This paper analyzes the asset allocation problem of an investor who can invest in equity and cash when there is time variation in expected returns on the equity. The solution methodology is multistage stochastic asset allocation problem with decision rules. The uncertainty is modeled using...

Portfolio optimization context has shed only a little light on the dependence structure among the financial returns along with the fat-tailed distribution associated with them. This study tries to find a remedy for this shortcoming by exploiting stable distributions as the marginal distributions...

This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. The heuristic is then tested on a simple portfolio-selection model, and...

Bounded rationality and, more specifically, satisficing in game playing assumes choosing strategies by anticipating their likely consequences. Unlike orthodox game theory, one does not require optimality and rational expectations but views satisficing as a reasoning process with several possible...

In models of decision making under uncertainty, one typically has to approximate the uncertainties by a limited number of discrete outcomes. Høyland and Wallace (2001) formulate a nonlinear programming problem to generate such a limited number of discrete outcomes while satisfying specified...

For electricity market participants trading in sequential markets with differences in price levels and risk exposure, it is relevant to analyze the potential of coordinated bidding. We consider a Nordic power producer who engages in the day-ahead spot market and the hour-ahead balancing market....

In models of decision making under uncertainty we often are faced with the problem of representing the uncertainties in a form suitable for quantitative models. If the uncertainties are expressed in terms of multivariate continuous distributions, or a discrete distribution with far too many...

This paper addresses the shipment planning problem with random processing times in intermodal logistics via transfer ports. Shipment activities are divided into two groups according to regional settings. Activity processing times in region A are assumed to be random while those in region B are...

In this paper we present an agent-based model of a human population, designed to illustrate the potential synergies between demography and agent-based social simulation. In the modelling process, we take advantage of the perspectives of both disciplines: demography being more focused on matching...