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Author : John Newton Barineau (III.)
Publisher :
ISBN 13 :
Total Pages : 184 pages
Book Rating : 4.:/5 (14 download)
Download or read book Uncertainty, Stochastic Models and the Capital Budgeting Decision written by John Newton Barineau (III.) and published by . This book was released on 1966 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Newton Barineau
Publisher :
ISBN 13 :
Total Pages : 184 pages
Book Rating : 4.:/5 (244 download)
Download or read book Uncertainty, Stochastic Models and the Capital Budgeting Decision written by John Newton Barineau and published by . This book was released on 1966 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Newton Barineau (III.)
Publisher :
ISBN 13 :
Total Pages : 182 pages
Book Rating : 4.:/5 (14 download)
Download or read book Uncertainty, Deterministic Models and the Capital Budgeting Decision written by John Newton Barineau (III.) and published by . This book was released on 1966 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Newton Barineau
Publisher :
ISBN 13 :
Total Pages : 182 pages
Book Rating : 4.:/5 (244 download)
Download or read book Uncertainty, Deterministic Models and the Capital Budgeting Decision written by John Newton Barineau and published by . This book was released on 1966 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ronald Wesley Spahr
Publisher :
ISBN 13 :
Total Pages : 312 pages
Book Rating : 4.:/5 (89 download)
Download or read book Basic Uncertainty in Capital Budgeting written by Ronald Wesley Spahr and published by . This book was released on 1976 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : R.L. Crum
Publisher : Springer Science & Business Media
ISBN 13 : 9401174083
Total Pages : 246 pages
Book Rating : 4.4/5 (11 download)
Download or read book Capital Budgeting Under Conditions of Uncertainty written by R.L. Crum and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: The business environment, particularly after the continuing oil crises of the seventies, can be characterized as evolving rapidly in complex and often unpre dictable ways. Such things as high interest and inflation rates, fluctuating ex change rates, volatile commodity markets, and increasing political turmoil have led to a situation in which explicit consideration of environmental dynamics is becoming much more important for successful business planning than was true in the past. Companies are finding that it is no longer possible to conduct "busi ness as usual" under these changing circumstances. Rather, decision makers are having to be more cognizant of the many sources of uncertainty that could have serious impacts on the continued prosperity of the firm, as well as of actions that can be taken so that the company can thrive in spite of these greater uncertainties. Businesses have responded to these challenges by giving more thorough con sideration to strategic issues. Whereas in the past the steady progression of mar kets and technology was taken for granted, the uncertainties associated with increased worldwide competition, as well as with other exogenous factors, have vii viii INTRODUCTION forced companies to think more about flexibility. This involves not only how best to exploit profitable current options, but also how to position themselves at present to be able to respond appropriately to threats and opportunities as they arise in the future. Unfortunately, in this redirection of outlook, the fmance profession has not kept pace.
Author : Jonas Ekblom
Publisher : Linköping University Electronic Press
ISBN 13 : 9176852024
Total Pages : 36 pages
Book Rating : 4.1/5 (768 download)
Download or read book Decision Making under Uncertainty in Financial Markets written by Jonas Ekblom and published by Linköping University Electronic Press. This book was released on 2018-09-13 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. Stochastic optimization provides the tools to determine optimal decisions in uncertain environments, and the optimality conditions of these models produce insights into how financial markets work. To be more concrete, a great deal of financial theory is based on optimality conditions derived from stochastic optimization models. Therefore, an important part of the development of financial theory is to study stochastic optimization models that step-by-step better capture the essence of reality. This is the motivation behind the focus of this thesis, which is to study methods that in relation to prevailing models that underlie financial theory allow additional real-world complexities to be properly modeled. The overall purpose of this thesis is to develop and evaluate stochastic optimization models that support improved decisions under uncertainty on financial markets. The research into stochastic optimization in financial literature has traditionally focused on problem formulations that allow closed-form or `exact' numerical solutions; typically through the application of dynamic programming or optimal control. The focus in this thesis is on two other optimization methods, namely stochastic programming and approximate dynamic programming, which open up opportunities to study new classes of financial problems. More specifically, these optimization methods allow additional and important aspects of many real-world problems to be captured. This thesis contributes with several insights that are relevant for both financial and stochastic optimization literature. First, we show that the modeling of several real-world aspects traditionally not considered in the literature are important components in a model which supports corporate hedging decisions. Specifically, we document the importance of modeling term premia, a rich asset universe and transaction costs. Secondly, we provide two methodological contributions to the stochastic programming literature by: (i) highlighting the challenges of realizing improved decisions through more stages in stochastic programming models; and (ii) developing an importance sampling method that can be used to produce high solution quality with few scenarios. Finally, we design an approximate dynamic programming model that gives close to optimal solutions to the classic, and thus far unsolved, portfolio choice problem with constant relative risk aversion preferences and transaction costs, given many risky assets and a large number of time periods.
Author : Jitka Dupacova
Publisher : Springer Science & Business Media
ISBN 13 : 0306481677
Total Pages : 394 pages
Book Rating : 4.3/5 (64 download)
Download or read book Stochastic Modeling in Economics and Finance written by Jitka Dupacova and published by Springer Science & Business Media. This book was released on 2005-12-30 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study.
