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  • 1
    Electronic Resource
    Electronic Resource
    The Production of Goods in Excess of Demand: A Generalization of Self-Protection (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 51-63 
    Details
    ISSN: 1554-9658
    Keywords: reserve goods ; self-protection ; insurance
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We consider a risk-averse firm producing a limited number of goods that can be defective. The firm must determine its level of production before knowing which goods will be defective. Such is the case, for example, for a producer of telecommunications satellites. The problem under scrutiny can be interpreted as a generalization of self-protection for more than two states of nature. In our model, the firm determines jointly its level of production and its demand for insurance. It is shown that, under reasonable assumptions, the two strategies are complements.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008797407679
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  • 2
    Electronic Resource
    Electronic Resource
    Background Risk, Demand for Insurance, and Choquet Expected Utility Preferences (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 7-28 
    Details
    ISSN: 1554-9658
    Keywords: demand for insurance ; background risk ; nonexpected utility
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article deals with demand for insurance with a background risk in a nonprobabilized uncertainty framework, where preferences are represented by a nonadditive model of decision making. The Choquet expected utility model that we use generalizes expected utility and allows for a separation of the attitude towards uncertainty and the attitude towards wealth. When the insurable and the background risk are comonotone, the impact of the background risk on the demand for insurance is related to the attitude towards wealth. In contrast, when the two risks are anticomonotone, the attitude towards uncertainty is determinant. In this case, some of the resulting behaviors cannot be explained by the standard expected utility model.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008730106771
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  • 3
    Electronic Resource
    Electronic Resource
    Financial Markets for Unknown Risks if Beliefs Differ (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 29-49 
    Details
    ISSN: 1554-9658
    Keywords: individual risk ; collective risk ; unknown risk ; financial markets ; mutual insurance contracts ; Arrow securities
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We consider a general equilibrium model with individual and collective risks. The article builds on a contribution by Chichilnisky and Heal, who show that contingent Arrow–Debreu equilibria can also be supported in economies with Arrow securities and mutual insurance contracts. However, they show this to be true in general only if beliefs are identical, a very restrictive assumption in the context of unknown risks. Moreover, they claim complete insurance in equilibrium to be impossible if beliefs are different. We show that even with different beliefs, firstly, complete insurance is possible in each statistical state, and secondly, contingent equilibrium can still be supported in economies with insurance and securities.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008745423609
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  • 4
    Electronic Resource
    Electronic Resource
    Editor's Note (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 5-5 
    Details
    ISSN: 1554-9658
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008742818028
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  • 5
    Electronic Resource
    Electronic Resource
    The Consequences for a Monopolistic Insurance Firm of Evaluating Risk Better than Customers: The Adverse Selection Hypothesis Reversed (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 65-79 
    Details
    ISSN: 1554-9658
    Keywords: asymmetric information ; insurance markets ; value of information ; multidimensional signaling ; informed principal
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article models a situation in which a monopolistic insurer evaluates risk better than its customers. The resulting equilibrium allocations are compared to the consequences of the standard adverse selection hypothesis. On the positive side, they exhibit the property that low-risk people are better covered than higher-risk people. On the normative side, the article shows that there are two reasons for avoiding excessive risk classification: one is the classical destruction of insurance possibilities, and the other comes from the distrustful atmosphere generated by new asymmetric information.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008749524517
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  • 6
    Electronic Resource
    Electronic Resource
    Arbitrage and Viability in Insurance Markets (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 81-99 
    Details
    ISSN: 1554-9658
    Keywords: arbitrage ; viability ; insurance pricing ; constrained trade ; transaction costs ; market incompleteness
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Insurance markets are subject to transaction costs and constraints on portfolio holdings. Therefore, unlike the frictionless asset markets case, viability is not equivalent to absence of arbitrage possibilities. We use the concept of unbounded arbitrage to characterize viable prices on a complete and an incomplete insurance market. In the complete market, there is an insurance contract for every possible event. In the incomplete market, risk can be insured through proportional and excess of loss like insurance contracts. We show how the the structure of viable prices is affected by the portfolio constraints, the transaction costs, and the structure of marketed contracts.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008701608588
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  • 7
    Electronic Resource
    Electronic Resource
    Genetic Screening and Price Discrimination in Insurance Markets (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 103-130 
    Details
    ISSN: 1554-9658
    Keywords: insurance ; genetic information ; discrimination
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Basing insurance prices on the results of an imperfect screening test to identify risk types can reduce or increase aggregate discrimination across insureds. We present a powerful and general new framework of analysis to examine this issue, drawing upon recent work which uses decomposable inequality indices to measure vertical and horizontal inequity in taxation. We find that, whilst improved test performance inevitably reduces vertical discrimination (in the average prices faced by different risk types), even very accurate tests can lead to substantial horizontal discrimination (within risk types) and enhanced overall discrimination. These conclusions are shown to be robust to a range of different value judgements about how to aggregate individual discriminatory effects and to be particularly relevant to the case of genetic screening.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008745627439
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  • 8
    Electronic Resource
    Electronic Resource
    Exclusions and the Demand for Property Insurance (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 131-139 
    Details
    ISSN: 1554-9658
    Keywords: background risk ; property insurance ; upper limit ; exclusion
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The paper examines property insurance contracts in which consumers choose the upper limit on coverage. Exclusions are of two types, and both reduce the demand for insurance of the included perils. A practical implication is that an insurer can raise the demand for fire insurance by offering an earthquake rider, and profit from the rider even when the premia are ceded in such a way that the rider does not raise profit directly. The results do not require assumptions about correlations between included and excluded losses, which is interesting because correlations are decisive in most of the other literature on background risk.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008710311509
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  • 9
    Electronic Resource
    Electronic Resource
    Equilibrium in Competitive Insurance Markets Under Adverse Selection and Yaari's Dual Theory of Risk (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 141-157 
    Details
    ISSN: 1554-9658
    Keywords: adverse selection ; nonexpected utility ; Yaari's dual theory ; separating equilibrium ; pooling equilibrium
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Under Yaari's dual theory of risk, we determine the equilibrium separating contracts for high and low risks in a competitive insurance market, in which risks are defined only by their expected losses, that is, a high risk is a risk that has a greater expected loss than a low risk. Also, we determine the pooling equilibrium contract when insurers are assumed non-myopic. Expected utility theory generally predicts that optimal insurance indemnity payments are nonlinear functions of the underlying loss due to the nonlinearity of agents' utility functions. Under Yaari's dual theory, we show that under mild technical conditions the indemnity payment is a piecewise linear function of the loss, a common property of insurance coverages.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008762312418
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  • 10
    Electronic Resource
    Electronic Resource
    Centralizing Insurance Fraud Investigation (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 159-178 
    Details
    ISSN: 1554-9658
    Keywords: fraud bureau ; ex post moral hazard ; asymmetric information ; insurance
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The study of insurance fraud and its remedy is a hot topic of research, mainly because the problem of insurance fraud is so widespread. In the United States many state governments have setup agencies to combat fraud. These Insurance Fraud Bureaus (IFB) are typically established to gather information about potential fraudulent claims, and to advise prosecuting officers on the nature of each offense. This paper presents the conditions under which more fraud will be observed in an economy where an IFB conducts all audits than in an economy where each insurance company is responsible for its own investigation. Even if fraud increases, policyholders may be better off than in economy lacking an IFB. One unambiguous case where policyholders are always better is when the IFB conducts every investigation at a cost that is equal to the industry's average.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008766413327
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  • 11
    Electronic Resource
    Electronic Resource
    Self-Protection, Information and the Precautionary Principle (2000)
    Springer
    The Geneva risk and insurance review 25 (2000), S. 179-187 
    Details
    ISSN: 1554-9658
    Keywords: self-protection ; comparative statics ; information structure ; Precautionary Principle
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper we examine the effect of information on investment in self-protection. We show that the relationship between more information and investment in self-protection is ambiguous in general. If absolute risk aversion is constant, then investment in self-protection always decreases with a better information structure. We show that if we interpret the Precautionary Principle as requiring more self-protection today, it is difficult to accept it on the grounds of efficiency, except for a particular subset of information structures.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008770530165
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  • 12
    Electronic Resource
    Electronic Resource
    Restructuring of Swiss parcel delivery services (2000)
    Springer
    OR spectrum 22 (2000), S. 285-302 
    Details
    ISSN: 1436-6304
    Keywords: Key words:Logistics – Distribution – Location ; Schlüsselwörter: Logistik – Distribution – Standortplanung
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung. In jüngster Zeit wurde die Schweizer Paketpost mit einigen dramatischen Veränderungen konfrontiert. Einerseits erfolgte eine Trennung der Teilbereiche Telekommunikation und Postdienst in zwei selbständige Unternehmen, andererseits wurde der Markt für Postdienste in der Schweiz zu einem gro{ß}en Teil liberalisiert. Diese Entwicklungen zwangen die PTT, sowohl die Organisationsstruktur als auch das logistische System zu verbessern. Im zukünftigen System, welches sich zur Zeit in der Umsetzung befindet, werden die Paketkunden hauptsächlichüber spezielle Umladepunkte bedient. Ein Hauptproblem bestand in der Bestimmung der Anzahl, der Standorte, der Grösse und der Einzugsbereiche dieser Umladepunkte. Eine Entscheidungsunterstützung erfolgte dabei mit Hilfe eines diskreten Standortmodells. Die vorliegende Arbeit beschreibt das verwendete Standortmodell und den zugehörigen Lösungsansatz, wobei schwergewichtig auf die Problematik der Bestimmung der relevanten Kostenparameter eingegangen wird.
    Notes: Abstract. Recently, the Swiss postal services has been confronted with some drastic changes. First, the areas of telecommunication and postal services were divided into two independent enterprises, and secondly, the market for postal services in Switzerland was deregulated to a large extent. These developments forced the public PTT not only to change its organisational structure but also its logistics system. In the new system the customers will be mainly served by transshipment points. A main problem was to decide on the number, the locations, the sizes, and service areas of these transshipment points. The decision was supported by means of a discrete facility location model. This paper discusses the location problem and the used solution approach. An emphasis is given on the determination of the cost parameters.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s002910050106
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  • 13
    Electronic Resource
    Electronic Resource
    Eine Simulationsanalyse zur Beurteilung von Markeninvestitionen A simulation analysis of brand investments (2000)
    Springer
    OR spectrum 22 (2000), S. 173-196 
    Details
    ISSN: 1436-6304
    Keywords: Schlüsselwörter: Markenbewertung – Risikoanalysen – Earnings-Multiples ; Key words: Brand equity – Risk analysis – Earnings multiples
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract. In the past decade several firm acquisitions have been made with the main purpose of acquiring brands. In many cases earnings multiples of 25 or more were paid. These kinds of acquisitions have often been criticized for the high amounts paid. In this article we perform a risk and sensitivity analysis that identifies situations in which earnings multiples of 25 or more make economic sense.
    Notes: Zusammenfassung. Insbesondere in den letzten 10 Jahren ist eine Vielzahl von Unternehmenskäufen zu beobachten, bei denen das Hauptakquisitionsmotiv im Erwerb von Marken zu sehen ist. Hierbei wurden häufig Earnings-Multiples von 25 oder mehr realisiert. Investitionen in dieser Größenordnung sind vielfach als betriebswirtschaftlich nicht lohnend kritisiert worden. In dem vorliegenden Beitrag wird mittels Risiko- und Sensitivitätsanalysen untersucht, unter welchen Bedingungen Markeninvestitionen, die markenspezifischen Earnings-Multiples von 25 oder mehr entsprechen, aus Sicht eines kapitalwertmaximierenden Investors vorteilhaft sind.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s002910050011
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  • 14
    Electronic Resource
    Electronic Resource
    TOPOS – A new constructive algorithm for nesting problems (2000)
    Springer
    OR spectrum 22 (2000), S. 263-284 
    Details
    ISSN: 1436-6304
    Keywords: Key words:Cutting and packing – Nesting – Constructive heuristics ; Schlüsselwörter: Zweidimensionales Zuschneideproblem – Nesting-Problem – Unregelmässige Objekte – Heuristiken – Konstruktionsverfahren
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung. In dem vorliegenden Beitrag entwickeln die Autoren ein neues Konstruktionsverfahren für das „Nesting-Problem”, d.h. für ein zweidimensionales Zuschneideproblem mit unregelmäßigen Objekten. Das Schnittmuster wird dadurch gebildet, dass sukzessive zuzuschneidende Objekte (Teile) einer Teillösung angegliedert und damit neue Teillösungen gebildet werden. Verschiedene Kriterien zur Auswahl des jeweils anzuordnenden Teils und seiner Orientierung werden vorgestellt. Außerdem werden verschiedene Zielfunktionen zur Bewertung der Teillösungen herangezogen. Insgesamt ergeben sich so 126 Varianten des Konstruktionsverfahrens, die systematisch anhand von Datensätzen aus der Literatur getestet werden. Für einige Testprobleme stellt das neue Verfahren Lösungen bereit, die besser sind als die besten bisher in der Literatur beschriebenen Lösungen.
