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Dynamic Optimization of Software Enhancement Effort

Kumar, Subodha; Ji, Yonghua; Yeh, Denny; Sethi, Suresh - 2013

As the competition in the software development business grows fiercer, the features provided in the software become … more and more important. With the growing popularity of open source software and the advent of new software delivery models …, such as software-as-a-service, the traditional software vendors cannot compete on price in the long run. Therefore, they …

Persistent link: https://www.econbiz.de/10014222947

Optimal migration and consumption policies over an individual's Random lifetime

Willassen, Yngve - 2014 - This version: January, 8, 2014

The aim of this study is to determine optimal migration policies for an individual of known age-dependent mortality who accumulates capital by compound interest and also by skill-dependent income. By a continuing choice of several environments, which vary in intrinsic preference and in the rates...

Persistent link: https://www.econbiz.de/10010230481

Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

An exercise on discrete-time intertemporal optimization

Natividad-Carlos, Fidelina Borja - 2013

This paper, using the different alternative methods of dynamic optimization (the Lagrange/Kuhn-Tucker (LKT) method, the substitution method, the Hamiltonian method, and the dynamic programming approach) derives the conditions that must be satisfied by the solution to the so-called Ramsey...

Persistent link: https://www.econbiz.de/10009768058

Approximate dynamic programming with postdecision states as a solution method for dynamic economic models

Hull, Isaiah - 2013

I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household's dynamic program in...

Persistent link: https://www.econbiz.de/10010202969

Valuation of multiple hyro reservoir storage systems in competitive electricity markets

Felix, Bastian Joachim; Weber, Christoph - 2014

Increasing renewable generation results in growing supply uncertainty. By now hydrostorages are the most efficient way of smoothing uncertain power supply. In liberalized and competitive markets the valuation of hydro storages investment projects needs to take the market information and...

Persistent link: https://www.econbiz.de/10010433265

Kemptner, Daniel - 2013

This paper proposes a dynamic life cycle model of health risks, employment, early retirement, and wealth accumulation in order to analyze the health-related risks of consumption and old age poverty. In particular, the model includes a health process, the interaction between health and employment...

Persistent link: https://www.econbiz.de/10010128218

Kemptner, Daniel - 2013

Persistent link: https://www.econbiz.de/10010189439

The introduction of disincentives for early retirement and its effect on labor market participation : conference paper

Kemptner, Daniel; Timm, Boenke; Holger, Luethen - 2014 - Preliminary draft

We evaluate the actual effectiveness of disincentives that have been introduced for early retirement in Germany. Therefore, we set up a detailed model of the German social security and tax system with special attention to the PAYG-pension system. Building on the fact that the institutional...

Persistent link: https://www.econbiz.de/10010486012

Adapting to climate change : an analysis under uncertainty

García-León, David - 2016

Climate change is a phenomenon beset with major uncertainties and researchers should include them in Integrated Assessment Models. However, including further dimensions in IAM models comes at a cost. In particular, it makes most of these models suffer from the curse of dimensionality. In this...

Persistent link: https://www.econbiz.de/10011451547