Author : Robert K. Dixit
Publisher : Princeton University Press
ISBN 13 : 1400830176
Total Pages : 484 pages
Book Rating : 4.4/5 (8 download)
Download or read book Investment under Uncertainty written by Robert K. Dixit and published by Princeton University Press. This book was released on 2012-07-14 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: How should firms decide whether and when to invest in new capital equipment, additions to their workforce, or the development of new products? Why have traditional economic models of investment failed to explain the behavior of investment spending in the United States and other countries? In this book, Avinash Dixit and Robert Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most investment decisions, and the ongoing uncertainty of the economic environment in which these decisions are made. In so doing, they answer important questions about investment decisions and the behavior of investment spending. This new approach to investment recognizes the option value of waiting for better (but never complete) information. It exploits an analogy with the theory of options in financial markets, which permits a much richer dynamic framework than was possible with the traditional theory of investment. The authors present the new theory in a clear and systematic way, and consolidate, synthesize, and extend the various strands of research that have come out of the theory. Their book shows the importance of the theory for understanding investment behavior of firms; develops the implications of this theory for industry dynamics and for government policy concerning investment; and shows how the theory can be applied to specific industries and to a wide variety of business problems.
Author : Charles S. Tapiero
Publisher : Springer Science & Business Media
ISBN 13 : 1461558239
Total Pages : 352 pages
Book Rating : 4.4/5 (615 download)
Download or read book Applied Stochastic Models and Control for Finance and Insurance written by Charles S. Tapiero and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.
Author : Moshe Dror
Publisher : Springer
ISBN 13 : 0306481022
Total Pages : 770 pages
Book Rating : 4.3/5 (64 download)
Download or read book Modeling Uncertainty written by Moshe Dror and published by Springer. This book was released on 2019-11-05 with total page 770 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling Uncertainty: An Examination of Stochastic Theory, Methods, and Applications, is a volume undertaken by the friends and colleagues of Sid Yakowitz in his honor. Fifty internationally known scholars have collectively contributed 30 papers on modeling uncertainty to this volume. Each of these papers was carefully reviewed and in the majority of cases the original submission was revised before being accepted for publication in the book. The papers cover a great variety of topics in probability, statistics, economics, stochastic optimization, control theory, regression analysis, simulation, stochastic programming, Markov decision process, application in the HIV context, and others. There are papers with a theoretical emphasis and others that focus on applications. A number of papers survey the work in a particular area and in a few papers the authors present their personal view of a topic. It is a book with a considerable number of expository articles, which are accessible to a nonexpert - a graduate student in mathematics, statistics, engineering, and economics departments, or just anyone with some mathematical background who is interested in a preliminary exposition of a particular topic. Many of the papers present the state of the art of a specific area or represent original contributions which advance the present state of knowledge. In sum, it is a book of considerable interest to a broad range of academic researchers and students of stochastic systems.
Author : Jati Sengupta
Publisher : Springer Science & Business Media
ISBN 13 : 9401730857
Total Pages : 381 pages
Book Rating : 4.4/5 (17 download)
Download or read book Stochastic Optimization and Economic Models written by Jati Sengupta and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the main applied aspects of stochas tic optimization in economic models. Stochastic processes and control theory are used under optimization to illustrate the various economic implications of optimal decision rules. Unlike econometrics which deals with estimation, this book emphasizes the decision-theoretic basis of uncertainty specified by the stochastic point of view. Methods of ap plied stochastic control using stochastic processes have now reached an exciti~g phase, where several disciplines like systems engineering, operations research and natural reso- ces interact along with the conventional fields such as mathematical economics, finance and control systems. Our objective is to present a critical overview of this broad terrain from a multidisciplinary viewpoint. In this attempt we have at times stressed viewpoints other than the purely economic one. We believe that the economist would find it most profitable to learn from the other disciplines where stochastic optimization has been successfully applied. It is in this spirit that we have discussed in some detail the following major areas: A. Portfolio models in ·:finance, B. Differential games under uncertainty, c. Self-tuning regulators, D. Models of renewable resources under uncertainty, and ix x PREFACE E. Nonparametric methods of efficiency measurement. Stochastic processes are now increasingly used in economic models to understand the various adaptive behavior implicit in the formulation of expectation and its application in decision rules which are optimum in some sense.
