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Income drawdown option with minimum guarantee

Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European Journal of Operational Research 234 (2014) 3, pp. 610-624

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.

Persistent link: https://www.econbiz.de/10010738169

On the feedback solutions of differential oligopoly games with hyperbolic demand curve and capacity accumulation

Lambertini, Luca; Palestini, Arsen - In: European Journal of Operational Research 236 (2014) 1, pp. 272-281

To safeguard analytical tractability and the concavity of objective functions, the vast majority of models belonging to oligopoly theory relies on the restrictive assumption of linear demand functions. Here we lay out the analytical solution of a differential Cournot game with hyperbolic inverse...

Persistent link: https://www.econbiz.de/10011052551

Multistage optimization of option portfolio using higher order coherent risk measures

Matmoura, Yassine; Penev, Spiridon - In: European Journal of Operational Research 227 (2013) 1, pp. 190-198

Choosing a suitable risk measure to optimize an option portfolio’s performance represents a significant challenge. This paper is concerned with illustrating the advantages of Higher order coherent risk measures to evaluate option risk’s evolution. It discusses the detailed implementation of...

Persistent link: https://www.econbiz.de/10010608496

Flows over time in time-varying networks: Optimality conditions and strong duality

Koch, Ronald; Nasrabadi, Ebrahim - In: European Journal of Operational Research 237 (2014) 2, pp. 580-589

condition, and a strong duality result for a very general class of network flows over time. …

Persistent link: https://www.econbiz.de/10011097681

Aggregation of scale efficiency

Zelenyuk, Valentin - In: European Journal of Operational Research 240 (2015) 1, pp. 269-277

In this article we generalize the aggregation theory in efficiency and productivity analysis by deriving solutions to the problem of aggregation of individual scale efficiency measures, primal and dual, into aggregate primal and dual scale efficiency measures of a group (e.g., industry). The new...

Persistent link: https://www.econbiz.de/10011097775

Common mistakes in computing the nucleolus

Guajardo, Mario; Jörnsten, Kurt - In: European Journal of Operational Research 241 (2015) 3, pp. 931-935

Despite linear programming and duality have correctly been incorporated in algorithms to compute the nucleolus, we have … have multiple optimal solutions and neglecting the relevance of duality appear to be crucial sources of mistakes in … purpose of this note is to prevent these mistakes propagate longer by clarifying how linear programming and duality can be …

Persistent link: https://www.econbiz.de/10011117464