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Sykes, Hollister B. - 2004

Black-Scholes is useful for valuing real options, but not in the way often used for new ventures. The use rests on an apparent analogy between real and stock options. Although conceptually helpful, a direct analogy is flawed for most real ventures. The most critical flaw is the assumption that...

Persistent link: https://www.econbiz.de/10012738442

On the Relevance of the Bayesian Approach to Statistics

Robert, Christian P. - In: Review of Economic Analysis 2 (2010) 2, pp. 139-152

In this essay, I argue about the relevance and the ultimate unity of the Bayesian approach in a neutral and agnostic manner. My main theme is that Bayesian data analysis is an effective tool for handling complex models, as proven by the increasing proportion of Bayesian studies in the applied...

Persistent link: https://www.econbiz.de/10008683492

Adjustable Robust Parameter Design with Unknown Distributions

Den Hertog, Dick; Kleijnen, Jack P.C.; Yanikoglu, I. - Tilburg University, Center for Economic Research - 2013

Abstract This article presents a novel combination of robust optimization developed in mathematical programming, and robust parameter design developed in statistical quality control. Robust parameter design uses metamodels estimated from experiments with both controllable and environmental...

Persistent link: https://www.econbiz.de/10011091050

Hints for practical robust optimization

Den Hertog, Dick; Gorissen, B.L.; Yanikoglu, I. - Tilburg University, Center for Economic Research - 2013

Abstract: Robust optimization (RO) is a young and active research field that has been mainly developed in the last 15 years. RO techniques are very useful for practice and not difficult to understand for practitioners. It is therefore remarkable that real-life applications of RO are still...

Persistent link: https://www.econbiz.de/10011091982

Adjustable Robust Optimizations with Decision Rules Based on Inexact Revealed Data

Brekelmans, Ruud; Den Hertog, Dick; de Ruiter, F.J.C.T.; … - Tilburg University, Center for Economic Research - 2014

Abstract: Adjustable robust optimization (ARO) is a technique to solve dynamic (multistage) optimization problems. In ARO, the decision in each stage is a function of the information accumulated from the previous periods on the values of the uncertain parameters. This information, however, is...

Persistent link: https://www.econbiz.de/10011092090

Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality

Winschel, Viktor - EconWPA - 2005

A welfare analysis of a risky policy is impossible within a linear or linearized model and its certainty equivalence property. The presented algorithms are designed as a toolbox for a general model class. The computational challenges are considerable and I concentrate on the numerics and...

Persistent link: https://www.econbiz.de/10005556708

Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models

Kasahara, Hiroyuki; Shimotsu, Katsumi - University of Western Ontario, Department of Economics - 2006

This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...

Persistent link: https://www.econbiz.de/10005515517

Impact of Pricing Schemes on a Market for Software-as-a-Service and Perpetual Software

Rohitratana, Juthasit; Altmann, Jorn - Technology Management, Economics and Policy Program … - 2012

In this paper, we present an agent-based simulation system that allows modeling the interactions between software buyers and vendors in a software market. The market offers Software-as-a-Service (SaaS) and perpetual software (PS) licenses under different pricing schemes. Four dynamic pricing...

Persistent link: https://www.econbiz.de/10010837124

A Fresh Look at Investment Performance Evaluation : Unifying Best Practices to Improve Timeliness and Reliability

Surz, Ron - 2009

It's time for a fresh look, a new perspective, on investment performance evaluation, because performance evaluation is conducted much the same way today as it was 30 years ago. While peer groups and indexes have painted fuzzy evaluative pictures, a modern-day application of classical statistics...

Persistent link: https://www.econbiz.de/10012767280

Comparative Aversion to Vector-Valued Risks

Shah, Sudhir A. - 2013

The classical theory of comparative risk aversion shows the equivalence of various criteria for comparing the aversion … of cardinal preferences to risks with real outcomes. Parts of this theory have been extended to outcomes in Euclidean … spaces. We complete, unify and generalize this theory. Our general equivalence result admits outcomes in locally convex …

Persistent link: https://www.econbiz.de/10012711063

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