Author : Panayiotis G. Artikis
Publisher :
ISBN 13 :
Total Pages : 353 pages
Book Rating : 4.:/5 (117 download)
Download or read book Stochastic Discounting and Simulation a Capital Budgeting Model Applied in the Greek Banking Industry written by Panayiotis G. Artikis and published by . This book was released on 1995 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main purpose of the present research is to develop a capital budgeting stochastic simulation model for quantifying the risk and uncertainty inherent in the establishment of a new branch in Greece by a larqe multinational bank. In examining critically the existing investment evaluation methods the risk simulation approach proved a valid tool for risk and uncertainty analysis, mainly for its strength in quantifying the risk and uncertainty and its applicability to real life situations. The investigation of the Greek banking system, the environment the sample bank operates in, showed the emergence of an increasing number of profitable opportunities over the last years associated, however, with a larger degree of risk. The development of the research model, expresses the key variables of the investment project in the form of mathematical equations showing both all kind of relationships and interdependencies that exist among certain variables, and the way each variable affects the profitability criterion that is used to evaluate the investment project. Subjective probability distributions are used as a means of data inputs. The computer simulation program performs a repeatedly discounted cash flow computation with the values of the random variables being modified between iterations in accordance with their associated subjective probability distributions. The output of the simulation program is a probability distribution of the NPV and the IRR associating each possible outcome with the probability of its occurrence. The statistical analysis of the output of the simulation allows the management of the sample bank to discriminate among measures of expected return based on their probability of occurrence. Moreover, it provides a measure of the maximum risk they would be willing to accept. Finally, the superiority of the information obtained from the risk simulation approach is illustrated numerically, by comparing the output of the computer simulation program with the results produced by the method the sample bank is currently employinq to evaluate investment proposals.
Author : J.H.H Thijssen
Publisher : Springer Science & Business Media
ISBN 13 : 1402079443
Total Pages : 255 pages
Book Rating : 4.4/5 (2 download)
Download or read book Investment under Uncertainty, Coalition Spillovers and Market Evolution in a Game Theoretic Perspective written by J.H.H Thijssen and published by Springer Science & Business Media. This book was released on 2006-04-11 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two crucial aspects of economic reality are uncertainty and dynamics. In this book, new models and techniques are developed to analyse economic dynamics in an uncertain environment. In the first part, investment decisions of firms are analysed in a framework where imperfect information regarding the investment's profitability is obtained randomly over time. In the second part, a new class of cooperative games, spillover games, is developed and applied to a particular investment problem under uncertainty: mergers. In the third part, the effect of bounded rationality on market evolution is analysed for oligopolistic competition and incomplete financial markets.
Author : Denis T. Raihall
Publisher :
ISBN 13 :
Total Pages : 278 pages
Book Rating : 4.:/5 (112 download)
Download or read book A Stochastic Simulation Model for Capital Investment Analysis Under Uncertainty written by Denis T. Raihall and published by . This book was released on 1967 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexander Vollert
Publisher : Springer Science & Business Media
ISBN 13 : 1461220688
Total Pages : 275 pages
Book Rating : 4.4/5 (612 download)
Download or read book A Stochastic Control Framework for Real Options in Strategic Evaluation written by Alexander Vollert and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theoretical foundation for real options goes back to the mid 1980s and the development of a model that forms the basis for many current applications of real option theory. Over the last decade the theory has rapidly expanded and become enriched thanks to increasing research activity. Modern real option theory may be used for the valuation of entire companies as well as for particular investment projects in the presence of uncertainty. As such, the theory of real options can serve as a tool for more practically oriented decision making, providing management with strategies maximizing its capital market value. This book is devoted to examining a new framework for classifying real options from a management and a valuation perspective, giving the advantages and disadvantages of the real option approach. Impulse control theory and the theory of optimal stopping combined with methods of mathematical finance are used to construct arbitrarily complex real option models which can be solved numerically and which yield optimal capital market strategies and values. Various examples are given to demonstrate the potential of this framework. This work will benefit the financial community, companies, as well as academics in mathematical finance by providing an important extension of real option research from both a theoretical and practical point of view.
Author : Haim Levy
Publisher : Springer
ISBN 13 : 3319217089
Total Pages : 517 pages
Book Rating : 4.3/5 (192 download)
Download or read book Stochastic Dominance written by Haim Levy and published by Springer. This book was released on 2015-10-31 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: This fully updated third edition is devoted to the analysis of various Stochastic Dominance (SD) decision rules. It discusses the pros and cons of each of the alternate SD rules, the application of these rules to various research areas like statistics, agriculture, medicine, measuring income inequality and the poverty level in various countries, and of course, to investment decision-making under uncertainty. The book features changes and additions to the various chapters, and also includes two completely new chapters. One deals with asymptotic SD and the relation between FSD and the maximum geometric mean (MGM) rule (or the maximum growth portfolio). The other new chapter discusses bivariate SD rules where the individual’s utility is determined not only by his own wealth, but also by his standing relative to his peer group. Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach. The non-expected utility approach focuses on Regret Theory (RT) and mainly on prospect theory (PT) and its modified version, cumulative prospect theory (CPT) which assumes S-shape preferences. In addition to these issues the book suggests a new stochastic dominance rule called the Markowitz stochastic dominance (MSD) rule corresponding to all reverse-S-shape preferences. It also discusses the concept of the multivariate expected utility and analyzed in more detail the bivariate expected utility case. From the reviews of the second edition: "This book is an economics book about stochastic dominance. ... is certainly a valuable reference for graduate students interested in decision making under uncertainty. It investigates and compares different approaches and presents many examples. Moreover, empirical studies and experimental results play an important role in this book, which makes it interesting to read." (Nicole Bäuerle, Mathematical Reviews, Issue 2007 d)
