and biophysical models, to assess the farm …

Persistent link: https://www.econbiz.de/10011098009

Supply-Based Dynamic Ramsey Pricing with Two Sectors: Avoiding Water Shortages

Saglam, Yigit - Victoria Business School, Victoria University of Wellington - 2012

In many countries current water-pricing policies are dictated by the sole objective of breaking-even in each period. This results in large withdrawals which are not sustainable in the long-run hence not optimal. In this paper I derive the optimal dynamic water resource management policy of a...

Persistent link: https://www.econbiz.de/10011196497