Sequential Binary Investment Decisions
Sequential Binary Investment Decisions

Author: Werner Jammernegg

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 167

ISBN-13: 364246646X

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This book describes some models from the theory of investment which are mainly characterized by three features. Firstly, the decision-maker acts in a dynamic environment. Secondly, the distributions of the random variables are only incompletely known at the beginning of the planning process. This is termed as decision-making under conditions of uncer tainty. Thirdly, in large parts of the work we restrict the analysis to binary decision models. In a binary model, the decision-maker must choose one of two actions. For example, one decision means to undertake the invest ·ment project in a planning period, whereas the other decision prescribes to postpone the project for at least one more period. The analysis of dynamic decision models under conditions of uncertainty is not a very common approach in economics. In this framework the op timal decisions are only obtained by the extensive use of methods from operations research and from statistics. It is the intention to narrow some of the existing gaps in the fields of investment and portfolio analysis in this respect. This is done by combining techniques that have been devel oped in investment theory and portfolio selection, in stochastic dynamic programming, and in Bayesian statistics. The latter field indicates the use of Bayes' theorem for the revision of the probability distributions of the random variables over time.

Modular Pricing of Options
Modular Pricing of Options

Author: Jianwei Zhu

Publisher: Springer Science & Business Media

Published: 2013-04-17

Total Pages: 181

ISBN-13: 3662043092

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From a technical point of view, the celebrated Black and Scholes option pricing formula was originally developed using a separation of variables technique. However, already Merton mentioned in his seminal 1973 pa per, that it could have been developed by using Fourier transforms as well. Indeed, as is well known nowadays, Fourier transforms are a rather convenient solution technique for many models involving the fundamental partial differential equation of financial economics. It took the community nearly another twenty years to recognize that Fourier transform is even more useful, if one applies it to problems in financial economics without seeking an explicit analytical inverse trans form. Heston (1993) probably was the first to demonstrate how to solve a stochastic volatility option pricing model quasi analytically using the characteristic function of the problem, which is nothing else than the Fourier transform of the underlying Arrow /Debreu-prices, and doing the inverse transformation numerically. This opened the door for a whole bunch of new closed form solutions in the transformed Fourier space and still is one of the most active research areas in financial economics.

A Macroeconomic Model of West German Unemployment
A Macroeconomic Model of West German Unemployment

Author: Michael Reutter

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 133

ISBN-13: 3642181597

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This book was accepted in 1999 as doctoral thesis (Dr. oec. publ. ) by the faculty of economics of the Ludwig-Maximilians-Universitat in Munich. It won the dissertation price of the Alumni-Club of the economics faculty in the academic year 2000. Financial assistance by the German Research Asso ciation (DFG) for printing costs is gratefully acknowledged. I have to thank the people behind the B\'IF,X-project, in particular Donald Knuth and Leslie Lamport, for their wonderful typesetting program. The supervisors of my thesis were Prof. Dr. G. Flaig and Prof. Dr. D. Marin. I would like thank both for their thorough reading of the book and their ideas and critical remarks. lowe much gratitude to my academic teacher Prof. Dr. G. Flaig for many insightful conversations about modern time series econometrics, asymptotic theory and data problems. His empha sis on clear theory combined with sound econometric methods formed my personal ideal of how to do applied economics. After he left the university in 1998I had the opportunity to continue my work at the Center for Economic Studies. Prof. Dr. H. -W. Sinn and my new colleaguesat CES provided a stim ulating environment for the completion of my dissertation. Finally, I want to thank my parents, my sister and my friends for being there and sharing my cheers and worries. Munich, October 2000 Michael Reutter Our main concern in philosophy and in science should be the search fortruth. Justification is not an aim; and brilliance and cleverness as such are boring.

Multicriteria Optimization
Multicriteria Optimization

Author: Matthias Ehrgott

Publisher: Springer Science & Business Media

Published: 2013-11-11

Total Pages: 248

ISBN-13: 3662221993

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Life is about decisions. Decisions, no matter if made by a group or an indi vidual, involve several conflicting objectives. The observation that real world problems have to be solved optimally according to criteria, which prohibit an "ideal" solution - optimal for each decision-maker under each of the criteria considered - has led to the development of multicriteria optimization. From its first roots, which where laid by Pareto at the end of the 19th century the discipline has prospered and grown, especially during the last three decades. Today, many decision support systems incorporate methods to deal with conflicting objectives. The foundation for such systems is a mathematical theory of optimization under multiple objectives. Fully aware of the fact that there have been excellent textbooks on the topic before, I do not claim that this is better text, but it has a has a consid erably different focus. Some of the available books develop the mathematical background in great depth, such as [SNT85, GN90, Jah86). Others focus on a specific structure of the problems covered as [Zel74, Ste85, Mie99) or on methodology [Yu85, CH83a, HM79). Finally there is the area of multicriteria decision aiding [Roy96, Vin92, KR93), the main goal of which is to help deci sion makers find the final solution (among many "optimal" ones) eventually to be implemented.

