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Recursive utility using the stochastic maximum principle
Aase, Knut K. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 859-887
rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to …
Persistent link: https://www.econbiz.de/10011800871
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Risk-Adjusted Linearizations of Dynamic Equilibrium Models
Lopez, Pierlauro - 2018
-Cochrane habits, recursive preferences, and time-varying disaster risk. The proposed affine approximation performs similarly to global …We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and … non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature …
Persistent link: https://www.econbiz.de/10012906892
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Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization
Burgess, Nicholas - 2021
In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
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Risk-Adjusted Linearizations of Dynamic Equilibrium Models
Lopez, Pierlauro - 2018
-Cochrane habits, recursive preferences, and time-varying disaster risk. The proposed affine approximation performs similarly to global …We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and … non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature …
Persistent link: https://www.econbiz.de/10012937173
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Optimal disaster-preventive expenditure in a dynamic and stochastic model
Motoyama, Takumi - In: Journal of macroeconomics 51 (2017), pp. 28-47
Persistent link: https://www.econbiz.de/10011752347
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Recursive utility using the stochastic maximum principle
Aase, Knut K. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 859-887
Persistent link: https://www.econbiz.de/10011793548
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Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty
Alkhaleel, Basem A.; Liao, Haitao; Sullivan, Kelly M. - In: European journal of operational research : EJOR 296 (2022) 1, pp. 174-202
Persistent link: https://www.econbiz.de/10012820155
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Risk-averse optimization of disaster relief facility location and vehicle routing under stochastic demand
Zhong, Shaopeng; Cheng, Rong; Jiang, Yu; Wang, Zhong; … - In: Transportation research / E : an international journal 141 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012299577
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A risk-averse stochastic optimization model for community resilience planning
Faiz, Tasnim Ibn; Harrison, Kenneth W. - In: Socio-economic planning sciences : the international … 92 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10014529150
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A two-stage chance constrained stochastic programming model for emergency supply distribution considering dynamic uncertainty
Meng, Lingpeng; Wang, Xudong; He, Junliang; Han, Chuanfeng - In: Transportation research / E : an international journal 179 (2023), pp. 1-29
Persistent link: https://www.econbiz.de/10014487482