Search results for "optimization"

A Methodology for Solving the Multiple Criteria Macroeconomic Policy Problem

1983

In this paper we review the results of our research on using interactive multiple criteria optimization methods for solving macroeconomic policy problems in Finland. An existing econometric model describing the interrelationships between different variables and sectors of the economy is used. In addition, the current status of the implementation work is reported and some possibilities for future research are discussed.

Equilibrium open interest

2010

Abstract This paper analyses what determines an individual investor's risk-sharing demand for options and, aggregating across investors, what the equilibrium demand for options. We find that agents trade options to achieve their desired skewness; specifically, we find that portfolio holdings boil down to a three-fund separation theorem that includes a so-called skewness portfolio that agents like to attain. Our analysis indicates also, however, that the common risk-sharing setup used for option demand and pricing is incompatible with a stylized fact about open interest across strikes.

Investing for the Long Run

2017

This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to attain target payouts. The paper finds that the dynamics of the SDF needs to be captured and not the entire market dynamics, which simplifies significantly practical implementations of optimal portfolio strategies. We pay particular attention to the case where the SDF is equal to the inverse of the growth-optimal portfolio in the given market. Then, optimal wealth evolution is closely linked to the growth optimal portfolio. In particular, our concepts allo…

Portfolio Models for Fixed Income

2010

Dynamic Portfolio Optimization with Stochastic Programming

2010

Harvesting and recovery decisions under uncertainty

2010

Abstract A stochastic forest rotation model in the Faustmann tradition is presented and exemplified. The model combines harvesting decisions with the potential to recover or clean up to restore the land after very unfavorable evolutions of the stochastic growth process. Uncertainty is shown to have a generally ambiguous effect on the optimal choice of investment strategy. It is also shown how such models can be related to theory of optimal inventory control.

A Problem of Optimization in a Case of Foreign Investment

2000

The aim of the paper is to solve an optimization problem in an economic system with a central bank and a set of private agents. Each agent aims to maximize her expected utility, with rational expectations and being risk averse. The agents follow a profitability-risk criterium to face the portfolio diversification problem between foreign or domestic investment. An explicit formula for the optimal amount of foreign investment as a function of the expected exchange rate and an explicit formula for the exchange rate are obtained. These formulas show the hard influence of the expected exchange rate, the variance and the risk aversion on the agents’ decisions.

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…

Prices and Pareto optima

2006

We provide necessary conditions for Pareto optimum in economies where tastes or technologies may be nonconvex, nonsmooth, and affected by externalities. Firms can pursue own objectives, much like the consumers. Infinite-dimensional commodity spaces are accommodated. Public goods and material balances are accounted for as special instances of linear restrictions.

Optimal Energy Management in Smart-Grid

2017

In this chapter, the problem of energy management in smart-grids is outlined. Optimized energy management is here considered as the operation of energy and power flow control in the aim of attaining minimum cost or minimum power losses while meeting technical constraints. Of course, according to the type of energy system in which such operation is carried out, the meaningful variables and objectives in the problem may largely change. As the extension of the system increases, the influence of the physical behaviour of the electrical power lines takes a more important role. Power electronics takes instead an increasing influence, as the dimension of the power system decreases although Kirchho…