    Notes: Abstract. In this paper we present a new constructive algorithm for nesting problems. The layout is built by successively adding a new piece to a partial solution, i.e. to the set of pieces previously nested. Several criteria to choose the next piece to place and its orientation are proposed and tested. Different objective functions are also proposed to evaluate and compare partial solutions. A total of 126 variants of the algorithm, generated by the complete set of combinations of criteria and objective functions, are computationally tested. The computational experiments are based on data sets published in the literature or provided by other authors. In some cases this new algorithm generates better solutions than the best known (published) solutions.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s002910050105
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  • 15
    Electronic Resource
    Electronic Resource
    Wachstumsorientierte Portfolioselektion auf der Grundlage von Zielerreichungszeiten (2000)
    Springer
    OR spectrum 22 (2000), S. 203-237 
    Details
    ISSN: 1436-6304
    Keywords: Schlüsselwörter: Zeitoptimal – Portfoliotheorie – Präferenzfunktion – Anlagedauer – Anlagehorizont – Wachstum – Sparen ; Key words:Time optimal – Portfolio selection – Preference function – Investment horizon – Capital growth – Geometric mean – Saving – Kelly criterion
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract. Based on the concept of time optimal portfolio selection, a specific model is developed which is designed for investors who wish to attain a certain predefined level of wealth and whose preferences can be defined on the distribution of the time at which this goal level is reached for the first time. This time marks the end of a then stochastic holding period for any risky investment strategy. In contrast to the meanwhile classic approach to portfolio selection originated by Markowitz, the portfolio choice is not based on the distribution of the portfolio value at a given future point in time, but on the distribution of the holding period afger which the portfolio value reaches the desired level the first time. The model is based on assumptions which are compatible to those of the classic one period mode. A portfolio is considered the more desirable, the shorter the mean and the lower the variance of the holding period is. This implements a mean-variance-type model based on stochastic holding periods. The asset price dynamics is modeled by an arithmetic Brownian process. The resulting portfolio frontier is isomorphic to the portfolio frontier of the standard model for positive mean returns. The efficient set instead shows highly different qualitative properties, which are invsetigated in detail and exemplified using realistic data. The set of efficient portfolios of the time optimal model is a subset of those of the standard model.
    Notes: Zusammenfassung. Ausgehend von dem Konzept der zeitoptimalen Portfolio Selection wird ein konkretes Modell entwickelt, das von Investoren mit einem gegebenen, betragsmäßig festgelegten Sparziel ausgeht, deren Präferenzen über der Verteilung der unsicheren Ansparzeit definiert werden können. Die Ansparzeit wird zur Zufallsvariablen, also unsicher. Im Gegensatz zur klassischen, auf Markowitz zurückgehenden Portfoliotheorie basiert die Portfolioentscheidung hier nicht auf der Wahrscheinlichkeitsverteilung des Portfoliowertes zu einem vorgegebenen Zeitpunkt, sondern auf der Wahrscheinlichkeitsverteilung der Zeitpunkte, zu denen der Wert des Portfolios den angestrebten Wert erreicht. Das Modell basiert auf weitgehend mit dem klassischen Modell kompatiblen Annahmen. Ein Portfolio wird als um so vorteilhafter angesehen, je kürzer der Erwartungswert der Ansparzeit und je geringer deren Varianz ist. Die Dynamik der Wertpapierpreise wird durch einen arithmetischen Brownschen Prozeß modelliert. Die resultierende Portfoliogrenze des zeitoptimalen Modells ist isomorph zu der des klassischen Modells für positive Erwartungswerte der Rendite. Die Menge der effizienten Portfolios weist jedoch wesentliche qualitative Unterschiede auf, die eingehend untersucht und anhand von Beispielen mit realistischen Daten veranschaulicht werden. Nur eine Teilmenge der im klassischen Modell effizienten Portfolios ist auch effizient im zeitoptimalen Modell.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s002910050103
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  • 16
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    Electronic Resource
    Examining the interaction of marketing and financing decisions in a dynamic environment Die Analyse der Beziehungen von Marketing- und Finanzierungsentscheidungen in einem dynamischen Umfeld (2000)
    Springer
    OR spectrum 22 (2000), S. 159-171 
    Details
    ISSN: 1436-6304
    Keywords: Key words: Strategic debt policy – Marketing and financing interactions – Debt and new product pricing policy ; Schlüsselwörter: Strategische Verschuldungspolitik – Marketing und Finanzierung – Verschuldung und Neuproduktpreispolitik
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung. Der Markterfolg eines neuen Produktes hängt in besonderem Maße von der Marketingstrategie ab, die in der Einführungsphase seines Produktlebenszyklus verfolgt wird. In der entscheidungsorientierten Marketingliteratur wird diese Problemstellung u.a. im Zusammenhang mit der Anwendung von Diffusionsmodellen diskutiert. Während die meisten Diffusionsansätze zur Modellierung der Adoptionsraten des Neuproduktes lediglich Marketingvariablen wie Preis oder Werbung heranziehen, argumentieren wir, dass der Erfolg eines Neuproduktes nicht nur von einer optimalen Marketing-Mix-Strategie, sondern auch von den Finanzierungsentscheidungen einer Firma abhängt. Wir zeigen anhand eines einfachen Diffusionsmodells auf, dass eine größere Verschuldung im Falle unsicherer Nachfrage und beschränkter Haftung die Unternehmung zu einem aggressiverem Auftreten auf dem Markt veranlasst, d.h. den Preis des Produktes zu senken. Unsere Ergebnisse implizieren, dass Marketingentscheidungen nicht isoliert, sondern in Verbindung mit finanziellen Variablen getroffen werden sollten.
    Notes: Abstract. The market success of a new product critically depends on the marketing strategy that is adopted during the introductory phase of its life cycle. The decision theoretic marketing literature provides useful insights to this problem through the application of new product diffusion models. While most of the diffusion models incorporate only marketing variables such as price or advertising into the adoption rates of the new product, we introduce the issue of financial decision making and argue that the success of a new product not only depends on an optimal marketing mix strategy but also on the financial decisions of a firm. We adopt a simple diffusion model and show that in case with demand uncertainty and limited liability more leverage (a higher debt equity ratio) causes the firm to be more aggressive in the product market, i.e., to reduce the price of the product. Our findings suggest that marketing decisions should not be taken in isolation but should be coordinated with financial variables.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s002910050010
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  • 17
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    Inventory service-levels in the customer supply chain (2000)
    Springer
    OR spectrum 22 (2000), S. 361-380 
    Details
    ISSN: 1436-6304
    Keywords: Key words: Inventory management – Service levels – Customer order waiting time – Supply chain optimization ; Schlüsselwörter: Lagerhaltung – Servicegrade – Lieferzeit – Logistikketten
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung. In dieser Arbeit wird gezeigt, dass die üblichen in Theorie und Praxis eingesetzten lagerbezogenen $\alpha-$ , $\beta-$ und $\gamma-$ Servicegrade nur begrenzte Aussagen über die einen Kunden besonders interessierende Wartezeit eines Auftrags (Lieferzeit) gestatten. Es wird ein Verfahren zur Bestimmung der Wahrscheinlichkeitsverteilung der lagerbedingten Lieferzeit in einer (r,S)-Lagerpolitik mit diskretisierter Zeiteinteilung vorgestellt. Anhand eines einfachen Optimierungsmodells werden die Möglichkeiten der Optimierung von Logistik-Ketten diskutiert, die sich ergeben, wenn man die Zeit als Leistungskriterium der einzelnen Teilprozesse verwendet.
    Notes: Abstract. In this paper we consider an inventory location that serves downstream nodes (e. g. production processes, regional warehouses or customers) in a supply chain. It is pointed out, that the overall optimization of logistical processes should be based on the order delivery time as a critical unifying dimension. It is shown that the standard $\alpha-$ , $\beta-$ and $\gamma$ -service-levels used in inventory theory, when considered from the point of view of a downstream node in the supply chain, provide only limited information about the delay the orders observe. A procedure for the determination of the probability distribution of the order waiting time in a discrete time periodic (r,S)-inventory system is developed. Implications for the optimization of sub-processes in the supply chain are discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s002910000044
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  • 18
    Electronic Resource
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    Die Bewertung von Kreditgarantien mittels Hyperoptionen (2000)
    Springer
    OR spectrum 22 (2000), S. 461-489 
    Details
    ISSN: 1436-6304
    Keywords: Schlüsselwörter: Optionspreistheorie – Hyperoptionen – Garantiebewertung – Bewertung von Derivaten ; Key words: Option valuation – Compound options – Valuation of guarantees – Valuation of derivatives
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Summary. From a financial point of view, loan guarantees can be seen as put options on parts of the company's value. Usually, loan guarantees are valued by the model by Merton. This model, however, assumes that there are neither interest payments nor repayments of the loan itself (be it guaranteed or not) before the time to maturity. Our paper presents a model that allows the valuation of loan guarantees regardless of the terms and conditions of interim payments. The suggested model is applied to loans with different conditions of repayment. Furthermore, we investigate how changes in the parameters affect the risk adjusted premia of loan guarantees.
    Notes: Zusammenfassung. Aus finanzwirtschaftlicher Sicht können Kreditgarantien als Verkaufsoptionen auf das anteilige Gesamtvermögen einer Unternehmung interpretiert werden. Die Bewertung von Kreditgarantien erfolgt üblicherweise mit dem Ansatz von Merton. Bei diesem Modell wird jedoch unterstellt, daß sowohl für den garantierten Kredit als auch für das nicht garantierte Fremdkapital vor Ablauf der Laufzeit keinerlei Zins– und Tilgungszahlungen geleistet werden. Unsere Arbeit präsentiert ein Modell zur Bewertung von Garantien auf Kredite mit beliebigen Zins– und Tilgungsmodalitäten. Das vorgeschlagene Bewertungsmodell wird auf Kredite mit unterschiedlichen Tilgungsformen angewendet. Darüber hinaus werden Sensitivitätsanalysen bezüglich der Einflußfaktoren auf die aus dem Modell resultierenden Prämiensätze durchgeführt.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s002910000037
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    A survey and annotated bibliography of multiobjective combinatorial optimization (2000)
    Springer
    OR spectrum 22 (2000), S. 425-460 
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    ISSN: 1436-6304
    Keywords: Key words: Multicriteria optimization – Combinatorial optimization – Bibliography – Exact methods – Heuristics ; Schlüsselwörter: Multikriterielle Optimierung – Kombinatorische Optimierung – Bibliographie – Exakte Verfahren – Heuristiken
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung. Der Artikel bietet einen Überblick und eine kommentierte Bibliographie über die Forschung in multikriterieller kombinatorischer Optimierung (MOCO, multiple objective combinatorial optimization). Wir stellen eine allgemeine Formulierung von MOCO Problemen vor, beschreiben die wichtigsten Charakteristika und Eigenschaften solcher Probleme und fassen die wesentlichen theoretischen Ergebnisse in diesem Forschungsgebiet zusammen. Die Hauptteile des Artikels sind die Abschnitte 4 über exakte und heuristsiche Lösungsverfahren und 6, der – problemweise untergliedert – die vorhandene Literatur kommentiert. Am Ende des Artikels steht ein Abschnitt zu offenen Fragen und Richtungen für zukünftige Forschung.
