The goal of this research is to present an uncertain multi-period portfolio management (UMPPM) model in the context of fuzzy uncertainty. Accordingly, three objectives including terminal wealth, risk, and liquidity as well as realistic constraints such as budget constraint and cardinality...

We provide results for an efficient analytical valuation of partial moments of the multivariate Gaussian distribution over convex polyhedrons to aid the solution, sensitivity analysis and structural analysis of a large number of two-stage resource acquisition and allocation problems. These...

How should a decision-maker allocate R&D funds when a group of experts provides divergent estimates on a technology's potential effectiveness? To address this question, we propose a simple decision-theoretic framework that takes into account ambiguity over the aggregation of expert opinion and a...

We derive a general formula for the time decay, theta, for out-of-the-money European options on stocks and bonds at expiry, in terms of the density of jumps and payoff. Explicit formulas are derived for the standard put and call options, exchange options in stochastic volatility and local...

In a continuous-time framework we study the technology and investment choice problem of a continuous co-digestion biogas plant dealing with randomly fluctuating relative convenience of input factor costs. Input factors enter into the productive process together mixed according to a given initial...

This paper argues that constraining people to choose consumption and labor under finite Shannon capacity produces results in line with U.S. business cycle data as well as secular movements in consumption and labor supply. The model has simple partial equilibrium setting in which risk averse...

In this paper, we use stochastic dynamic programming to model the choice of a municipality which has to design an optimal waste management program under uncertainty about the price of recyclables in the secondary market. The municipality can, by undertaking an irreversible investment, adopt a...

This paper makes use of perturbation theory to solve analytically a class of robust control problems implied by Anderson, Hansen and Sargent (2000) (AHS (2000)) model of a preference for robustness. For the constant opportunity set model, we provide (i) asymptotic expressions that characterize...