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On the optimal control of interbank contagion in the euro area banking system
Fukker, Gábor; Kok Sørensen, Christoffer - 2021
financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to … controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … contagion losses and the policy authority's ability to control them depend on the assumed fire sale mechanism and the fiscal …
Persistent link: https://www.econbiz.de/10012605250
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On the optimal control of interbank contagion in the euro area banking system
Fukker, Gábor; Kok Sørensen, Christoffer - 2021
financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to … controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … contagion losses and the policy authority's ability to control them depend on the assumed fire sale mechanism and the fiscal …
Persistent link: https://www.econbiz.de/10012519357
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Spatial dynamics of green corridors
Boulanger, Vincent; Bruchiamacchie, Max; Chauchard, Sandrine - Département Sciences Sociales, Agriculture et … - 2013
Forest management aims at building ecological networks that minimize the impacts on timber production. We formalize the construction of ecological networks in forest environments as the optimal control dynamic graph-theoretic problem. The ecological network is based on a set of bioreserves and...
Persistent link: https://www.econbiz.de/10011141619
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Service-level agreements in call centers: Perils and prescriptions
Milner, JM; Olsen, TL - 2008
Acall center with both contract and noncontract customers was giving priority to the contract customers only in off-peak hours, precisely when having priority was least important. In this paper, we investigate whether this is rational behavior on the part of the call center and what the...
Persistent link: https://www.econbiz.de/10009431040
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Optimal harvesting of fish stocks under a time-varying discount rate
Duncan, Stephen; Hepburn, Cameron; Papachristodoulou, … - 2011
Optimal control theory has been extensively used to determine the optimal harvesting policy for renewable resources such as fish stocks. In such optimisations, it is common to maximise the discounted utility of harvesting over time, employing a constant time discount rate. However, evidence from...
Persistent link: https://www.econbiz.de/10009441415
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STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
HERZOG, FLORIAN; DONDI, GABRIEL; GEERING, HANS P. - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 203-233
This paper proposes a solution method for the discrete-time long-term dynamic portfolio optimization problem with state and asset allocation constraints. We use the ideas of Model Predictive Control (MPC) to solve the constrained stochastic control problem. MPC is a solution technique which was...
Persistent link: https://www.econbiz.de/10004971736
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Keeping a learned society young
Dawid, Herbert; Feichtinger, Gustav; Goldstein, Joshua; … - In: Demographic Research 20 (2009) 22, pp. 541-558
Aging organizations - regardless of whether they are firms, faculties, societies, political bodies, teams, or national academies - seek ways to rejuvenate. This paper demonstrates that the best way to keep an organization young is through a mixed strategy of recruiting both young and old, and...
Persistent link: https://www.econbiz.de/10004972970
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Bridging the Gap between Growth Theory and the New Economic Geography : The Spatial Ramsey Model
Raouf, BOUCEKKINE; Carmen, CAMACHO; Benteng, ZOU - Institut de Recherche Économique et Sociale (IRES), … - 2006
We study a Ramsey problem in infinite and continuous time and space. The problem is discounted both temporally and spatially. Capital flows to locations with higher marginal return. We show that the problem amounts to optimal control of parabolic partial differential equations (PDEs). We rely on...
Persistent link: https://www.econbiz.de/10004984891
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Special functions for the study of economic dynamics : The case of the Lucas-Uzawa model
Raouf, BOUCEKKINE; José R. , RUIZ-TAMARIT - Institut de Recherche Économique et Sociale (IRES), … - 2004
The special functions are intensively used in mathematical physics to solve differential systems. We argue that their use should be most useful in economic dynamics, notably in the assessment of the transtion dynamics of endogenous growth models. We illustrate our argument on the Lucas-Uzawa...
Persistent link: https://www.econbiz.de/10004984967
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Environmental management: analytical approximate solutions to the problem of detecting optimal random audit schemes
Ferretti, Paola - EconWPA - 2004
In the contest of environmental management, the problem of minimizing the expected cost due to random checking processes and a possible failure is here addressed. Non-homogeneous Poisson checking processes with continuous non-decreasing intensity are considered, leading to the explicit detection...
Persistent link: https://www.econbiz.de/10005118638