    Notes: Abstract. This paper provides a survey of the research in and an annotated bibliography of multiple objective combinatorial optimization, MOCO. We present a general formulation of MOCO problems, describe the main characteristics of MOCO problems, and review the main properties and theoretical results for these problems. The main parts of the paper are a section on the review of the available solution methodology, both exact and heuristic, and a section on the annotation of the existing literature in the field organized problem by problem. We conclude the paper by stating open questions and areas of future research.
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    Conjointanalyse-basierte Produkt(linien)gestaltung unter Berücksichtigung von Konkurrenzreaktionen Conjoint-based product (line) design considering competitive reactions (2000)
    Springer
    OR spectrum 22 (2000), S. 71-95 
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    ISSN: 1436-6304
    Keywords: Schlüsselwörter: Conjoint-Analyse – Produktgestaltung – Produkt(linien)wettbewerb – Spieltheorie ; Key words: Conjoint analysis – Product design – Product (line) competition – Game theory
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract. Our analysis starts from segment-specific conjoint models of the conditional MNL type. Hitherto contributions deriving competitive equilibria that are based on conjoint models are limited to the single product case (e.g., Choi and DeSarbo, 1993; Green and Krieger, 1997). Here not only the single product problem (i.e., one product per firm), but also product line competition is dealt with. Problems studied comprise existence and uniqueness of simultaneous position-price-equilibria, existence of inefficient equilibria and degree of differentiation between products of different firms.
    Notes: Zusammenfassung. Ausgangspunkt unserer Untersuchungen zur Conjointanalyse-basierten wettbewerbsorientierten Produktgestaltung bilden segmentspezifische konditionale MNL-Modelle. Bisher auf diesem Gebiet entwickelte Ansätze, die sich mit der Bestimmung von Marktgleichgewichten befassen, beschränken sich ausschließlich auf den Single-Produkt-Fall (z.B. Choi u. DeSarbo, 1993; Green u. Krieger, 1997). Unser Beitrag setzt sich ebenfalls mit dem Single-Produkt-Fall (d.h. ein Produkt je Anbieter) auseinander, behandelt darüber hinaus erstmals aber auch den Wettbewerb mit Produktlinien. Gegenstand der Untersuchungen sind insbesondere die Existenz und Eindeutigkeit simultaner Positions-Preis- Gleichgewichte, die Existenz ineffizienter Marktgleichgewichte sowie der Differenzierungsgrad zwischen Konkurrenzprodukten.
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    SIMPLE++ (2000)
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    OR spectrum 22 (2000), S. 197-202 
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    ISSN: 1436-6304
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
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    URL: http://dx.doi.org/10.1007/s002910050102
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    Eine Heuristik für Multiple Containerladeprobleme (2000)
    Springer
    OR spectrum 22 (2000), S. 239-261 
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    ISSN: 1436-6304
    Keywords: Schlüsselwörter: Transport – Container – Containerladeproblem – Heuristik – Dreidimensionales Bin Packing-Problem – Dreidimensionales multiples Knapsack-Problem ; Key words:Transportation – Container – Container loading problem – Heuristic – Three-dimensional Bin packing problem – Three-dimensional multiple knapsack problem
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract. The paper presents a heuristic for multiple container loading problems. The method is suited for three-dimensional bin packing problems and for three-dimensional knapsack problems as well. In order to select containers to be loaded and boxes to be packed into a chosen container in an appropriate manner the approach includes several selection strategies. A single container is filled by means of an optional procedure that is to be integrated into the overall algorithm. The performance of the heuristic is demonstrated by a numerical comparison with several methods suggested by other authors.
    Notes: Zusammenfassung. Der Beitrag stellt eine Heuristik für Multiple Containerladeprobleme (MCLP), d.h. Containerladeprobleme mit mehreren Containern, vor. Mit der Heuristik können sowohl dreidimensionale Bin Packing-Probleme wie auch dreidimensionale multiple Knapsackprobleme näherungsweise gelöst werden. Die Heuristik kooperiert bei der Erzeugung von Lösungen für MCLP mit einem frei wählbaren Verfahren für Eincontainerprobleme. Die bei MCLP zusätzlich auftretenden Freiheitsgrade bei der Güterverstauung werden durch den kombinierten Einsatz verschiedener Container- und Kistenauswahlstrategien berücksichtigt. Die Performance der Heuristik wird anhand eines Vergleichstests geprüft, der mehrere in der Literatur vorgestellte Verfahren für MCLP einschließt.
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    Numetrix/3 Production Scheduling (2000)
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    OR spectrum 22 (2000), S. 307-312 
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    ISSN: 1436-6304
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
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    Towards intelligent manufacturing planning and control systems (2000)
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    OR spectrum 22 (2000), S. 313-345 
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    ISSN: 1436-6304
    Keywords: Key words: Manufacturing Planning and Control – Architecture of PPC systems – Algorithms ; Schlüsselwörter: Produktionsplanung und -steuerung – Architekturen von PPS-Systemen – Algorithmen
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung. In dieser Arbeit betrachten wir einige bekannte Systeme und Modelle der Produktionsplanung und -steuerung (PPS) und stellen ihre jeweiligen Vor- und Nachteile heraus. Die Analyse zeigt, daß verschiedene in der Industrie anzutreffende Planungs- und Steuerungsprobleme von den gegenwärtigen PPS-Systemen nur unzureichend unterstützt werden. Um diese Planungsprobleme eingehender zu erläutern, wird auf eine bekannte Typologie von Produktionssystemen sowie auf Beispiele aus der Industrie zurückgegriffen. Daran anschließend wird eine grundlegende Architektur von Planungs- und Steuerungssystemen sowohl für lager- als auch für auftragsorientierte Produktionssysteme vorgestellt. Der Schwerpunkt liegt hierbei auf der Integration technologischer und logistischer Planungsaspekte sowie auf der Integration von kapazitäts und materialflußorientierten Gesichtspunkten. Darüber hinaus wird das Grundkonzept eines Algorithmus entwickelt, der insbesondere den letztgenannten Integrationsaspekt berücksichtigt. Die vorgeschlagene Systemarchitektur wird durch eine Reihe von Verfahren und Algorithmen zur praktischen Umsetzung einzelner Systemmodule ergänzt.
    Notes: Abstract. In this paper, we review some well-known manufacturing planning and control (MPC) systems and models, and highlight both their advantages and major drawbacks. The analysis indicates that various important planning and control problems, as they arise in industry, are not properly addressed by current MPC systems. A well-known production system typology, illustrated by industrial examples, is briefly discussed to further highlight these planning and control problems. Next, we define a basic framework architecture for planning and control in both make-to-stock and make-to-order systems. The emphasis in this framework is on an integration of technological and logistics planning, and on an integration of capacity planning and materials coordination issues. In addition to this architecture, we further define an algorithmic framework that explicitly aims at the latter integration. To complete the architecture, we suggest a variety of procedures and algorithms to implement in the various modules.
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    Komplexitätsreduktion in der Szenarioanalyse mit Hilfe dynamischer Fuzzy-Datenanalyse (2000)
    Springer
    OR spectrum 22 (2000), S. 403-420 
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    ISSN: 1436-6304
    Keywords: Schlüsselwörter: Clusteranalyse – Dynamische Fuzzy-Datenanalyse – Szenarioanalyse ; Key words: Cluster analysis – Dynamic fuzzy data analysis – Scenario analysis
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract. One goal of scenario analysis is to investigate possible future developments. In order to cover almost all alternatives it is desirable to analyze as many different scenarios as possible. On the other hand the complexity of the analysis grows as the number of scenarios increases. This often limits the number of scenarios considered. At this point dynamic fuzzy data analysis can be used. It offers methods to cluster objects (i.e. scenarios) which are represented by trajectories over time, therefore reducing complexity by extracting a small set of typical scenarios out of a large set of possible scenarios. Thereafter these typical scenarios can be interpreted by an expert. This paper describes such a dynamic fuzzy data analysis method and describes how it can be used in scenario analysis.
    Notes: Zusammenfassung. Ein Ziel der Szenarioanalyse ist die Vorwegnahme möglicher zukünftiger Entwicklungen. Hierbei möchte man einerseits viele Szenarien betrachten, um möglichst alle Alternativen für die Zukunft zu erfassen. Andererseits steigt mit der Anzahl betrachteter Szenarien auch die Komplexität der Analyse, insbesondere bei der Extraktion typischer Szenarien aus der Menge aller betrachteten Szenarien, so dass oft nur relativ wenige Szenarien untersucht werden. An dieser Stelle bietet die dynamische Fuzzy-Datenanalyse Hilfe. Sie ermöglicht die Clusterung von Objekten (hier: Szenarien), die durch (zeitliche) Trajektorien beschrieben sind. Durch diese Clusterung kann eine große Menge von Szenarien auf eine kleine Menge typischer Szenarien reduziert werden, welche dann zur weiteren Interpretation durch Experten zur Verfügung stehen. Dieser Artikel beschreibt ein solches dynamisches Fuzzy-Clusterverfahren, und zeigt, wie es in der Szenarioanalyse eingesetzt werden kann.
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    Equity index replication with standard and robust regression estimators (2000)
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    OR spectrum 22 (2000), S. 525-543 
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    ISSN: 1436-6304
    Keywords: Key words: Approximate equity index replication – Linear regression – Robust estimation – Non-linear estimation – Tracking error ; Schlüsselwörter: Performance-Index – Näherungsweise Aktienindex-Nachbildung – Lineare Regression – Robuste Schätzverfahren
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung. Ein Performance-Index wie der DAX kann nicht durch zeitkonstante Gewichtung von Kursen dargestellt werden. Dasselbe gilt für bereinigte Kurse, falls der Beobachtungszeitraum mindestens einen Verkettungstermin umfasst. Analoge (negative) Aussagen gelten auch für diskrete Index- bzw. Aktienrenditen. Gänzlich unmöglich wird eine lineare Darstellung bei Verwendung von stetigen Renditen. Im ersten Teil der Arbeit wird aufgezeigt, daß sich diese Probleme bei Regressionsmodellen zur näherungsweisen Nachbildung des DAX in Verletzungen der Prämissen des klassischen Regressionsmodells niederschlagen. Der zweite Teil enthält einen empirischen Vergleich verschiedener Tracking-Prozeduren: naive Gleichgewichtung, Kleinst-Quadrate-Schätzung und robuste Schätzung.
    Notes: Abstract. Approximate equity index replication, based on a linear regression setting, is critically reviewed. It is shown that tracking a performance index like the German DAX necessarily leads to violations of basic assumptions of the classical regression model. Violations occur even if the model is formulated in terms of stock price levels. When the model is based on discretely or continuously compounded returns the situation is more critical. Due to these violations, the optimality properties of the regression estimators are generally weak. In the time series context, outliers in financial time series may additionally affect the standard least squares estimator. Despite of these critical points, it is argued that regression techniques may still provide a useful tool for index replication. With respect to outliers, robust estimators can potentially provide an alternative to least squares. Hence, apart from least squares, a non-redescending and a redescending robust estimator is fitted. The empirical results for the DAX are obtained with a subset portfolio containing the most heavily weighted index members. Compared to a naive weighting scheme, the results document that least squares estimation highly improves out-of-sample replication performance. Typically, the use of robust estimators does not show replication improvements. However, when substantial market movements are present in the sample, superior replication can be obtained.
