Similar Search Results

On the optimality of regularity in mixing markovian decision rules for MDP control

Laan, Dinard van der - 2010

In this paper we study Markov Decision Process (MDP) problems with the restriction that at decision epochs only a finite number of given Markovian decision rules may be applied. The elements of the finite set of allowed decision rules should be mixed to improve the performance. The set of...

Persistent link: https://www.econbiz.de/10011380145

A pure binary LP model to the facility layout problem

Papahristodoulou, Christos - 1999

In facility layout problems, a major concern is the optimal design or remodeling of the facilities of an organization. The decision maker s objective is to arrange the facility in an optimal way, so that the interaction among functions (i.e. machines, inventories, persons) and places (i.e....

Persistent link: https://www.econbiz.de/10011587531

Preference symmetries, partial differential equations, and functional forms for utility

Tyson, Christopher J. - 2013

A discrete symmetry of a preference relation is a mapping from the domain of choice to itself under which preference comparisons are invariant; a continuous symmetry is a one-parameter family of such transformations that includes the identity; and a symmetry field is a vector field whose...

Persistent link: https://www.econbiz.de/10009739671

An axiomatization of the Euclidean compromise solution

Voorneveld, Mark (contributor); … - 2008 - This version: October 13, 2008

The utopia point of a multicriteria optimization problem is the vector that specifies for each criterion the most … favourable among the feasible values. The Euclidean compromise solution in multicriteria optimization is a solution concept that …. -- Consistency ; Euclidean compromise solution ; Multicriteria optimization …

Persistent link: https://www.econbiz.de/10003766834

Approximate solutions to dynamic models : linear methods

Uhlig, Harald (contributor) - 2006

Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...

Persistent link: https://www.econbiz.de/10003324430

Mean-variance hedging via stochastic control and BSDEs for general semimartingales

Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - 2012 - This version: 4.6.2012

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...

Persistent link: https://www.econbiz.de/10009558490

Approximate results for a generalized secretary problem

Dietz, Chris; Laan, Dinard van der; Ridder, Ad - 2010

A version of the classical secretary problem is studied, in which one is interested in selecting one of the b best out of a group of n differently ranked persons who are presented one by one in a random order. It is assumed that b is bigger than or equal to 1 is a preassigned number. It is...

Persistent link: https://www.econbiz.de/10011381898

Approximate dynamic programming with postdecision states as a solution method for dynamic economic models

Hull, Isaiah - 2013

I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household's dynamic program in...

Persistent link: https://www.econbiz.de/10010202969

Dynamic mean-variance optimisation problems with deterministic information

Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - 2017 - This version: September 29, 2017

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted information. We work in a setting where the underlying price process S is a semimartingale, but not adapted to the filtration G which models the information available for...

Persistent link: https://www.econbiz.de/10011865489

Advances in factor replication

Czasonis, Megan; Kritzman, Mark; Turkington, David - 2016 - This version: August 12, 2016

Factor investing has gained widespread acceptance among institutional investors. Some investors believe it is preferable to stratify the investment universe into factors to manage portfolio risk more effectively, while other investors focus on factors because they believe they yield risk...

Persistent link: https://www.econbiz.de/10011750137

1
2
3
4
5
6
7
8
9
10
Next
Last