Titlebook: Information and Efficiency in Economic Decision; Jati K. Sengupta Book 1985 Martinus Nijhoff Publishers, Dordrecht 1985 Stochastic Optimiz

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Stochastic optimization in linear economic modelstimization. One is the problem of estimation of parameters. from observations on. and.. This is dealt with in econometrics. The second is the problem of optimal decision-making under uncertainty under the stochastic environment. Two most basic questions in this theory are: how to select an optimal d

Reservation

画布

Optimal output inventory decisions in stochastic markets have been restricted to Linear Quadratic Gaussian (LQG) models and the associated linear decision rules (LDR). For perfect markets with competitive exchange of information, where no individual agent has the monopolistic power to influence the price or the market demand, the LQG model may hold very

boisterous

A minimax policy for optimal portfolio choice asset., where.. ⩾ 0 for. = 1, 2,…,. and ∑...=l and the return. is random. Any choice of vector.′ =(..,..,…,..) that is feasible i.e. .where. is an. ×. vector with each element unity and prime denotes transpose, is called a portfolio policy with a random return.: . With. and.denoting the mean vector

适宜

A two-period stochastic inventory model models including inventories is surprisingly small. These models are roughly divided in two groups: stochastic inventory models, and deterministic inventory models where perfect information is assumed and stochastic functions are replaced by their mean. Formulation of a stochastic inventory model i

粗俗人

Risk in supply response: an econometric applicationtive levels of risk aversion [1,2,12]. For commodity markets this analysis has important implications for stabilization policies; for, if risk aversion has a significant impact on optimal supply behavior, any policy which reduces risk aversion would also affect optimal supply and therefore suppliers

一夫一妻制

Optimal portfolio investment in a dynamic horizonn and Boot 1982, Mao 1969, Sharpe 1970, Ziemba and Vickson 1975). The dynamic version has not been so adequately analyzed in the standard literature, perhaps due to the specification problems of intertemporal variations in mean and variance of portfolio returns. Hillier (1963) attempted a nonlinear

LAVE

Nebulous

Optimal control in limit pricing under uncertain entrypreventing price by a supplier of a market when potential entrants exist and it may not be optimal to maximize immediate or short term profits. The supplier here may be a firm or a cartel comprising a group of tacitly cooperating firms. This is often referred to as a dominant firm, since the potenti

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