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    A micro-simulation model of firms: Applications of concepts of the demography of the firm (2000)
    Springer
    Papers in regional science 79 (2000), S. 111-134 
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    ISSN: 1435-5957
    Keywords: JEL classification: R11, R15, R30 ; Key words:Demography of the firm, regional economic growth, micro-simulation, firm formation, firm dissolution
    Source: Springer Online Journal Archives 1860-2000
    Topics: Geography , Economics
    Notes: Abstract. Recently, there is an increasing demand in spatial planning for models based on the demographic concepts of birth and death of firms. This article describes the structure of a spatial demographic simulation model of firms, and its application within The Netherlands. The model structure is essentially of the familiar demographic cohort component type, where an initial cohort of firms ages in a number of discrete steps, and where in each step additions and subtractions to and from the population are modelled using birth, death and migration components. Apart from the central processes of birth, death and migration, the type of economic activity and firm size are highly important for understanding firm behaviour over time. The article describes the transition functions for each of the demographic components and for firm growth. In addition, some empirical results are presented of a number of model simulations in The Netherlands. The results were partly validated using observed economic demographic data. It is concluded that a substantial amount of work remains to be done in this new field. The model presented here has direct implications for the research agenda of the study of the demography of the firm.
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    Lessons from the debate on Cole's model closure (2000)
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    Papers in regional science 79 (2000), S. 233-242 
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    ISSN: 1435-5957
    Keywords: JEL classification: C67, D57, E17, R15 ; Key words: Input-output analysis, social accounting, model closure, expenditure lags, supply effects
    Source: Springer Online Journal Archives 1860-2000
    Topics: Geography , Economics
    Notes: Abstract. Cole (1989, 1997, 1999) advocates the introduction of expenditure lags and the fullest possible closure of single-region input-output models. Jackson et al. (1997, 1999) claim that closing also with regard to the Rest-of-the-World leads to inconsistencies and zero exogenous demand, which makes impact studies impossible. Using somewhat different arguments I agree with them: endogenous interregional feedbacks are conceptually impossible outside a full interregional model. Two hardly discussed points, however, remain for further research. First, closing with regard to all other regional demand is precarious too, as it empirically and theoretically amplifies the one-sidedness of the demand-driven input-output model. Realistic impact studies ask for models including supply-side aspects. Second, adding expenditure lags is an improvement, but the way in which this can be done and should be done requires further theoretical development.
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    Optimal search on spatial paths with recall, Part II: Computational procedures and examples (2000)
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    Papers in regional science 79 (2000), S. 293-305 
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    ISSN: 1435-5957
    Keywords: JEL classification: D83, R10 ; Key words: Search, spatial search, spatial economics
    Source: Springer Online Journal Archives 1860-2000
    Topics: Geography , Economics
    Notes: Abstract. This is the second part of a two-part analysis of optimal spatial search begun in Harwitz et al. (1998). In the present article, two explicit computational procedures are developed for the optimal spatial search problem studied in Part I. The first uses reservation prices with continuous known distributions of prices and is illustrated for three stores. The second does not use reservation prices but assumes known discrete distributions. It is a numerical approximation to the first and also a tool for examining examples with larger numbers of stores.
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    Regional variations in firm formation: Panel and cross-section data evidence from Finland (2000)
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    Papers in regional science 79 (2000), S. 355-373 
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    ISSN: 1435-5957
    Keywords: JEL classification: R12, C33 ; Key words: Firm formation, regions, panel data
    Source: Springer Online Journal Archives 1860-2000
    Topics: Geography , Economics
    Notes: Abstract. This article investigates regional variations in firm formation in Finland between 1989 and 1993, and estimates the effects of regional factors on firm formation utilising panel and cross-sectional data. Panel data evidence shows that the average size of firms and establishments in the subregions tends to explain firm formation in Finland most robustly. Cross-sectional results for Finland and several other countries tend to show that demand growth is also an important factor explaining regional firm formation. Panel data results appear to differ from the cross-sectional ones.
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    Human capital and per capita product: A comparison of US states (2000)
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    Papers in regional science 79 (2000), S. 393-411 
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    ISSN: 1435-5957
    Keywords: JEL Classification: R11 ; Key words: Human capital, US states, gross regional product, growth accounting
    Source: Springer Online Journal Archives 1860-2000
    Topics: Geography , Economics
    Notes: Abstract. This article analyzes the extent to which human capital differences can explain the differences in gross state product (GSP) per capita levels between the richer and poorer states of the US. It uses 1990 Census and Bureau of Economic Analysis data on educational attainment, wage levels of different segments of the labor force, and GSP to compare New York – our representative rich state – with the poorest third of the states. The findings indicate that human capital differences explain at least 49% of the observed difference in GSP per capita between New York and each of the poor states.
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    Editors' introduction (2000)
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    Economics of governance 1 (2000), S. 1-2 
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    ISSN: 1435-8131
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
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    Establishing a reputation for dependability by means of inflation targets (2000)
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    Economics of governance 1 (2000), S. 53-76 
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    ISSN: 1435-8131
    Keywords: Key words:Inflation targets, establishing credibility, precision of inflation control ; JEL classification:E5, E63
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper develops a simple intertemporal model of inflation targets within a framework in which the public is uncertain about the dependability of policymakers, and in which policymakers do not perfectly control inflation. The framework is used to evaluate the effects of various parameters like the rate of time preference, initial reputation, and transparency (or precision of inflation control) on planned inflation, announced targets and the evolution of reputation and of inflationary expectations. The paper also shows that, when allowed to choose the precision of inflation control, more dependable policymakers will often choose relatively more precise control procedures. Implications for the type of inflation stabilization (cold turkey or gradual) chosen by dependable policymakers are also derived.
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    Regime shifts in the Danish term structure of interest rates (2000)
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    Empirical economics 25 (2000), S. 1-13 
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    ISSN: 1435-8921
    Keywords: Key words: Expectations hypothesis, regime switching ; JEL classifications: C32, E43
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Within a bivariate VAR model allowing for two-state Markov regime switching we test and evaluate the Expectations Theory (ET) of the term structure using Danish 1- and 3-months interest rates covering the period 1976–1997. A regime-shift approach is used in order to account for the change in monetary policy and the 1992–93 exchange rate crises that occured during this period. The basic findings are that these episodes did change the term structure, and, although we do find departures from the ET, several of the implications of the theory are consistent with the data, especially in the later part of the sample.
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    Aggregation in models with quantity constraints: The CES aggregation function (2000)
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    Empirical economics 25 (2000), S. 35-59 
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    ISSN: 1435-8921
    Keywords: Key words: Macroeconomics, smoothing-by-aggregation, mismatch, approximation ; JEL classifications: E10, J60
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper is devoted to the problem of aggregation in models with quantity constraints. The focus is on quantity rationing macroeconomic (QRM) models where the micromarket outcome can be written as the minimum of several variables and where the diversity of situations across micromarkets is explicitly recognized. The aggregation result given in this paper generalizes that of Lambert (1988) to employment functions with more than two components, and leads to approximate aggregate functions of the CES variety. The approximation used can accomodate general variance-covariance structures. Simulation experiments show that the approximation error remains within reasonable bounds (1–4%). It thus seems that the CES formulation can accomodate a large variety of situations. It remains in particular valid when the (restrictive) conditions required to obtain the CES function as an exact result (independently and identically distributed Weibull variables) are not satisfied.
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    Price convergence of peripheral European countries on the way to the EMU: A time series approach (2000)
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    Empirical economics 25 (2000), S. 149-168 
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    ISSN: 1435-8921
    Keywords: Key words: Nominal convergence, unit root, cointegration, time-varying parameters ; JEL classifications: C22, E31, F15
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper examines price and inflation convergence between three European countries (Italy, Spain and the U.K.) and a European average and, alternatively, between them and Germany from the beginning of the 80's.  For this purpose the long-run stochastic relationships on prices derived from the convergence criteria agreed in the Maastricht Treaty are analyzed. In order to do this, some recent unit root tests have been applied as well as time-varying parameters models.  The results reject the long-run convergence hypothesis in all the cases but allow us to accept the existence of catching-up with the European average and Germany in some cases depending on the nature of the prices and on the countries considered.
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    Is it efficient to analyse efficiency rankings? (2000)
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    Empirical economics 25 (2000), S. 189-208 
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    ISSN: 1435-8921
    Keywords: Key words: Bootstrap, confidence intervals, frontiers, inefficiency, membership function, ranking ; JEL classification: C2, C4, C6, J3
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. When production functions are estimated as frontier functions, the deviations from the frontier can be interpreted as individual inefficiency estimates. Unfortunately, it has recently been shown that efficiency differences across individuals are very often statistically insignificant. In this paper, we will analyse the consequences of the consideration of confidence statements for the reliability of efficiency rankings. The stochastic frontier and confidence intervals derived by Horrace and Schmidt are compared to the COLS approach and bootstrap confidence intervals. The membership function is proposed as a simple Monte-Carlo approximation for the probability for an individual to be the most efficient in the sample.
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    Constrained nonparametric regression analysis of load curves (2000)
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    Empirical economics 25 (2000), S. 229-246 
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    ISSN: 1435-8921
    Keywords: Key words: Natural smoothing splines, load-curves, nonparametric regression under shape constrains ; JEL classification: C14, C53
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. In this paper, we analyze household load curves through the use of Constrained Smoothing Splines. These estimators are natural smoothing splines that allow to incorporate periodic shape constraints. Since the time pattern of electricity demand combines strong periodical regularities with abrupt changes along time, a nonparametric regression estimator that is able to incorporate regularity constrains appears to be very well suited to approach load curves. In the paper we also propose a method to compute the penalty parameters that appear in the constrained smoothing spline estimator, we show some statistical properties and finally we construct confidence intervals.
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    Assessing the impact of taxes on female labor supply using a finite mixture approach (2000)
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    Empirical economics 25 (2000), S. 279-296 
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    ISSN: 1435-8921
    Keywords: Key words: Heterogeneity in preferences, finite mixtures, female labor supply, taxes, tax simulation ; JEL classification: J22, H24
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper expands the standard analysis of female labor supply to permit preference heterogeneity by using a finite mixture model. Using the extended model, we obtain theory consistent results whereas a traditional model produces a negative substitution effect. We use our model to illustrate the labor supply effects of a tax reform, corresponding to 1983–1992 changes in the Swedish income-tax schedule. The results shows an expected reduction in tax revenues of about 17%. Finally, we use Monte Carlo simulations and show that our proposed mixture model is robust towards different misspecifications.
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    Black market exchange rates in India: an empirical analysis (2000)
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    Empirical economics 25 (2000), S. 297-313 
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    ISSN: 1435-8921
    Keywords: Key words: Black market exchange rate, cointegration and error correction, trade liberalisation, forex reserves, India ; JEL classification: C2, F4, O5.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. In this paper, we explore the determinants of black market (BM) exchange rates in India using annual data from 1955–1994 and integration and cointegration analysis. Two important factors, namely the import capacity of official foreign exchange reserves and restrictions on international trade, have largely been ignored as determinants of BM rates. We stress the importance of these two factors and incorporate them, with others more familiar in the literature, in our theoretical and empirical model for BM rates in India. Our empirical findings show that a low level of official foreign exchange reserves negatively and a high level of trade restrictions positively affect BM rates. We show that the flexible Bretton Woods exchange rate policies for India in 1973 have a negative impact on BM rates. The results also reveal that interest rate policies positively affect BM rates. Thus, our empirical model lends support to the trade and monetary approaches to BM rates and hence, trade restrictions with excess money supply should be removed to eliminate the BMs for forex in India.
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    Institutional specifics and unemployment insurance eligibility in Canada: How sensitive are employment duration effects? (2000)
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    Empirical economics 25 (2000), S. 327-350 
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    ISSN: 1435-8921
    Keywords: Key words: unemployment insurance, institutions, employment, duration models ; JEL classification: J64, J65
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. The paper examines the influence of unemployment insurance on the duration of employment spells in Canada using the 1988–90 Labour Market Activity Survey. The primary focus of the paper is to evaluate whether estimated UI effects are sensitive to the degree to which institutional rules and regulations governing UI eligibility and entitlement are explicitly modelled. The key result of the paper is that it is indeed important to allow for institutional detail when estimating unemployment insurance effects. Estimates using simple proxies for eligibility indicate small, often insignificant UI effects. The size and significance of the effects rise as more realistic versions of the variables are adopted. The estimates using the eligibility variables incorporating the greatest level of institutional detail suggest that a jump in the hazard rate by a factor of 2.3 may not be an unreasonable estimate of the effect.
