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Decision Making in Incomplete Markets with Ambiguity -- A Case Study of a Gas Field Acquisition
Zhao, Lin; Wijnbergen, Sweder van - Tinbergen Instituut - 2014
We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by...
Persistent link: https://www.econbiz.de/10011256690
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Investment, Expectations and Uncertainty: Empirical Evidence on the Relevance of Firm Size
Koetse, Mark J.; Vlist, Arno J. van der; Groot, Henri … - Tinbergen Institute - 2003
This paper analyses the effect of uncertainty on investment spending. We analyse two types of investment, i ….e. aggregate investment and investment in energy saving technologies, using subjective evaluations of expectations and uncertainty … of general investment spending. Furthermore, expectations and uncertainty have important although different effects on …
Persistent link: https://www.econbiz.de/10005450775
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Biodiversity Prospecting over Time and under Uncertainty: A Theory of Sorts
Batabyal, Amitrajeet A.; Nijkamp, Peter - Tinbergen Instituut - 2013
Biodiversity prospecting refers to the exploration of the commercial value of genetic and biochemical resources. In this chapter, we study a drug producing pharmaceutical firm (PF) that searches for potentially useful chemicals made by wild organisms in a conservation area. This PF is able to...
Persistent link: https://www.econbiz.de/10011256729
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Investment, Expectations and Uncertainty: Empirical Evidence on the Relevance of Firm Size
Koetse, Mark J.; Vlist, Arno J. van der; Groot, Henri … - Tinbergen Instituut - 2003
This paper analyses the effect of uncertainty on investment spending. We analyse twotypes of investment, i.e. aggregate … investment and investment in energy saving technologies,using subjective evaluations of expectations and uncertainty of Dutch … general investment spending. Furthermore, expectationsand uncertainty have important although different effects on investment …
Persistent link: https://www.econbiz.de/10011257051
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The Outflow Ranking Method for Weighted Directed Graphs
Brink, René van den; Gilles, Robert P. - Tinbergen Instituut
A ranking method assigns to every weighted directed graph a (weak) orderingof the nodes. In this paper we axiomatize the ranking method that ranksthe nodes according to their outflow using four independent axioms. This outflowranking method generalizes the ranking by outdegree for directed...
Persistent link: https://www.econbiz.de/10011255526
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The Outflow Ranking Method for Weighted Directed Graphs
Brink, René van den; Gilles, Robert P. - Tinbergen Institute
A ranking method assigns to every weighted directed graph a (weak) ordering
Persistent link: https://www.econbiz.de/10005144488
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Large Deviations without Principle: Join the Shortest Queue
Ridder, Ad; Shwartz, Adam - Tinbergen Institute - 2004
We develop a methodology for studying "large deviations type" questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a larg class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals are...
Persistent link: https://www.econbiz.de/10005144565
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Large Deviations Methods and the Join-the-Shortest-Queue Model
Ridder, Ad; Shwartz, Adam - Tinbergen Institute - 2005
We develop a methodology for studying ''large deviations type'' questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a larg class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals are...
Persistent link: https://www.econbiz.de/10005136883
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On the Optimal Policy for Deterministic and Exponential Polling Systems
Gaujal, Bruno; Hordijk, Arie; Laan, Dinard van der - Tinbergen Institute - 2005
In this paper, we consider deterministic (both fluid and discrete) polling systems with <I>N</I> queues with infinite buffers and we show how to compute the best polling sequence (minimizing the average total workload). With two queues, the best polling sequence is always periodic when the system is...</i>
Persistent link: https://www.econbiz.de/10005137254
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Finite-State Markov Chains obey Benford's Law
Kaynar, Bahar; Berger, Arno; Hill, Theodore P.; Ridder, Ad - Tinbergen Institute - 2010
A sequence of real numbers (<I>x<sub>n</sub></I>) is Benford if the significands, i.e. the fraction
Persistent link: https://www.econbiz.de/10008838552