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...

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...

We propose a new method for solving high-dimensional dynamic programming problems and recursive competitive equilibria with a large (but finite) number of heterogeneous agents using deep learning. The "curse of dimensionality" is avoided due to four complementary techniques: (1) exploiting...

We introduce a novel semi-parametric estimator of the price of American options in a discrete time, Markovian framework. The estimator is based on a parametric specification of the stochasticdiscount factor and is non-parametric w.r.t. the historical dynamics of the state variables. The...

In this paper the issue of mathematical programming and optimization has being revisited. The theory of optimization deals with the development of models and methods that determine optimal solutions to mathematical problems defined. Mathematical model must be some function of any solution that...

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....

In this paper we describe the extreme points of two closely related polytopes that are assigned to a digraph. The first polytope is the set of all sharing vectors (elements from the unit simplex) such that each node gets at least as much as each of its successors. The second one is the set of...

Since Paul Samuelson introduced the theory of revealed preference, it has become one of the most important concepts in economics. This chapter surveys some recent contributions in the revealed preference literature. We depart from Afriat's theorem, which provides the conditions for a data set to...

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...