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    Detrending methods and stylized facts of business cycles in Norway – an international comparison (2000)
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    Empirical economics 25 (2000), S. 369-392 
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    ISSN: 1435-8921
    Keywords: Key words: Unit roots ; trend-cycle estimation ; stylized facts ; real business cycles ; JEL classifications: C20 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper analyses the stylized facts of business cycles in Norway, by comparing different detrending methods. As the choice of the appropriate data transformation depends on the nature of the underlying dynamic properties of the time series, a set of unit root tests are first applied to the data. The detrended data are analysed, both in the time domain and the frequency domain. The evidence suggests that whereas some variables (e.g. consumption and investment) behave consistently procyclically with GDP, for other variables (e.g. real wage and prices), the business cycle properties vary considerably with the detrending methods used. The results are evaluated from a real business cycle perspective, but overall, there is little evidence to support a (supply driven) real business cycle. Symmetries in business cycles are finally analysed by comparing the business cycles in Norway and selected countries.
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    Dynamic analysis of British demand for tourism abroad (2000)
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    Empirical economics 25 (2000), S. 421-436 
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    ISSN: 1435-8921
    Keywords: Key words: Preference endogeneity ; demand for tourism ; habit persistence ; JEL classification: D1
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper investigates how preference endogeneity, in the form of habit persistence, can affect short-run and long-run tourism expenditure decisions. The proposed model is applied to British quarterly data over the period 1979–91 and the empirical results suggest that preference endogeneity appears to have an important effect. This has policy implications for countries competing for British tourist arrivals. The differences between the short-run and long-run price and budget elasticities which are implied by habit persistence are also investigated.
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    Segmented stochastic convergence across the G-7 countries (2000)
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    Empirical economics 25 (2000), S. 463-474 
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    ISSN: 1435-8921
    Keywords: Key words: Cointegration ; structural break ; stochastic convergence ; JEL Classification: O41
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper analyzes the stochastic convergence in per capita income levels among the current G-7 over the period 1900–89. We show that, in the presence of possible structural breaks, the strong condition of stationary pair-wise differences between per capita GDP holds in more cases than previously supposed. However, convergence occurs more frequently in the first part of the time sample than in the second one.
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    Sources of output growth in Singapore's services sector (2000)
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    Empirical economics 25 (2000), S. 495-506 
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    ISSN: 1435-8921
    Keywords: Key words: Total factor productivity growth ; technical efficiency ; technological progress ; JEL classification: C33 ; L8 ; 08
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. As services are an important engine of growth for Singapore, this paper attempts to empirically investigate the sources of output growth in this sector to shed light on the debate sparked off by Krugman (1994) on the miraculous or mythical growth of Singapore and the other newly industralizing Southeast Asian economies. This is done by using the stochastic production frontier model with panel data. Unlike existing studies which used the conventional growth accounting approach to decompose output growth into just input growth and total factor productivity (TFP) growth, this approach further decomposes TFP growth into technological progress and changes in technical efficiency.
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    Invariance, price indices and estimation in almost ideal demand systems (2000)
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    Empirical economics 25 (2000), S. 519-539 
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    Keywords: Key words: AIDS model ; invariance ; price indices ; conditional estimation ; Monte Carlo ; JEL classification: D12
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Two issues are addressed in this paper. First, we explore the issue of price index invariance in the linearized Almost Ideal demand system. We establish that the Stone index, which lacks invariance, and the recently proposed invariant Laspeyres, Paasche and Tornqvist indices all generate biased and inconsistent estimators. Monte Carlo evidence shows that invariance does not necessarily lead to better estimates of price and income elasticities insofar as the Stone and Paasche indices are unambiguously inferior to the Laspeyres and Tornqvist indices, especially if prices are not strongly positively correlated. Second, we examine the merits of the widely used conditional ML estimator of the non-linear Almost Ideal system in which a prior value is chosen for the “subsistence” parameter. We find that the bias and trace mean square error increases induced by conditional estimation are modest. The choice between the linearized and the non-linear models favors the latter although in some cases linear methods are as good as non-linear.
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    What color are commodity prices? A fractal analysis (2000)
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    Empirical economics 25 (2000), S. 563-580 
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    ISSN: 1435-8921
    Keywords: Key words: Fractal Analysis ; Long-Memory and Persistence ; Commodity Price Colors ; JEL Classification: C22 ; E31 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Commodity price behavior holds much interest not only because these markets are affected by waves of speculative activity similar to security markets but more so that these commodities are linked to industries which purchase them and developing country producers which supply them. Commodity spot and future prices have thus been studied extensively. This research extends this work by employing recent fractal approaches to evaluate how the apparent random movements associated with short term behavior can also persist when examining long run behavior. We thus test for the presence of a persistent and finite variance component (i.e. long memory stationary process) as opposed to an infinite variance component (i.e. short memory nonstationary process) in a selected group of international commodity price series. Both fractal and persistent dependence hypotheses and test statistics have been employed. Estimates made of the power law exponent and of the nonintegral or fractional exponent suggest generating processes which are closer to black noise than to white, pink or brown noise.
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    Is there a Laffer curve between aggregate output and public sector employment? (2000)
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    Empirical economics 25 (2000), S. 605-621 
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    ISSN: 1435-8921
    Keywords: Key words: public sector ; Laffer curve ; threshold models ; JEL classification: H11 ; J45
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper develops a model of the relationship between public sector employment, total output and aggregate real demand in market prices, where public employment has a positive productivity effect on private output. Public employment crowds out private employment and output because its increase induces higher wages and taxes. The valuation of government output is also taken into account. While public employment affects total output and aggregate real demand in an a priori ambiguous way, numerical simulations suggest that the relationship may be nonlinear; positive, when public sector is “small” and negative, when it is “large”. Using the annual data from 22 OECD countries over the period 1960–1996 and estimating and testing for threshold models and more commonly used specifications with multiplicative interaction terms give support to this nonlinearity hypothesis between public employment and private sector output.
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    Efficiency of labour use in the Swedish banking industry: a stochastic frontier approach (2000)
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    Empirical economics 25 (2000), S. 623-640 
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    ISSN: 1435-8921
    Keywords: Key words: Labour demand ; labour-use ; technical efficiency ; banking industry ; JEL Classification: C23 ; D24 ; G21
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. The purpose of this paper is to analyse the impact of the deregulation of the Swedish banking industry in the mid-1980s, and the consequent banking crisis, on productive efficiency and productivity growth in the industry. An unbalanced panel of Swedish banks is studied over the period, 1984 to 1995. A total of 1275 observations are analysed for 156 banks that were observed for between two and twelve years. We adopt a translog stochastic frontier model to estimate the labour-use requirements in terms of the variables, loans, deposits, guarantees, number of branches and total inventories, together with the year of observation. The inefficiency effects in the labour-use frontier are modelled in terms of the number of branches, total inventories, the type of bank and year of observation. The technical inefficiencies of labour use of Swedish banks were found to be significant, with mean inefficiencies per year estimated to be between about 8 and 15 per cent over the years of study. However, the confidence interval predictions for these inefficiencies were found to be quite wide.
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    Peaks or tails – What distinguishes financial data? (2000)
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    Empirical economics 25 (2000), S. 665-671 
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    Keywords: Key words: empirical densities ; heavy tails ; JEL classification: C13 ; C14
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from “normal” variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data sets of stock returns, both higher peaks and lower peaks than in a standard normal case can be obtained.
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    Recruitment channel use and applicant arrival: An empirical analysis (2000)
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    Empirical economics 25 (2000), S. 673-697 
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    ISSN: 1435-8921
    Keywords: Key words: recruitment ; labour demand ; JEL classification: J63
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper focuses on the recruitment behaviour of firms at the extensive margin; we empirically explore the relationship between employer search strategies and the number of applicants by means of (reduced form) two-equations simultaneous models. The empirical analysis is carried out on a rich micro data set on Dutch employer recruitment behaviour. Our empirical analysis reveals that the economic conditions prevailing on the labour market influence employer search activity at the extensive margin. In particular, we see that in tight (slack) labour markets characterised by excess demand (supply) of labour, the flow of applicants is smaller (larger). Employers react to the shortage (excess) of applicants by using more (less) often advertisements. This recruitment channel appears to trigger a significantly larger flow of applicants.
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    Preface (2000)
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    Annals of operations research 100 (2000), S. 13-23 
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    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
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    Subroutines for Computing Normal Probabilities of Sets—Computer Experiences (2000)
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    Annals of operations research 100 (2000), S. 103-122 
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    Keywords: multidimensional normal distribution ; stochastic programming ; reliability theory
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract A subroutine package, called NORSET, has been prepared, that—via Monte Carlo integration—is suitable for evaluating several types of probabilities related to the n-dimensional normal distribution. The following probabilities can be computed: the distribution function value, the probabilities of rectangles, convex polyhedra, hyperellipsoids and circular cones in case of normal distribution. Probabilities accurate to three digits can be computed in less than 0.3 sec for up to 20 dimensions and in less than 10 secs for up to 100 dimensions. The description of the subroutines, results of computer testing and experimentations together with the conclusions are presented here.
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    Tandem queues in bulk port operations (2000)
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    Annals of operations research 93 (2000), S. 1-14 
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    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The study is motivated by the operations at the bulk material handling port of Kamsar in Guinea. Bauxite ore is brought to port to load vessels that arrive on a semi‐scheduled basis. Vessels go through several stages of delays due to sailing, tide and due to time in a waiting berth before and after they are loaded. We propose bounds and an approximation for a modified port time which is a significant measure of performance in bulk‐material port operations.
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    Comparison among three pull control policies: kanban, base stock, and generalized kanban (2000)
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    Annals of operations research 93 (2000), S. 41-69 
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    ISSN: 1572-9338
    Keywords: generalized kanban policy ; kanban policy ; base stock policy ; queueing networks ; performance evaluation ; design
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper is concerned with make‐to‐stock pull control policies. A classical policy is the kanban policy. Another policy, very easy to implement, is the base stock policy. These two policies contain one design parameter per stage. A general control policy, known as the generalized kanban policy, can also be used to implement the pull mechanism. The generalized kanban policy includes, as special cases, the kanban and the base stock policies. This policy uses two parameters for each stage of the production system. The aim of this paper is to provide qualitative and quantitative comparisons of these three policies. The results of our study will help to choose the policy to implement in order to control a production system. We give practical rules. We also show that if there is no delay in filling orders, all three policies have similar costs. However, for the systems studied, we show that, if there is a delay in filling orders, generalized kanban systems and base stock systems yield close to optimal costs, which are lower than costs of kanban systems for the same service quality.
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    A simulated annealing approach for buffer allocation in reliable production lines (2000)
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    Annals of operations research 93 (2000), S. 373-384 
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    ISSN: 1572-9338
    Keywords: simulated annealing ; production lines ; buffer allocation ; decomposition method
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We describe a simulated annealing approach for solving the buffer allocation problem in reliable production lines. The problem entails the determination of near optimal buffer allocation plans in large production lines with the objective of maximizing their average throughput. The latter is calculated utilizing a decomposition method. The allocation plan is calculated subject to a given amount of total buffer slots in a computationally efficient way.
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    Capacity analysis of an automated kit transportation system (2000)
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    Annals of operations research 93 (2000), S. 423-446 
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    ISSN: 1572-9338
    Keywords: assembly system ; closed queueing network ; priorities ; mean value analysis
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, we present a capacity analysis of an automated transportation system in a flexible assembly factory. The transportation system, together with the workstations, is modeled as a network of queues with multiple job classes. Due to its complex nature, the steady‐state behavior of this network is not described by a product‐form solution. Therefore, we present an approximate method to determine the capacity of the network. We first study a number of key elements of the system separately and subsequently combine the results of this analysis in an Approximate Mean Value Analysis (AMVA) algorithm. The key elements are a buffer/transfer system (the bottleneck of the system), modeled as a preemptive‐repeat priority queue with identical deterministic service times for the different job classes, a set of elevators, modeled as vacation servers, a number of work cells, modeled as multi‐server queues, and several non‐accumulating conveyor belts, modeled as ample servers. The AMVA algorithm exploits the property that the initial multi‐class queueing network can be decomposed into a sequence of single‐class queueing networks and hence is very efficient. Comparison of numerical results of the AMVA algorithm for the throughputs for the different job classes to simulation results shows that the AMVA algorithm is also accurate. For several series of instances, the maximum relative error that we found was only 4.0%.
