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We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...
Persistent link: https://www.econbiz.de/10011403561
In this paper methods of mixing decision rules are investigated and applied to the so-called multiple job type assignment problem with specialized servers which is modeled as continuous time Markov decision process. Performance optimization is difficult for this assignment problem, but...
Persistent link: https://www.econbiz.de/10011403564
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded returns on a...
Persistent link: https://www.econbiz.de/10011403579
Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10010324403
We consider a model for a serial supply chain in which production, inventory, and transportation decisions are integrated, in the presence of production capacities and for different transportation cost functions. The model we study is a generalization of the traditional single-item economic...
Persistent link: https://www.econbiz.de/10010324804
In linear-quadratic control (LQC) problems with singular control cost matrix and/or singular transition matrix, we derive a reduction of the dimension of the Riccati matrix, simplifying iteration and solution. Employing a novel transformation, we show that, under a certain rank condition, the...
Persistent link: https://www.econbiz.de/10010324881
In a recent paper, Fisher et al. (2001) present a method tomitigate end-effects in lot sizing by including a valuation term for end-of-horizon inventory in the objective function of the short-horizon model. Computational tests show that the proposed method outperforms the Wagner-Whitin algorithm...
Persistent link: https://www.econbiz.de/10010324957
It is well known that an upper semi-continuous compact- and convex-valued mapping fi from a nonempty compact and convex set X to the Euclidean space of which X is a subset has at least one stationary point, being a point in X at which the image fi(x) has a nonempty intersection with the normal...
Persistent link: https://www.econbiz.de/10010324999
This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...
Persistent link: https://www.econbiz.de/10010325181
AbstractSee document.
Persistent link: https://www.econbiz.de/10010325312