Maximizing banking profit on a random time interval.
Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)
Journal of Applied Mathematics
Similarity:
Displaying similar documents to “Which carbon derivatives are applicable in practice? A case study of a European steel company”
Maximizing banking profit on a random time interval.
An application of dynamic programming principle in corporate international optimal investment and consumption choice problem.
Huang, Zongyuan, Wu, Zhen (2010)
Mathematical Problems in Engineering
Similarity:
Continuous-time mean–risk portfolio selection
Hanqing Jin, Jia-An Yan, Xun Yu Zhou (2005)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
Analysis of an Integrated Production-Sales Problem for One-Machine, Two-Product System
Miao-Sheng Chen, Mei-Chen Chu (2000)
The Yugoslav Journal of Operations Research
Similarity:
Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs
Łukasz Stettner (2005)
Applicationes Mathematicae
Similarity:
Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor converges to 0 is then considered. It turns out that optimal strategies are stationary functions of the portfolio (portions of the wealth invested in assets) and of economic factors. Furthermore an optimal portfolio strategy for a risk...
Optimal pricing and production master planning in a multiperiod horizon considering capacity and inventory constraints.
Smith, Neale R., Robles, Jorge Limón, Cárdenas-Barrón, Leopoldo Eduardo (2009)
Mathematical Problems in Engineering
Similarity:
Optimal Pricing and Lot-Sizing Decisions Under Weibull Distribution Deterioration and Trade Credit Policy
S. K. Manna, K. S. Chaudhuri, C. Chiang (2008)
The Yugoslav Journal of Operations Research
Similarity:
Investing in lead-time variability reduction in a quality-adjusted inventory model with finite-range stochastic lead-time.
Nasri, Farrokh, Paknejad, Javad, Affisco, John (2008)
Journal of Applied Mathematics and Decision Sciences
Similarity:
Inventory Models With Stock- and Price- Dependent Demand for Deteriorating Items Based on Limited Shelf Space
Chun-Tao Chang, Yi-Ju Chen, Tzong-Ru Tsai, Shuo-Jye Wu (2010)
The Yugoslav Journal of Operations Research
Similarity:
Optimal reinsurance.
Maria De Lourdes Centeno, Onofre Simoes (2009)
RACSAM
Similarity:
Financial Claims and Product Market Competition: an Explanation for Permitting Banks to Hold Equity in Firms
Shin-Heng Pao, Jyh-Horng Lin (2008)
The Yugoslav Journal of Operations Research
Similarity:
Optimal Inventory Policies for Imperfect Inventory With Price Dependent Stochastic Demand and Partially Backlogged Shortages
Jhuma Bhowmick, G.P. Samanta (2012)
The Yugoslav Journal of Operations Research
Similarity:
An integrated supplier-buyer inventory model with conditionally free shipment under permissible delay in payments.
Su, Chia-Hsien (2010)
Abstract and Applied Analysis
Similarity:
On the optimal reinsurance problem
Swen Kiesel, Ludger Rüschendorf (2013)
Applicationes Mathematicae
Similarity:
In this paper we consider the optimal reinsurance problem in endogenous form with respect to general convex risk measures ϱ and pricing rules π. By means of a subdifferential formula for compositions in Banach spaces we first characterize optimal reinsurance contracts in the case of one insurance taker and one insurer. In the second step we generalize the characterization to the case of several insurance takers. As a consequence we obtain a result saying that cooperation brings less...