Search results for " montecarlo simulation"
showing 3 items of 3 documents
Integrated simulation and optimization models for tracking international fixed income indices
2001
Portfolio managers in the international fixed income markets must address jointly the interest rate risk in each market and the exchange rate volatility across markets. This paper develops integrated simulation and optimization models that address these issues in a common framework. Monte Carlo simulation procedures generate jointly scenarios of interest and exchange rates and, thereby, scenarios of holding period returns of the available securities. The portfolio manager’s risk tolerance is incorporated either through a utility function or a (modified) mean absolute deviation function. The optimization models prescribe asset allocation weights among the different markets and also resolve b…
The Effect of Advanced Traveller Information Systems (ATIS) on public transport demand and its uncertainty
2009
Advanced Traveller Information Systems (ATISs) include a broad range of advanced computer and communication technologies. These systems are designed to provide transit riders pre-trip and real-time information, to make better informed decisions regarding their mode of travel, planned routes and travel times. ATISs include in-vehicle displays, terminal or wayside based information centres, information by phone or mobile and internet. In this article, a Stated Preference survey has been carried out in order to know the preferences of public transport’s customers related to different ATISs and their willingness to pay in Palermo. An ordered probit demand model has been calibrated to determine …
The ATLAS Simulation Infrastructure
2010
52 páginas, 10 figuras, 18 tablas.-- This article is distributed under the terms of the Creative Commons Attribution Noncommercial License.-- et al. (The ATLAS Collaboration).