Titlebook: Stochastic Optimization and Economic Models; Jati K. Sengupta Book 1986 Springer Science+Business Media B.V. 1986 calculus.econometrics.ef

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Efficiency Measurement in Nonmarket Systems Through Data Envelopment Analysis,input and output vectors belong is not directly identifiable from the observed data set; also the input-output data may be subject to a stochastic generating mechanism. Third, the units may not be profit oriented, where profit is a scalar measure of performance.

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Stochastic Processes in Economic Models,in a deterministic model without contributing very much to our basic understanding of the model structure, except perhaps hleping in providing a satisfactory basis of econometric estimation, e.g., the use of Cochrane-Orcutt estimation in auto-correlated errors. Recent economic applications have emph

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Recent Economic Models in Applied Optimal Control, e.g., the shadow prices or adjoint variables along the optimal trajectory, their stability properties and the implications of a steady state value. Optimal control models are now increasingly applied to newer areas of economic theory, of which some illustrative examples would be discussed here as f

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Diversification and Robustness in Portfolio Investment: An Empirical Analysis,cted some attention due to several theoretical and empirical reasons. From a practical viewpoint the rapid growth of financial assets controlled or managed by institutional investors such as pension funds and investment trusts has generated a demand for realistic standards for judging portfolio perf

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Efficiency Measurement in Nonmarket Systems Through Data Envelopment Analysis,d outputs for such systems, the problem of measurement arises due to three major reasons. First, the inputs and outputs may not have for the most part any observable market prices; hence the imputation of an equilibrium market model is not directly available. Second, the production set to which the

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Book 1986timization to illustrate the various economic implications of optimal decision rules. Unlike econometrics which deals with estimation, this book emphasizes the decision-theoretic basis of uncertainty specified by the stochastic point of view. Methods of ap­ plied stochastic control using stochastic