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Portfolio optimization with risk constraints
Gandy, Ralf - 2005
In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...
Persistent link: https://www.econbiz.de/10009462193
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A comparison of five robust regression methods with ordinary least squares: relative efficiency, bias and test of the null hypothesis
Anderson, Cynthia - 2001
A Monte Carlo simulation was used to generate data for a comparison of five robust regression estimation methods with ordinary least squares (OLS) under 36 different outlier data configurations. Two of the robust estimators, Least Absolute Value (LAV) estimation and MM estimation, are...
Persistent link: https://www.econbiz.de/10009475082
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Assessing the Farm Level Impacts of Yield and Revenue Insurance: an Expected Value-Variance Approach
Berg, Ernst - 2002
This paper investigates the farm level impacts of multiple peril yield and revenue insurance in an expected value-variance framework. The analysis is conducted using stochastic simulation jointly with numerical optimisation. Simulation is used to compute the means and variances of revenues as...
Persistent link: https://www.econbiz.de/10009443846
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UNCERTAIN YIELDS IN SECTORAL WELFARE ANALYSIS: AN APPLICATION TO GLOBAL WARMING
Lambert, David K.; McCarl, Bruce A.; He, Q.; Kaylen, … - 1995
Agriculture operates in an uncertain environment. Yields, prices, and resource usage can change dramatically from year to year. However, most analyses of the agricultural sector, at least those using mathematical programming methods, assume decision making is based on average yields, ignoring...
Persistent link: https://www.econbiz.de/10009446902
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Treasury Management Model with Foreign Exchange Exposure
Volosov, K; Mitra, G; Spagnolo, F; Lucas, C A - 2005
In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is used to predict the random behaviour of the forward as well as spot rates...
Persistent link: https://www.econbiz.de/10009465463
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Dynamic Asset (and Liability) Management under Market and Credit Risk
Jobst, N J; Mitra, G; Zenios, S A - 2003
We introduce a modelling paradigm which integrates credit risk and marketrisk in describing the random dynamical behaviour of the underlying fixed income assets.We then consider an asset and liability management (ALM) problem and develop a mul-tistage stochastic programming model which focuses...
Persistent link: https://www.econbiz.de/10009465480
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Crop decision planning under yield and price uncertainties
Kantanantha, Nantachai - 2007
This research focuses on developing a crop decision planning model to help farmers make decisions for an upcoming crop year. The decisions consist of which crops to plant, the amount of land to allocate to each crop, when to grow, when to harvest, and when to sell. The objective is to maximize...
Persistent link: https://www.econbiz.de/10009475761
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Balancing infrastructure for the airport metropolis
Keast, Robyn L.; Baker, Douglas C.; Brown, Kerry A. - 2008
termed the aerotropolis or airport metropolis, where the airport is recognised as an economic centre with land uses that link … local and global markets. This paper contends that the conversion of an airport into a sustainable airport metropolis … necessary balance to the airport metropolis to ensure sustainable development. This paper provides the start of an operating …
Persistent link: https://www.econbiz.de/10009437566
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A strategic planning approach for the operational-environmental problem of air transportation system terminal areas
Jimenez, Hernando - 2009
interest. Airport communities experience said environmental impact most intensely, particularly those associated with … important methodological gaps. First, the inherent systemic complexity of airport performance obfuscates its quantitative … quantitatively characterize the interactions, sensitivities, and tradeoffs prevalent in the complex behavior of airport operational …
Persistent link: https://www.econbiz.de/10009475985
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Airports' connective role in megaregions
Katz, Donald Samuel - 2010
The megaregion spatial form has grown in prominence in recent years in planning thought, but the relationship between megaregions and the aviation sector is rather untouched in research. The purpose of this study is to examine the role airports play as transportation hubs for megaregions, and...
Persistent link: https://www.econbiz.de/10009476070