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    A robust decomposition method for the analysis of production lines with unreliable machines and finite buffers (2000)
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    Annals of operations research 93 (2000), S. 265-297 
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    ISSN: 1572-9338
    Keywords: production lines ; unreliable machines ; finite buffers ; decomposition method ; hyper‐exponential distributions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We consider production lines consisting of a series of machines separated by finite buffers. The processing time of each machine is deterministic and all the machines have the same processing time. All machines are subject to failures. As is usually the case for production systems we assume that the failures are operation dependent [3,7]. Moreover, we assume that the times to failure and the repair times are exponentially distributed. To analyze such systems, a decomposition method was proposed by Gershwin [13]. The computational efficiency of this method was later significantly improved by the introduction of the so‐called DDX algorithm [5,6]. In general, this method provides fairly accurate results. There are, however, cases for which the accuracy of this decomposition method may not be acceptable. This is the case when the reliability parameters (average failure time and average repair time) of the different machines have different orders of magnitude. Such a situation may be encountered in real production lines. In [8], an improvement of Gershwin's original decomposition method has been proposed that in general provides more accurate results in the above mentioned situation. This other method is referred to as the Generalized Exponential (GE) method. The basic difference between the GE‐method and that of Gershwin is that it uses a two‐moment approximation instead of a single‐moment approximation of the repair time distributions of the equivalent machines. There are, however, still cases for which the accuracy of the GE‐method is not as good as expected. This is the case, for example, when the buffer sizes are too small in comparison with the average repair time. We present in this paper a new decomposition method that is based on a better approximation of the repair time distributions. This method uses a three‐moment approximation of the repair time distributions of the equivalent machines. Numerical results show that the new method is very robust in the sense that it seems to provide accurate results in all situations.
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    Sensitivity analysis and decomposition of unreliable production lines with blocking (2000)
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    Annals of operations research 93 (2000), S. 245-264 
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    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The analysis of finite‐buffered, unreliable production lines is often based on the method of decomposition, where the original system is decomposed into a series of two‐stage subsystems that can be modeled as quasi birth‐death processes. In this paper, we present methods for computing the gradients of the equilibrium distribution vector for such processes. Then we consider a specific production line with finite buffers and machine breakdowns and develop an algorithm that incorporates gradient estimation into the framework of Gershwin's approximate decomposition. The algorithm is applied to the problem of workforce allocation to the machines of a production line to maximize throughput. It is shown that this problem is equivalent to a convex mathematical programming problem and, therefore, a globally optimal solution can be obtained.
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    A unified framework for pull control mechanisms in multi‐stage manufacturing systems (2000)
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    Annals of operations research 93 (2000), S. 325-355 
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    ISSN: 1572-9338
    Keywords: pull production control ; kanban ; base stock
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper presents a unified framework for pull production control mechanisms in multi‐stage manufacturing systems. A pull production control mechanism in a multi‐stage manufacturing system is a mechanism that coordinates the release of parts into each stage of the system with the arrival of customer demands for final products. Four basic pull production control mechanisms are presented: Base Stock, Kanban, Generalized Kanban, and Extended Kanban. It is argued that on top of any of these basic coordination mechanisms, a local mechanism to control the work‐in‐process in each stage may be superimposed. Several cases of basic stage coordination mechanisms with stage work‐in‐process control are presented, and several production control systems that have appeared in the literature are shown to be equivalent to some of these cases.
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    Efficient algorithms for buffer space allocation (2000)
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    Annals of operations research 93 (2000), S. 117-144 
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    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper describes efficient algorithms for determining how buffer space should be allocated in a flow line. We analyze two problems: a primal problem, which minimizes total buffer space subject to a production rate constraint; and a dual problem, which maximizes production rate subject to a total buffer space constraint. The dual problem is solved by means of a gradient method, and the primal problem is solved using the dual solution. Numerical results are presented. Profit optimization problems are natural generalizations of the primal and dual problems, and we show how they can be solved using essentially the same algorithms.
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    The multiple server effect: Optimal allocation of servers to stations with different service‐time distributions in tandem queueing networks (2000)
    Springer
    Annals of operations research 93 (2000), S. 71-90 
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    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Traditionally, studies on tandem queueing networks concentrate on systems with infinite buffers, exponential service times, and/or single servers where solutions are more tractable. Less research can be found on more general, less tractable systems. We examine multiple‐server systems with finite buffers and non‐exponential service times, studying the effects of coefficient of variation (cv) of the service‐time distribution on the throughput of these systems, where cv differs among stations. Starting with the single station, we examine the effects of cv and the number of servers at the station on the distribution of interdeparture times. This insight helps explain the differences in throughput seen in the single (fast) server vs. multiple (slow) server problem. These results, in turn, shed light on the server allocation problem when cv differs among stations. We present some observations, as well as the intuition behind them.
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    Multiple criterion management of a sequential fishery (2000)
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    Annals of operations research 94 (2000), S. 259-273 
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    Keywords: fisheries management ; fisheries economics ; and stochastic transboundary resource allocation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract A static stochastic simulation was used to assess the performance of alternative management strategies in the satisfaction of multiple objective criteria in the context of a sequentially exploited transboundary resource. The model was applied to the Yukon River chum salmon (Oncorhynchus keta) fishery. Four strategies were evaluated using three criteria: probability of satisfying escapement objectives; probability of jointly satisfying escapement and subsistence harvest objectives; and probability of simultaneously reaching escapement, subsistence and commercial harvest objectives. The modeled strategies were also compared with the actual performance of the fishery for 1980–1995. The results indicate that satisfaction of escapement and subsistence harvest goals in the middle Yukon depends on imposing restrictive limits on commercial harvests in the lower Yukon. However, even with full information, escapement objectives in the upper drainage are only satisfied 65–70% and 75–80% of the time for summer and fall chum, respectively. The model was also used to explore the effects of increased average run strength that could arise from reduced bycatch of Yukon origin chum in marine fisheries. The results suggest that reduced marine interceptions are unlikely to substantially increase the probability of satisfying catch and escapement goals for the middle and upper Yukon.
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    A mathematical programming model applied to the study of water markets within the Spanish agricultural sector (2000)
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    Annals of operations research 94 (2000), S. 105-123 
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    ISSN: 1572-9338
    Keywords: water markets ; mathematical programming models ; irrigation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Spanish irrigated agriculture uses about 80% of all the nation's available water resources. The need to increase the economic efficiency of current uses of water in the agricultural sector is perceived as the top priority of the country's national water policy. In Spain surface water is centrally allocated among competing users based on allocation criteria dictated by the Water Law. The complete absence of price or market signals is a major obstacle to induce irrigators to use water more efficiently. Water markets within the agricultural sector is a promising, though scarcely analyzed in Spain, solution to increase its economic efficiency. This research is an attempt to evaluate probable water transfers among farmers and irrigation districts as well as water price equilibria resulting from different water market arrangements. Three interconnected mathematical programming models permit the simulation of water use at the farm level and water market arrangements in the Guadalquivir Valley (Spain). Results show that water markets would be highly dependent on the level of transaction costs and on the relative reductions of water allotments due to non‐overlapping drought cycles among water districts.
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    Economic and biological risk analysis of the Norwegian spring‐spawning herring fishery (2000)
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    Annals of operations research 94 (2000), S. 197-217 
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    ISSN: 1572-9338
    Keywords: fishing ; Norwegian spring‐spawning herring ; population dynamics ; risk analysis
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The purpose of this paper is to study the biological and economic risks involved in the management of the Norwegian spring‐spawning herring fishery. We use a discrete time and age‐structured model based on historical data. The current paper investigates, under different levels of fishing mortalities, the risk probabilities related to the time behaviour of the spawning stock and profit. We show that the exploitation of the herring stock is vulnerable to small changes in harvesting and price level.
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    Control and game-theoretic assessment of climate change: Options for Joint Implementation (2000)
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    Annals of operations research 97 (2000), S. 203-212 
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    ISSN: 1572-9338
    Keywords: conflict ; cooperation ; energy economics ; environmental control ; game theory ; resource allocation ; system dynamics ; 90-99 ; 90A16 ; 90A30 ; 90D50 ; 93C55 ; 93C95
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The Framework Convention on Climate Change (FCCC) demands reductions in greenhouse gas emissions by the industrialized countries, while developing countries are still permitted to expand their energy consumption and greenhouse gas emissions. To identify, assess and compare options for avoiding and minimizing anthropogenic climate change, the framework of dynamic-game models (the SCX conflict model and the problem-specific TEM model) is applied to analyze the interaction between energy technologies, emission reductions and economic output with regard to energy use and the relationship between conflict and cooperation in climate policy. Basic variables are energy production, emissions into the enviroment, the energy price and the economic output. Major control parameters are the allocation of funding with regard to various energy options and the degree of international cooperation through technology transfer and capital flow. In particular, the impact of cooperation between industrialized and developing countries is evaluated to understand the role of governments in the transition to sustainable market economies. Simulations and numerical results are presented which can be used in a constructive way to implement a Joint-Implementation Program as an advanced market institution.
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    Discrete time dynamic game model for price competition in an oligopoly (2000)
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    Annals of operations research 97 (2000), S. 69-89 
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    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This article deals with the situation where some firms (agents) compete in an oligopoly market with a global demand constraint. Price competition in the oligopoly is modelled as discrete time dynamic n-agents game over a finite time horizon. Agents maximize the sum of their profits which depend on their own price and on their market demands. The evolution of agents' market demands is determined by all agents' price decisions. We introduce and analyze some simple classes of strategies. Our main interest is to assess some sort of strategies and to find the best response to them. In the final section we prove the existence of exactly one Nash equilibrium in the class of stationary strategies.
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    A review of mathematical models in economic environmental problems (2000)
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    Annals of operations research 97 (2000), S. 165-201 
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    ISSN: 1572-9338
    Keywords: dynamic models ; capital ; labour ; resources ; pollution ; utility function ; optimal solution
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The paper presents a review of mathematical models used in economic analysis of environmental problems. This area of research combines macroeconomic models of growth, as dependent on capital, labour, resources, etc., with environmental models describing such phenomena like natural resources exhaustion or pollution accumulation and degradation. In simpler cases the models can be treated analytically and the utility function can be optimized using, e.g., such tools as the maximum principle. In more complicated cases calculation of the optimal environmental policies requires a computer solution.
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    Optimal Control of One-Dimensional Partial Differential Algebraic Equations with Applications (2000)
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    Annals of operations research 98 (2000), S. 45-64 
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    ISSN: 1572-9338
    Keywords: optimal control ; partial differential equations ; numerical methods ; transdermal systems ; acetylene reactors
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We present an approach to compute optimal control functions in dynamic models based on one-dimensional partial differential algebraic equations (PDAE). By using the method of lines, the PDAE is transformed into a large system of usually stiff ordinary differential algebraic equations and integrated by standard methods. The resulting nonlinear programming problem is solved by the sequential quadratic programming code NLPQL. Optimal control functions are approximated by piecewise constant, piecewise linear or bang-bang functions. Three different types of cost functions can be formulated. The underlying model structure is quite flexible. We allow break points for model changes, disjoint integration areas with respect to spatial variable, arbitrary boundary and transition conditions, coupled ordinary and algebraic differential equations, algebraic equations in time and space variables, and dynamic constraints for control and state variables. The PDAE is discretized by difference formulae, polynomial approximations with arbitrary degrees, and by special update formulae in case of hyperbolic equations. Two application problems are outlined in detail. We present a model for optimal control of transdermal diffusion of drugs, where the diffusion speed is controlled by an electric field, and a model for the optimal control of the input feed of an acetylene reactor given in form of a distributed parameter system.
