Real Options for Project Schedules (ROPS) has three recursive sampling/optimization shells. An outer Adaptive Simulated Annealing (ASA) optimization shell optimizes parameters of strategic Plans containing multiple Projects containing ordered Tasks. A middle shell samples probability...

This paper provides an alternative behavioral foundation for an investor's use of power utility in the objective function and its particular risk aversion parameter. The foundation is grounded in an investor's desire to minimize the objective probability that the growth rate of invested wealth...

This paper provides an alternative behavioral foundation for an investor's use of power utility in the objective function and its particular risk aversion parameter. The foundation is grounded in an investor's desire to minimize the objective probability that the growth rate of invested wealth...

We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization...

An Enterprice Resource Planning (ERP) system makes possible an integrated enterprise system to automate the flow of material, information, and financial resources among all functions within an enterprise on a common database. While appropriate ERP selection can create competitive advantage for...

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...

The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and which have been recognized by them. The capital of the...

Bu çalışma, 1990-2004 döneminde hayat-dışı alanlarda faaliyet gösteren Türk sigortacılık şirketlerinde teknik etkinliği incelemektedir. Bu doğrultuda iki yöntem kullanılmaktadır: Geleneksel veri zarflama analizi ve son dönemde geliştirilen şans-kısıtlı veri zarflama...

Electricity producers participating in electricity markets face risks pertaining to both selling prices and the availability of the production units. Among electricity derivatives, options represent an adequate instrument to manage these risks. In this paper, we propose a multi-stage stochastic...

In this paper, we prove a maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems. In the newsvendor problem, a manufacturer sells goods to a retailer, and the objective of both parties is to maximize expected profits...