On Overlapping Generations Models with Productive Capital
On Overlapping Generations Models with Productive Capital

Author: Günther Lang

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 109

ISBN-13: 3642481523

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This book was born out of a five-years research at Sonderforschungsbe reich 303 by the Deutsche Forschungsgemeinschaft (DFG) at Rheinische Friedrich-Wilhelms-Universitiit Bonn and was approved as my doctoral thesis by the Rechts-und Staatswissenschaftliche Fakultiit in December 1994. It was my former colleague Wolfgang Peters who had drawn my atten tion to overlapping-generations models and to problems of intergenerational efficiency and distribution. The subtle connection between the latter two has been fascinating me from the very beginning: redistribution of the results of free trade can become necessary from the point of view of efficiency, although no externalities hamper the development of an economy. In spite of being a matured part of economics, neoclassical growth theory had left many questions unsolved, some of them even unrecognized by a large part of our profession. I took up the challenge to contribute to the investigation of some of these thorny problems. One of these issues is the often quoted idea of the inter generational con tract. Although intergenerational transfers can improve intertemporal effi ciency, the design of pension schemes to achieve an improvement of well-being of some generations without hurting that of any other, is not an easy task in an economy with flexible prices. Quite frequently, only interest rate and growth rate are taken into account when deciding on whether a generation wins or looses.

Batching and Scheduling
Batching and Scheduling

Author: Carsten Jordan

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 191

ISBN-13: 3642484034

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In some manufacturing systems significant setups are required to change production from one type of products to another. The setups render the manufacturing system inflexible as for reacting to changes in demand patterns, hence inventories must be maintained to guarantee an acceptable customer service. In this environment, production scheduling faces a number of problems, and this work deals with mathematical models to support the scheduling decisions. Some more background and motivation is given in the following sections, as well as in a case description in Section 1. 3. The synopsis in Section 1. 4 outlines the topics of the work. 1. 1 Motivation of the Planning Problem Consider the production of metal sheets in a rolling mill. If the width of the next type of sheets is greater than the width of the preceding type, then the roll needs a setup: during the rolling process the edges of a sheet cause grooves on the rolls' surface, thus, the surface must be polished if a greater width is run next. Sheets with a smaller width can be run directly, without a setup. Another example in which setups are sequence dependent is a line where cars are sprayed: if the color of the paint changes, the cleaning of the tools requires a setup depending on the sequence of the colors. Only a small setup may be needed for changing from a light to a dark color, but a thorough cleaning of the tools is 2 CHAPTER 1.

Adaptive Learning by Genetic Algorithms
Adaptive Learning by Genetic Algorithms

Author: Herbert Dawid

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 173

ISBN-13: 3662002116

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An analysis of the learning behavior of genetic algorithms in economic systems with mutual interaction, such as markets. These systems are characterized by a state-dependent fitness function and - for the first time - mathematical results characterizing the long-term outcome of genetic learning in such systems are provided. The usefulness of such results is illustrated by many simulations in evolutionary games and economic models.

Dynamic Modelling of Stochastic Demand for Manufacturing Employment
Dynamic Modelling of Stochastic Demand for Manufacturing Employment

Author: Gerard A. Pfann

Publisher: Springer

Published: 2013-12-21

Total Pages: 168

ISBN-13: 3642456766

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In this book interrelated factor demand models are surveyed. New methods are developed and are analysed empirically using Dutch and U.K. time series data. New methods are discussed for obtaining closed form solutions of linear ratinal expectations models, providing deeper insights into the identification of structural parameters of underlying theoretical models; recently developed time series techniques are applied in order to estimate structural parameters and test for model specification, stationarity and stability through time; new models are developed in which the rather stringent and questionable restrictions of symmetry generally imposed upon stochastic adjustment models of labour demand are relaxed, the models are analysed empirically using time series data of Dutch and U.K. manufacturing production and nonproduction workers.

Omitted Variable Tests and Dynamic Specification
Omitted Variable Tests and Dynamic Specification

Author: Björn Schmolck

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 149

ISBN-13: 3642583245

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This book deals with the omitted variable test for a multivariate time-series regression model. The empirical motivation is the homogeneity test for a consumer demand system. The consequences of using a dynamically misspecified omitted variable test are shown in detail. The analysis starts with the univariate t-test and is then extended to the multivariate regression system. The small sample performance of the dynamically correctly specified omitted variable test is analysed by simulation. Two classes of tests are considered: versions of the likelihood ratio test and the robust Wald test which is based on a heteroskedasticity and autocorrelation consistent variance-covariance estimator (HAC).

Nonlinear Labor Market Dynamics
Nonlinear Labor Market Dynamics

Author: Michael Neugart

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 181

ISBN-13: 3642583482

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Nonlinear Labor Market Dynamics discusses adjustment processes in labor markets. Contrary to linear-stochastic approaches this book is based on a non-linear deterministic framework. It is shown that even textbook-like-models of the labor market can generate long lasting adjustment processes, local instabilities, and chaotic movements, once nonlinear relationships and widely accepted adjustment rules are introduced. Thus, labor market dynamics may have an endogenous component that is governed by a nonlinear deterministic core. Of course, all results are tied to the particular models discussed in this book. Nevertheless, these models imply that by incorporating nonlinear relationships, one may arrive at an explanation of labor market behavior where linear stochastic approaches fell. Time series studies for German labor market data support this point of view.