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This paper studies the implications for reserve lifetime and related quantities in a continuous time model of resource extraction under uncertainty. Both the resource price and the extracted amount are assumed to follow stochastic processes. Reserve lifetime is determined by the...
Persistent link: https://www.econbiz.de/10013061983
We provide results for an efficient analytical valuation of partial moments of the multivariate Gaussian distribution over convex polyhedrons to aid the solution, sensitivity analysis and structural analysis of a large number of two-stage resource acquisition and allocation problems. These...
Persistent link: https://www.econbiz.de/10014184708
relocatable modular capacities. A robust supply network configuration must be determined based on uncertain demand. Furthermore …, by incorporating the conditional value at risk (CVaR), the risk induced by uncertain demand is explicitly considered. The … derived supply network configuration is robust and stable in the presence of uncertain demand …
Persistent link: https://www.econbiz.de/10014237572
Capacity expansion is the process of providing new facilities over time to meet rising demand. A general mathematical … model of this process is presented, incorporating uncertain future demand (including the possibility of 'surprises'), non … expansion project. Optimization is studied by methods of stochastic control theory. Numerical algorithms are presented which …
Persistent link: https://www.econbiz.de/10014097781
Using a vertically related multi-layer newsvendors framework this paper analyzes the impacts of market uncertainties and asymmetric information between firms at successive stages of a supply chain on their optimal stocking (and/or pricing) decisions. The asymmetric information along the supply...
Persistent link: https://www.econbiz.de/10012861175
We consider a multi-product newsvendor under the law-invariant coherent risk measures. We first establish a few fundamental properties of the model regarding the convexity of the problem, the symmetry of the solution and the impact of risk aversion. Specifically, we show that for identical...
Persistent link: https://www.econbiz.de/10014200015
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