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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

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

Approximate results for a generalized secretary problem

Dietz, Chris; Laan, Dinard van der; Ridder, Ad - 2010

A version of the classical secretary problem is studied, in which one is interested in selecting one of the b best out of a group of n differently ranked persons who are presented one by one in a random order. It is assumed that b is bigger than or equal to 1 is a preassigned number. It is...

Persistent link: https://www.econbiz.de/10011381898

The Italian pension gap : a stochastic optimal control approach

Milazzo, Alessandro; Vigna, Elena - In: Risks : open access journal 6 (2018) 2, pp. 1-20

We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is...

Persistent link: https://www.econbiz.de/10011866511

The endogenous grid method without analytical inverse marginal utility

Hallengreen, Adam; Jørgensen, Thomas H.; Olesen, … - 2024

The computational time required to solve and estimate dynamic economic models is one of the main constraints in empirical research. The Endogenous Grid Method (EGM) proposed by Carroll (2006) is known to offer impressive speed gains over more traditional stochastic dynamic programming methods,...

Persistent link: https://www.econbiz.de/10014529535

How to solve dynamic stochastic models computing expectations just once

Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - In: Quantitative economics : QE ; journal of the … 8 (2017) 3, pp. 851-893

We introduce a computational technique- precomputation of integrals - that makes it possible to construct conditional expectation functions in dynamic stochastic models in the initial stage of a solution procedure. This technique is very general: it works for a broad class of approximating...

Persistent link: https://www.econbiz.de/10011801654

Dynamic Programming on a Quantum Annealer : Solving the RBC Model

Fernández-Villaverde, Jesús; Hull, Isaiah - 2023

We introduce a novel approach to solving dynamic programming problems, such as those in many economic models, on a quantum annealer, a specialized device that performs combinatorial optimization. Quantum annealers attempt to solve an NP-hard problem by starting in a quantum superposition of all...

Persistent link: https://www.econbiz.de/10014347831