Search Results - subject:"Taylor series expansion"

An analytical solution for the robust investment-reinsurance strategy with general utilities

He, Yong; Zhou, Xia; Chen, Peimin; Wang, Xiaoyang - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014225734

Reformulating prospect theory to become a von Neumann-Morgenstern theory

Francis, Jack Clark - In: Review of quantitative finance and accounting 56 (2021) 3, pp. 965-985

Persistent link: https://www.econbiz.de/10012498612

Approximate analytic solution for Asian options with stochastic volatility

Lin, Chung-Gee; Chang, Chia-Chang - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012667176

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-7

In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The …

Persistent link: https://www.econbiz.de/10011559141

An iterative method for forecasting most probable point of stochastic demand

Behnamian, J.; Ghomi, S.M.T. Fatemi; Karimi, B.; … - In: Journal of Industrial Engineering International 10 (2014), pp. 1-9

The demand forecasting is essential for all production and non-production systems. However, nowadays there are only few researches on this area. Most of researches somehow benefited from simulation in the conditions of demand uncertainty. But this paper presents an iterative method to find most...

Persistent link: https://www.econbiz.de/10011640811

An iterative method for forecasting most probable point of stochastic demand

Behnamian, J.; Fatemi Ghomi, S. M. T.; Karimi, B.; … - In: Journal of industrial engineering international 10 (2014), pp. 1-9

Persistent link: https://www.econbiz.de/10011556537

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7

In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The …

Persistent link: https://www.econbiz.de/10010490408

Evaluating investments using higher moments

Diro Ejara, Demissew - In: Modern economy 7 (2016) 3, pp. 320-326

Persistent link: https://www.econbiz.de/10011548758

High-order Taylor series expansion methods for error propagation in geographic information systems

Xue, Jie; Leung, Yee; Ma, Jiang-Hong - In: Journal of Geographical Systems 17 (2015) 2, pp. 187-206

outputs. Monte Carlo simulation, moment design and Taylor series expansion have been employed to study error propagation over … the years. Among them, first-order Taylor series expansion is popular because error propagation can be analytically … studied. Because most operations in GIS are nonlinear, first-order Taylor series expansion generally cannot meet practical …

Persistent link: https://www.econbiz.de/10011242083

Series Expansions for Finite-State Markov Chains

Heidergott, Bernd; Hordijk, Arie; van Uitert, Miranda - 2005

This paper provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm.

Persistent link: https://www.econbiz.de/10010325224