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Debo, Laurens G.; Parlour, Christine; Rajan, Uday - In: Management Science 58 (2012) 5, pp. 876-891

below and above the hole, but not at the hole itself. We show that if the prior probability the product has high quality and …

Persistent link: https://www.econbiz.de/10010990527

Monte Carlo Algorithms for Default Timing Problems

Giesecke, Kay; Kim, Baeho; Zhu, Shilin - In: Management Science 57 (2011) 12, pp. 2115-2129

Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing computations in these models. This paper develops,...

Persistent link: https://www.econbiz.de/10010990537

A Case-Based Model of Probability and Pricing Judgments: Biases in Buying and Selling Uncertainty

Brenner, Lyle A.; Griffin, Dale W.; Koehler, Derek J. - In: Management Science 58 (2012) 1, pp. 159-178

We integrate a case-based model of probability judgment with prospect theory to explore asset pricing under uncertainty …. Research within the "heuristics and biases" tradition suggests that probability judgments respond primarily to case … framework's predictions, distinct patterns of miscalibration are found for buying prices, selling prices, and probability …

Persistent link: https://www.econbiz.de/10010990558

Contingent Capital with a Capital-Ratio Trigger

Glasserman, Paul; Nouri, Behzad - In: Management Science 58 (2012) 10, pp. 1816-1833

Contingent capital in the form of debt that converts to equity when a bank faces financial distress has been proposed as a mechanism to enhance financial stability and avoid costly government rescues. Specific proposals vary in their choice of conversion trigger and conversion mechanism. We...

Persistent link: https://www.econbiz.de/10010990568

Sequential Sampling with Economics of Selection Procedures

Chick, Stephen E.; Frazier, Peter - In: Management Science 58 (2012) 3, pp. 550-569

Sequential sampling problems arise in stochastic simulation and many other applications. Sampling is used to infer the unknown performance of several alternatives before one alternative is selected as best. This paper presents new economically motivated fully sequential sampling procedures to...

Persistent link: https://www.econbiz.de/10010990579

Affine General Equilibrium Models

Eraker, Bjørn - In: Management Science 54 (2008) 12, pp. 2068-2080

No-arbitrage models are extremely flexible modelling tools but often lack economic motivation. This paper describes an equilibrium consumption-based CAPM framework based on Epstein-Zin preferences, which produces analytic pricing formulas for stocks and bonds under the assumption that macro...

Persistent link: https://www.econbiz.de/10009191102

Probability Models in Medicine and Biology: Avenues for Their Validation for Humans in Real Life

Neyman, Jerzy - In: Management Science 25 (1979) 10, pp. 931-938

This paper represents the text of a lecture invited by The Institute of Management Sciences (TIMS). In nontechnical terms it explains certain pitfalls involved in real life public health studies concerned with exposures to low-level irradiation. Two particular recently-announced studies are...

Persistent link: https://www.econbiz.de/10009191203

Technical Note--Exact Distribution of Visiting Rates

Nadarajah, Saralees; Kotz, Samuel - In: Management Science 54 (2008) 4, pp. 860-862

The exact distribution of visiting rates does not appear to be widely known in the marketing literature. Here, analytical expressions are derived for the exact distribution, and their performance is compared with some known approximation. Some computer programs are provided for practical use.

Persistent link: https://www.econbiz.de/10009191242

Notes: The "Gambler's Fallacy" in Lottery Play

Clotfelter, Charles T.; Cook, Philip J. - In: Management Science 39 (1993) 12, pp. 1521-1525

The "gambler's fallacy" is the belief that the probability of an event is lowered when that event has recently occurred …, even though the probability of the event is objectively known to be independent from one trial to the next. This paper …

Persistent link: https://www.econbiz.de/10009192003

An Inventory Model Embedded in Designing a Supply Contract

Henig, Mordechai; Gerchak, Yigal; Ernst, Ricardo; Pyke, … - In: Management Science 43 (1997) 2, pp. 184-189

To reduce lead-time and its variability, modern supply and transportation contracts often specify the frequency of, and volume available for, future deliveries in advance even when final demand is somewhat uncertain (Yano and Gerchak [Yano, C. A., Y. Gerchak. 1989. Transportation contracts and...

Persistent link: https://www.econbiz.de/10009197417