We introduce an axiomatic definition of a conditional convex risk mapping. By employing the techniques of conjugate duality we derive properties of conditional risk mappings. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We...

This paper considers a monopolistic retailer who stocks a single product that is subject to continuous decay, faces a price-dependent and time-varying demand, and has the objective of determining replenishment schedule and selling price to maximise the total profit stream over multi-period...

In this paper, we describe an important optimisation problem arising in airline revenue management systems. The problem is to select the maximum number of average fare data while keeping the selected data in a non increasing hierarchical order. We first formulate the problem mathematically using...

This paper compares two well-known approaches for valuing a risky investment using real options theory: contingent claims (CC) with risk neutral valuation and dynamic programming (DP) using a constant risk adjusted discount rate. Both approaches have been used in valuing forest assets. A proof...

The rice stink bug is a major pest of rice in Texas, causing quality related damage. The previous threshold used for assisting in rice stink bug spray decisions lacked flexibility in economic and production decision variables and neglected the dynamics of the pest population. Using stochastic...

This article solves and characterizes optimal decision rules to invest in irreversible land improvements conditional on land tenure insecurity. Economic model is a normative dynamic programming model with known parameter for the one period returns and transition equations. The decision rules are...

The Dynamic Programming approach for a family of optimal investment models with vintage capital is here developed. The problem falls into the class of infinite horizon optimal control problems of PDE's with age structure that have been studied in various papers (see e.g. [11, 12], [30, 32])...

We estimate a Dynamic Programming model of the decision between continuing schooling or entering the labor market using a panel from the National Longitudinal Survey (NLSY). The model, set in an expected utility framework (with a power utility function), fits data on both schooling attainments...

We estimate a dynamic programming model of schooling decisions in which the degree of risk aversion can be inferred from schooling decisions. In our model, individuals are heterogeneous with respect to school and market abilities but homogeneous with respect to the degree of risk aversion. We...