Search Results - subject:"value function"

Bi-parametric optimal partition invariancy sensitivity analysis in linear optimization

Ghaffari-Hadigheh, Alireza; Ghaffari-Hadigheh, Habib; … - In: Central European Journal of Operations Research 16 (2008) 2, pp. 215-238

Persistent link: https://www.econbiz.de/10008515656

Thou shalt buy and hold

Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu - In: Quantitative Finance 8 (2008) 8, pp. 765-776

An investor holding a stock needs to decide when to sell it over a given investment horizon. It is tempting to think that she should sell at the maximum price over the entire horizon, which is however impossible to achieve. A close yet realistic goal is to sell the stock at a time when the...

Persistent link: https://www.econbiz.de/10005495745

An envelope theorem and some applications to discounted Markov decision processes

Cruz-Suárez, Hugo; Montes-de-Oca, Raúl - In: Mathematical Methods of Operations Research 67 (2008) 2, pp. 299-321

system, the value function and the optimal policy of the problem are differentiable with respect to the state of the system …

Persistent link: https://www.econbiz.de/10010999686

An envelope theorem and some applications to discounted Markov decision processes

Cruz-Suárez, Hugo; Montes-de-Oca, Raúl - In: Computational Statistics 67 (2008) 2, pp. 299-321

system, the value function and the optimal policy of the problem are differentiable with respect to the state of the system …

Persistent link: https://www.econbiz.de/10010759282

Teorie očekávaného užitku versus kumulativní prospektová teorie: empirický pohled (available in Czech only)

Skořepa, Michal - In: Czech Economic Review 1 (2007) 2, pp. 180-195

This paper pits expected utility theory and cumulative prospect theory against each other as regards their descriptive accuracy. Some older as well as newer pieces of evidence are described which show that under certain circumstances, expected utility theory is not descriptively valid. The most...

Persistent link: https://www.econbiz.de/10005698647

Poptávková funkce na trhu s pojištěním: porovnání maximalizace paretovské pravděpodobnosti přežití s teorií EUT von Neumanna a Morgensterna a s prospektovou teorií Kahnemana a Tverského (available in Czech only)

Hlavacek, Jiri; Hlaváček, Michal - In: Czech Economic Review 1 (2007) 2, pp. 116-134

other models: the expected-utility theory (von Neumann, Morgenstern) and the asymmetric value function (Kahneman, Tversky …

Persistent link: https://www.econbiz.de/10005698651

A Closed-form Solution of the Uzawa-Lucas Model of Endogenous Growth

Bethmann, Dirk - In: Journal of Economics 90 (2007) 1, pp. 87-107

Persistent link: https://www.econbiz.de/10005810114

Ranking and selection of power expansion alternatives for multiple objectives under uncertainty

Heinrich, G.; Basson, L.; Cohen, B.; Howells, M.; Petrie, J. - In: Energy 32 (2007) 12, pp. 2350-2369

supply industry. This methodology uses a value function MCDA approach that is augmented with scenario analysis to yield …

Persistent link: https://www.econbiz.de/10010809705

Bias and Variance Approximation in Value Function Estimates

Mannor, Shie; Simester, Duncan; Sun, Peng; Tsitsiklis, … - In: Management Science 53 (2007) 2, pp. 308-322

bias and variance in the value function estimates that result from empirical estimates of the model parameters. We provide … closed-form approximations for the bias and variance, which can then be used to derive confidence intervals around the value … function estimates. We illustrate and validate our findings using a large database describing the transaction and mailing …

Persistent link: https://www.econbiz.de/10009209247

A non-extensive statistical mechanical approach to define the equilibrium value function in the kinetics of voltage-gated ion channels

Erdem, Rıza - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 417-424

using the non-extensive or generalized statistical mechanics. The equilibrium value function in the gating kinetics of …

Persistent link: https://www.econbiz.de/10011061532