Scholarly Publications - Industrial Engineering

Permanent URI for this collectionhttps://hdl.handle.net/11693/115612

Browse

Browsing Scholarly Publications - Industrial Engineering by Subject "Acceptability"

Filter results by typing the first few letters
Now showing 1 - 2 of 2
  • Thumbnail Image
    ItemOpen Access
    Gain-loss based convex risk limits in discrete-time trading
    (Springer -Verlag, 2011-08) Pinar, M. C.
    We present an approach for pricing and hedging in incomplete markets, which encompasses other recently introduced approaches for the same purpose. In a discrete time, finite space probability framework conducive to numerical computation we introduce a gain–loss ratio based restriction controlled by a loss aversion parameter, and characterize portfolio values which can be traded in discrete time to acceptability. The new risk measure specializes to a well-known risk measure (the Carr–Geman– Madan risk measure) for a specific choice of the risk aversion parameter, and to a robust version of the gain–loss measure (the Bernardo–Ledoit proposal) for a specific choice of thresholds. The result implies potentially tighter price bounds for contingent claims than the no-arbitrage price bounds. We illustrate the price bounds through numerical examples from option pricing.
  • Thumbnail Image
    ItemOpen Access
    Integration of shipment scheduling decisions for forward and reverse channels in a recoverable item system
    (Elsevier, 2012-11) Toptal, A.
    In this paper, we consider the problem of finding the economic shipment quantities of failed and recovered items between a central depot and a collection center to coordinate the flow in both ways. Our model takes an explicit account for the transportation costs and capacities under the assumption of deterministic failure rate of items. The proposed solution provides the optimum shipment quantities, and the level of spare items to be held at the collection center with the objective of minimizing the long-run average total costs subject to a service level.