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    Some New Bounds for Singular Values and Eigenvalues of Matrix Products (2000)
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    Annals of operations research 98 (2000), S. 141-148 
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    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract For two Hermitian matrices A and B, at least one of which is positive semidefinite, we give upper and lower bounds for each eigenvalue of AB in terms of the eigenvalues of A and B. For two complex matrices A,B with known singular values, upper and lower bounds are deduced for each singular value of AB.
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    Computational Discretization Algorithms for Functional Inequality Constrained Optimization (2000)
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    Annals of operations research 98 (2000), S. 215-234 
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    Keywords: functional inequality constrained optimization problem ; discretization method ; adaptive method ; convergence analysis
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, a functional inequality constrained optimization problem is studied using a discretization method and an adaptive scheme. The problem is discretized by partitioning the interval of the independent parameter. Two methods are investigated as to how to treat the discretized optimization problem. The discretization problem is firstly converted into an optimization problem with a single nonsmooth equality constraint. Since the obtained equality constraint is nonsmooth and does not satisfy the usual constraint qualification condition, relaxation and smoothing techniques are used to approximate the equality constraint via a smooth inequality constraint. This leads to a sequence of approximate smooth optimization problems with one constraint. An adaptive scheme is incorporated into the method to facilitate the computation of the sum in the inequality constraint. The second method is to apply an adaptive scheme directly to the discretization problem. Thus a sequence of optimization problems with a small number of inequality constraints are obtained. Convergence analysis for both methods is established. Numerical examples show that each of the two proposed methods has its own advantages and disadvantages over the other.
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    Some remarks on properties for choice functions (2000)
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    Annals of operations research 97 (2000), S. 45-53 
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    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, we present five categories of results by studying the interrelationships between properties for choice functions. The first category is about the localization assumption. The second category is about the relative egalitarian solution. The third category provides an axiomatic characterization of the equal loss solution. The fourth and fifth categories consist of lexicographic extensions of the equal loss and relative egalitarian solutions respectively.
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    Preface (2000)
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    Annals of operations research 98 (2000), S. 13-16 
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    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
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    The Optimal Control of a Train (2000)
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    Annals of operations research 98 (2000), S. 65-87 
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    Keywords: train control ; optimal control ; discrete control ; optimal switching times
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We consider the problem of determining an optimal driving strategy in a train control problem with a generalised equation of motion. We assume that the journey must be completed within a given time and seek a strategy that minimises fuel consumption. On the one hand we consider the case where continuous control can be used and on the other hand we consider the case where only discrete control is available. We pay particular attention to a unified development of the two cases. For the continuous control problem we use the Pontryagin principle to find necessary conditions on an optimal strategy and show that these conditions yield key equations that determine the optimal switching points. In the discrete control problem, which is the typical situation with diesel-electric locomotives, we show that for each fixed control sequence the cost of fuel can be minimised by finding the optimal switching times. The corresponding strategies are called strategies of optimal type and in this case we use the Kuhn–Tucker equations to find key equations that determine the optimal switching times. We note that the strategies of optimal type can be used to approximate as closely as we please the optimal strategy obtained using continuous control and we present two new derivations of the key equations. We illustrate our general remarks by reference to a typical train control problem.
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    Global Minimization of Increasing Positively Homogeneous Functions over the Unit Simplex (2000)
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    Annals of operations research 98 (2000), S. 171-187 
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    Keywords: global optimization ; cutting angle method ; increasing positively homogeneous function
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper we study a method for global optimization of increasing positively homogeneous functions over the unit simplex, which is a version of the cutting angle method. Some properties of the auxiliary subproblem are studied and a special algorithm for its solution is proposed. A cutting angle method based on this algorithm allows one to find an approximate solution of some problems of global optimization with 50 variables. Results of numerical experiments are discussed.
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    Single Machine Scheduling with Learning Effect Considerations (2000)
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    Annals of operations research 98 (2000), S. 273-290 
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    Keywords: scheduling ; sequencing ; learning
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper we study a single machine scheduling problem in which the job processing times will decrease as a result of learning. A volume-dependent piecewise linear processing time function is used to model the learning effects. The objective is to minimize the maximum lateness. We first show that the problem is NP-hard in the strong sense and then identify two special cases which are polynomially solvable. We also propose two heuristics and analyse their worst-case performance.
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    Average Cost Optimality for an Unreliable Two-Machine Flowshop with Limited Internal Buffer (2000)
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    Annals of operations research 98 (2000), S. 333-351 
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    Keywords: production planning ; stochastic dynamic programming ; optimal control ; long-run average cost
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We consider a production planning problem in a two-machine flowshop subject to breakdown and repair of machines and subject to nonnegativity and upper bound constraints on work-in-process. The objective is to choose machine production rates over time to minimize the long-run average inventory/backlog and production costs. For sufficiently large upper bound on the work-in-process, the problem is formulated as a stochastic dynamic program. We then establish a verification theorem and a partial characterization of the optimal control policy if it exists.
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    An Interior Point Algorithm for Computing Saddle Points of Constrained Continuous Minimax (2000)
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    Annals of operations research 99 (2000), S. 59-77 
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    Keywords: saddle points ; interior point methods ; constrained optimization
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The aim of this paper is to present an algorithm for finding a saddle point to the constrained minimax problem. The initial problem is transformed into an equivalent equality constrained problem, and then the interior point approach is used. To satisfy the original inequality constraints a logarithmic barrier function is used and special care is given to step size parameter to keep the variables within permitted boundaries. Numerical results illustrating the method are given.
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    Building and Solving Large-Scale Stochastic Programs on an Affordable Distributed Computing System (2000)
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    Annals of operations research 99 (2000), S. 167-187 
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    Keywords: algebraic modeling language ; decomposition methods ; distributed systems ; large-scale optimization ; stochastic programming
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We present an integrated procedure to build and solve big stochastic programming models. The individual components of the system – the modeling language, the solver and the hardware – are easily accessible, or a least affordable to a large audience. The procedure is applied to a simple financial model, which can be expanded to arbitrarily large sizes by enlarging the number of scenarios. We generated a model with one million scenarios, whose deterministic equivalent linear program has 1,111,112 constraints and 2,555,556 variables. We have been able to solve it on the cluster of ten PCs in less than 3 hours.
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    Scenarios for Multistage Stochastic Programs (2000)
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    Annals of operations research 100 (2000), S. 25-53 
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    Keywords: scenarios and scenario trees ; clustering ; importance sampling ; matching moments ; problem oriented requirements ; inference and bounds
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract A major issue in any application of multistage stochastic programming is the representation of the underlying random data process. We discuss the case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model. No assumptions on convexity with respect to the random parameters are required. We emphasize the notion of representative scenarios (or a representative scenario tree) relative to the problem being modeled.
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    On the Financial Value of Information (2000)
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    Annals of operations research 100 (2000), S. 123-132 
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    Keywords: portfolio optimization ; Kelly criterion ; information theory
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Results of Kelly [5] and Breiman [2] relating optimal growth rates for gambling and investing to information distances are generalised to include return distributions for virtually any type of game or asset. These results are achieved by first introducing the notion of the optimal financial derivative instrument for a given gamble or investment and then solving the related optimisation problem. For assets varying continuously over time, a formula for optimal dynamic portfolio adjustment follows for commonly occurring models, assuming no transaction costs. The latter results are applied to assets with normal and lognormal returns. The results for these are demonstrated using simulation.
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    Stochastic Nonstationary Optimization for Finding Universal Portfolios (2000)
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    Annals of operations research 100 (2000), S. 165-188 
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    Keywords: constant rebalanced portfolios ; optimal growth ; stochastic programming ; nonstationary optimization
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We apply ideas from stochastic optimization for defining universal portfolios. Universal portfolios are that class of portfolios which are constructed directly from the available observations of the stocks behavior without any assumptions about their statistical properties. Cover [7] has shown that one can construct such portfolio using only observations of the past stock prices which generates the same asymptotic wealth growth as the best constant rebalanced portfolio which is constructed with the full knowledge of the future stock market behavior. In this paper we construct universal portfolios using a different set of ideas drawn from nonstationary stochastic optimization. Our portfolios yield the same asymptotic growth of wealth as the best constant rebalanced portfolio constructed with the perfect knowledge of the future and they are less demanding computationally compared to previously known universal portfolios. We also present computational evidence using New York Stock Exchange data which shows, among other things, superior performance of portfolios which explicitly take into account possible nonstationary market behavior.
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    Term Structure Models in Multistage Stochastic Programming: Estimation and Approximation (2000)
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    Annals of operations research 100 (2000), S. 189-209 
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    Keywords: stochastic programming ; approximation ; term structure models
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper investigates some common interest rate models for scenario generation in financial applications of stochastic optimization. We discuss conditions for the underlying distributions of state variables which preserve convexity of value functions in a multistage stochastic program. One- and multi-factor term structure models are estimated based on historical data for the Swiss Franc. An analysis of the dynamic behavior of interest rates generated with these models reveals several deficiencies which have an impact on the performance of investment policies derived from the stochastic program. While barycentric approximation is used here for the generation of scenario trees, these insights may be generalized to other discretization techniques as well.
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    A Pricing Model for American Options with Gaussian Interest Rates (2000)
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    Annals of operations research 100 (2000), S. 211-226 
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    Keywords: American options ; early exercise ; change of numeraire ; interest rates
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper we introduce a new methodology to price American put options under stochastic interest rates. We derive an analytic approximation that can be evaluated very fast and is fairly accurate. The method uses the so-called forward risk adjusted measure to derive analytic prices. We show that for American puts the correlation between the stock price and the interest rate has different influences on European option values and early exercise premiums.
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    Production systems with interruptions, arbitrary topology and finite buffers (2000)
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    Annals of operations research 93 (2000), S. 145-176 
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    Keywords: production systems ; expansion methodology ; machine breakdown ; machine vacations ; N‐policy ; split‐merge topology ; finite buffers
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We consider a production system with finite buffers and arbitrary topology where service time is subject to interruptions in one of three ways, viz. machine breakdown, machine vacations or N‐policy. We develop a unified approximation (analytical) methodology to calculate the throughput of the system using queueing networks together with decomposition, isolation and expansion techniques. The methodology is rigorously tested covering a large experimental region. Orthogonal arrays are used to design the experiments in order to keep the number of experiments manageable. The results obtained using the approximation methodology are compared to the simulation results. The t‐tests carried out to investigate the differences between the two results show that they are statistically insignificant. Finally, we test the methodology by applying it to several arbitrary topology networks. The results show that the performance of the approximation methodology is consistent, robust and produces excellent results in a variety of experimental conditions.
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    Approximate analysis of unreliable transfer lines with splits in the flow of material (2000)
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    Annals of operations research 93 (2000), S. 217-243 
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    Keywords: flow line ; buffer allocation ; performance analysis ; split operation ; quality inspection ; production rate ; inventory level ; Markov process model ; decomposition
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper presents a Markov process model and an approximate decomposition technique for a discrete material transfer line with limited buffer capacity. A fraction of the parts processed at some stations in the line may be scrapped or reworked at dedicated machines to meet product quality requirements. Reworked parts are not sent back into the main line. This leads to splits in the flow of material. Processing times are deterministic and identical for all machines and are taken as the time unit. Machine specific times to failure and to repair are geometrically distributed. The model is analyzed through a decomposition into two‐machine systems. We develop new decomposition equations for machines performing split operations. Production rates and inventory levels are computed and compared to simulation results. The results indicate that the method produces useful results for a variety of systems.
