Search results for " Price"
showing 10 items of 290 documents
A Portfolio Problem with Uncertainty
2000
In this paper we present two models for cash flow matching with an uncertain level of payments at each due date. To solve the problem of minimising the initial investment we use the scenario method proposed by Dembo, and the robust optimisation method proposed by Mulvey et al. We unify these optimisation methods in a general co-ordinated model that guarantees a match under every scenario. This general model is also a multi-objective programming problem. We illustrate this methodology in a problem with several scenarios.
A new branch-and-price algorithm for the traveling tournament problem
2010
Abstract The traveling tournament problem ( ttp ) consists of finding a distance-minimal double round-robin tournament where the number of consecutive breaks is bounded. For solving the problem exactly, we propose a new branch-and-price approach. The starting point is a new compact formulation for the ttp . The corresponding extensive formulation resulting from a Dantzig-Wolfe decomposition is identical to one given by Easton, K., Nemhauser, G., Trick, M., 2003. Solving the traveling tournament problem: a combined interger programming and constraint programming approach. In: Burke, E., De Causmaecker, P. (Eds.), Practice and Theory of Automated Timetabling IV, Volume 2740 of Lecture Notes i…
Cut-First Branch-and-Price-Second for the Capacitated Arc-Routing Problem
2012
This paper presents the first full-fledged branch-and-price (bap) algorithm for the capacitated arc-routing problem (CARP). Prior exact solution techniques either rely on cutting planes or the transformation of the CARP into a node-routing problem. The drawbacks are either models with inherent symmetry, dense underlying networks, or a formulation where edge flows in a potential solution do not allow the reconstruction of unique CARP tours. The proposed algorithm circumvents all these drawbacks by taking the beneficial ingredients from existing CARP methods and combining them in a new way. The first step is the solution of the one-index formulation of the CARP in order to produce strong cut…
Price-Time Priority and Pro Rata Matching in an Order Book Model of Financial Markets
2011
Using our recently introduced order book model of financial markets we analyzed two different matching principles for order allocation — price-time priority and pro rata matching. Price-time priority uses the submission timestamp which prioritizes orders in the book with the same price. The order which was entered earliest at a given price limit gets executed first. Pro rata matching is used for products with low intraday volatility of best bid and best ask price. Pro rata matching ensures constant access for orders of all sizes. We demonstrate how a multiagent-based model of financial market can be used to study microscopic aspects of order books.
Entry under uncertainty: Limit and most-favored-customer pricing
2015
Abstract In the absence of uncertainty, an incumbent that attempts to prevent entry of rival firms can have no incentive to offer a most-favored-customer (MFC) clause because it could lead to higher post-entry prices. Our analysis suggests that this is not necessarily the case under uncertainty. In the presence of uncertainty, the incumbent can set a limit price that affects the entry decision. Limit pricing involves a pre-entry price different from the static monopoly price, which leads to a signaling cost. We show that part of this cost can be distributed over several periods by means of consumer refunds from the MFC clause. If the discount factor is not very high, the incumbent adopts th…
Efficient Port Pricing: A New Methodology Applied to Spanish Commercial Ports
2000
This paper presents a methodology for determining efficient tariffs for the services provided by commercial ports. With this method, efficient unit profits can be obtained for the services offered and their margins of sensitivity can be found. This allows port authorities to determine what actions should be taken with regard to tariffs and/or variable costs in order to optimise their economic results. At the same time, shadow prices of port resources and their limits of sensitivity can be obtained, thus providing port authorities with orientation regarding which resources should be augmented and by how much. In the early 90's, this methodology was applied to all Spanish commercial ports and…
Neoclassical Growth, Environment and Technological Change: The Environmental Kuznets Curve
2009
The paper investigates socially optimal patterns of economic growth and environmental quality in a neoclassical growth model with endogenous technological progress. In the model, the environmental quality affects positively not only to utility but also to production. However, cleaner technologies can be used in the economy whether a part of the output is used in environmentally oriented R&D. In this framework, if the initial level of capital is low then the shadow price of a cleaner technology is low relative to the cost of developing it given by the marginal utility of consumption and it is not worth investing in R&D. Thus, there will be a first stage of growth based only on the accumulati…
Duopoly signal jamming
1993
This paper examines a repeated duopoly market with heterogeneous outputs. Firms have (common) prior beliefs over the values of an unknown parameter of each firm's demand curve. Firms cannot observe rivals' quantities, but can observe market prices, which are subject to random disturbances and hence provide noisy information that firms use to update their beliefs concerning the unknown parameters' values. Each firm can potentially signal jam, or strategically vary its output level in order to manipulate the distribution of likely market prices and hence the likely inferences drawn by the opponent. We find that the opportunity to signal-jam introduces two conflicting effects, arising out of t…
A Binary Particle Swarm Optimization Algorithm for a Double Auction Market
2007
In this paper, we shall show the design of a multi-unit double auction (MDA) market. It should be enough robust, flexible and sufficiently efficient in facilitating exchanges. In a MDA market, sellers and buyers submit respectively asks and bids. A trade is made if a buyers bid exceeds a sellers ask. A sellers ask may match several buyers bids and a buyers bid may satisfy several sellers asks. The trading rule of a market defines the organization, information exchange process, trading procedure and clearance rules of the market. The mechanism is announced before the opening of the market so that every agent knows how the market will operate in advance. These autonomous agents pursue their o…
Yet Another Note on the Leland's Option Hedging Strategy with Transaction Costs
2005
In a market with transaction costs the option hedging is costly. The idea presented by Leland (1985) was to include the expected transaction costs in the cost of a replicating portfolio. The resulting Leland's pricing and hedging method is an adjusted Black-Scholes method where one uses a modified volatility in the Black-Scholes formulas for the option price and delta. The Leland's method has been criticized on different grounds. Despite the critique, the risk-return tradeoff of the Leland's strategy is often better than that of the Black-Scholes strategy even in the case when a hedger starts with the same initial value of a replicating portfolio. This implies that the Leland's modification…