Now showing items 1-6 of 6
Investments viewed as growth processes
(Taylor & Francis, 1995)
For modeling investment decision situations, we present a mathematical basis that views the cash flow sequences as growth processes. We first emphasize the pedagogical value of the basic model by showing that all traditionally ...
Tool allocation and machining conditions optimization for CNC machines
In the literature, there exist many variations of machining economics problem in terms of modelling approaches and solution methodologies. However most of the existing studies focus on the single machining operation which ...
Spatial analysis of single allocation hub location problems
Hubs are special facilities that serve as switching, transshipment and sorting nodes in many-to-many distribution systems. Flow is consolidated at hubs to exploit economies of scale and to reduce transportation costs between ...
Non-linear pricing by convex duality
We consider the pricing problem of a risk-neutral monopolist who produces (at a cost) and offers an infinitely divisible good to a single potential buyer that can be of a finite number of (single dimensional) types. The ...
Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option ...
Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens
(Taylor & Francis, 2014)
In an economy with a negative exponential utility investor facing a set of risky assets with normally distributed returns over multiple periods, we consider the problem of making an ambiguityrobust dynamic portfolio choice ...