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    A two‐level queueing network model with blocking and non‐blocking messages (2000)
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    Annals of operations research 93 (2000), S. 357-372 
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    Keywords: queueing networks with blocking ; decomposition algorithms ; BCMP theorem
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We analyze a novel two‐level queueing network with blocking, consisting of N level‐1 parallel queues linked to M level‐2 parallel queues. The processing of a customer by a level‐1 server requires additional services that are exclusively offered by level‐2 servers. These level‐2 servers are accessed through blocking and non‐blocking messages issued by level‐1 servers. If a blocking message is issued, the level‐1 server gets blocked until the message is fully processed at the level‐2 server. The queueing network is analyzed approximately using a decomposition method, which can be viewed as a generalization of the well‐known two‐node decomposition algorithm used to analyze tandem queueing networks with blocking. Numerical tests show that the algorithm has a good accuracy.
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    Asymptotic variance rate of the output in production lines with finite buffers (2000)
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    Annals of operations research 93 (2000), S. 385-403 
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    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Production systems that can be modeled as discrete time Markov chains are considered. A state‐space‐based method is developed to determine the variance of the number of parts produced per unit time in the long run. This quantity is also referred to as the asymptotic variance rate. The block tridiagonal structure of the probability matrix of a general two‐station production line with a finite buffer is exploited and a recursive method based on matrix geometric solution is used to determine the asymptotic variance rate of the output. This new method is computationally very efficient and yields a thousand‐fold improvement in the number of operations over the existing methods. Numerical experiments that examine the effects of system parameters on the variability of the performance of a production line are presented. The computational efficiency of the method is also investigated. Application of this method to longer lines is discussed and exact results for a three‐station production line with finite interstation buffers are presented. A thorough review of the pertinent literature is also given.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1018992327521
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  • 89
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    Simulation optimization of buffer allocations in production lines with unreliable machines (2000)
    Springer
    Annals of operations research 93 (2000), S. 177-216 
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    ISSN: 1572-9338
    Keywords: stochastic optimization ; buffer allocation ; tandem manufacturing lines ; steady state throughput ; sample path optimization ; gradient estimation ; generalized semi‐Markov processes
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We use a recent simulation‐based optimization method, sample path optimization, to find optimal buffer allocations in tandem production lines where machines are subject to random breakdowns and repairs, and the product is fluid‐type. We explore some of the functional properties of throughput of such systems and exploit these properties to prove the almost sure convergence of our optimization technique, under a regularity condition on the steady state. Utilizing a generalized semi‐Markov process (GSMP) representation of the system, we derive recursive expressions to compute one‐sided directional derivatives of throughput, from a single simulation run. Finally, we give computational results for lines with up to 50 machines. We also compare results for smaller lines with the results from a more conventional method, stochastic approximation, whenever applicable. In these numerical studies, our method performed quite well on problems that are considered difficult by current computational standards.
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    URL: http://dx.doi.org/10.1023/A:1018900729338
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  • 90
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    Open access fisheries utilization with an endogenous regulatory structure: An expanded analysis (2000)
    Springer
    Annals of operations research 94 (2000), S. 231-257 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The paper expands the Homans/Wilen model of endogenous fisheries management by providing a more general dynamic formulation, by introducing a disaggregated vessel level analysis, by comparing three different strategies to achieve the target harvest level, and by considering the possibility of political intervention in setting target harvest levels based on the economic conditions of participants. It is demonstrated that using different regulations to support the same total harvest program will cause the fishery to behave differently with respect to the shape of the time path, equilibrium fleet size, season length, vessel daily output level, and in some cases the possibility of achieving an equilibrium. Also, political intervention to relax total harvest levels will change the time path and can change the equilibrium.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1018904830246
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    Individual transferable vessel quotas and efficient restructuring of the primary harvesting sector (2000)
    Springer
    Annals of operations research 94 (2000), S. 275-294 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Over the last three decades most of the world's fisheries have been subject to management programs that have tried to limit the use of key fishing inputs. Inevitably, these restrictions have proven ineffective at preventing rent dissipation and stock depletion. More noteworthy is that fishers have subverted the intentions of these restrictions by adjusting the primary harvesting technology. This has led to an inefficient industrial structure characterized by capital stuffing on the part of each vessel, excess employment, an inefficient mix of vessels in the fleet, and too many vessels altogether. A promising means of encouraging more efficient primary harvesting is the individual transferable vessel quota that allocates a given catch to each vessel, thereby giving an incentive to catch the quota at least cost. This paper examines efficiency gains and potential industry restructuring from the introduction of an ITVQ into a fishery that was previously subject to input restrictions. Using data from the British Columbia salmon fishery, this paper estimates restricted cost functions for each of four different vessel types and simulates the operations of a market for ITVQs. The demand for quota comes from individual vessels and is found by differentiating the cost function with respect to the shadow price of quota. The market for quota is in equilibrium when the total demand for quota is equal to the fixed supply of quota set by the government. This implicitly defines the equilibrium quota rental price. Results show that the ITVQ could generate unit rental prices for quota between 31 and 93 cents per pound (18–53% of the average landed price). Using this simulated price, each vessel's cost‐minimizing strategy is defined and both low cost vessels (those that will buy quota) and high cost vessels (those that will sell quota and exit the fishery) are identified. Quota trades between the two groups result in efficiency gains. These include reduced capital stuffing, exit of less efficient vessel types, attainment of economies of scale, and an efficient composition of vessel types in the fleet. In aggregate these gains lead to an estimate of annual resource rent that is approximately equal to one third of the value of the catch.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1018913032064
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    Layoff costs and underutilization of labour in fisheries (2000)
    Springer
    Annals of operations research 94 (2000), S. 343-355 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The cost of reducing the labour force during a transition from an overexploited fishery to a bionomic fishery is taken into account. This affects both the long run steady state and the optimal approach to steady state. These effects are illustrated using the case of the Northeast‐Arctic cod stock as a stylized example. The method outlined represents an operational way to assess harvest quotas as well as effort quotas both in the steady state and not least on the path to steady state. In the steady state analysis completely general functional forms are used, whereas in the optimal path analysis the objective function is required to be quadratic in the control variable. This requirement, however, incorporates the most important sources of nonlinearities such as downward sloping demand and increasing marginal costs.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1018937704747
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  • 93
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    Modelling the trade‐offs between farm income and the reduction of erosion and nitrate pollution (2000)
    Springer
    Annals of operations research 94 (2000), S. 91-103 
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    ISSN: 1572-9338
    Keywords: erosion ; nitrate pollution ; environmental impacts ; multi‐objective programming ; Tunisia
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Water is a very limited resource in Tunisia, both in quantity and in quality. Problems of quality are related to urban, industrial and agricultural activity. Erosion is causing dams to silt up and is leading to phosphorus accumulation in water. The use of agrochemicals, primarily nitrogen and phosphorus, is causing problems of eutrophication. This paper presents the results of a study of sediment and nitrate pollution. The methodology used is based on the EPIC simulation model and a multi‐objective programming model (MOPM). The data generated by EPIC are input for the MOPM together with the economic variables. These tools are applied to a 486 ha farm located in northern Tunisia which includes an irrigated area of 300 ha. The study considers three objectives: maximization of gross margin, minimization of erosion, and minimization of nitrate losses. The non‐inferior set estimation method is implemented to generate the trade‐off curves between the objectives. Results show that nitrate losses are important for both rainfed and irrigated land. The same conclusion is valid for erosion. It is shown that the farmer can reduce the environmental burden without decreasing gross margin, since he is operating below the efficiency curve.
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    URL: http://dx.doi.org/10.1023/A:1018941805656
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  • 94
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    Direct spatial optimization in natural resource management: Four linear programming examples (2000)
    Springer
    Annals of operations research 95 (2000), S. 67-81 
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    ISSN: 1572-9338
    Keywords: spatial optimization ; wildlife habitat connectivity ; exotic pest dispersal ; reaction-diffusion models
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper discusses methods for directly incorporating spatial relationships in natural resource optimization models. The approaches are contrasted with the conventional emphasis on adjacency restrictions. Four formulations are presented that address a variety of problems using linear (continuous-variable) programming, which allows reliable solvability of even very large models. The problems addressed include: habitat placement for the black-footed ferret (an aggressive disperser), habitat placement for the black-tailed prairie dog (a gregarious, recalcitrant disperser), placement of control efforts directed at restricting the spread of an exotic pest, and the semi-permanent placement of habitat for the northern spotted owl (a static problem).
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    URL: http://dx.doi.org/10.1023/A:1018902124311
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  • 95
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    MOIRA: A decision support system for decision making on aquatic ecosystems contaminated by radioactive fallout (2000)
    Springer
    Annals of operations research 95 (2000), S. 341-364 
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    ISSN: 1572-9338
    Keywords: decision analysis ; multi-attribute value model ; sensitivity analysis ; decision support system ; radionuclide contamination ; aquatic ecosystem
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Interventions to restore radionuclide contaminated aquatic ecosystems may reduce individual and collective radiation doses, but may also result in detrimental ecological, social and economic effects. Decision makers must carefully evaluate possible impacts before choosing a countermeasure, hence decision analysis methods constitute an important aid to rank intervention strategies after the contamination of an aquatic ecosystem. We describe MOIRA, a decision support system for the identification of optimal remedial strategies to restore water systems after accidental introduction of radioactive substances. MOIRA includes an evaluation module based on a multi-attribute value model to rank alternatives and a module to perform multiparametric sensitivity analyses, both with respect to weights and values, to allow us to gain insights into the problem. The problem is under certainty since the validation of models used to quantify countermeasure impacts suggests little uncertainty in policy effects. The system is implemented in a PC based decision support system which allows the inclusion of all relevant information.
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    URL: http://dx.doi.org/10.1023/A:1018910326129
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    Forest planning at the tactical level (2000)
    Springer
    Annals of operations research 95 (2000), S. 3-18 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Forest management and planning can involve large tracts of land involving numerous areal units. One approach to plan activities for a forested region over decades involves breaking down decision making into three components: strategic, tactical, and operational. Each level of the management hierarchy can involve the development and application of optimization models. These models typically aid in exploring management alternatives as well as multi-objective tradeoffs. Even though a strategic model can provide support for long term management at a broad scale, solutions may not be feasible at an operational level. Tactical level modeling helps to bridge solutions reached at a strategic level using operational planning information. This paper presents several tactical level planning models that have been developed as a part of a research effort supported by the US Forest Service. These models have been utilized in land use management and planning by the US Forest Service through a specially developed spatial decision support system.
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    URL: http://dx.doi.org/10.1023/A:1018922728855
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    WARSYP: a robust modeling approach for water resources system planning under uncertainty (2000)
    Springer
    Annals of operations research 95 (2000), S. 313-339 
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    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this work we present a solution procedure for multiperiod water resources system planning, where the aim is to obtain the optimal policy for water resources utilization under uncertainty. The target levels to be achieved are related to the following parameters: reservoir capacity, hydropower demand and other demand uses for urban, industrial, irrigation, ecological and other purposes. The approach allows for the conjunctive use of surface systems together with groundwater. The hydrological exogenous inflow and demand of different kinds are considered via a scenario analysis scheme due to the uncertainty of the parameters. So, a multistage scenario tree is generated and, through the use of full recourse techniques, an implementable solution is obtained for each scenario group at each stage along the planning horizon. A novel scheme is presented for modeling the constraints to preserve the reserved stored water in (directly and non-directly) upstream reservoirs to satisfy potential future needs in demand centers at given time periods. An algorithmic framework based on augmented Lagrangian decomposition is presented. Computational experience is reported for the deterministic case.
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    URL: http://dx.doi.org/10.1023/A:1018926829763
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  • 98
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    The deterministic multi-item dynamic lot size problem with joint business volume discount (2000)
    Springer
    Annals of operations research 96 (2000), S. 317-337 
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    ISSN: 1572-9338
    Keywords: lot size model ; business volume discount ; heuristic ; dynamic programming
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper considers the multi-item dynamic lot size model where joint business volume discount is applied for all items purchased whenever the total dollar value of an order reaches a certain level. Multi-item discounts are prevalent in practical applications, yet the literature has only considered limited instances of single-item models. We establish the mathematical formulation and design an effective dynamic programming based heuristic. Computational results disclose our approach obtains high quality solutions that dominate the best known heuristic for the simplified one-item case, and that proves vastly superior to the state-of-the-art CPLEX MIP code for the multi-item case (for which no alternative heuristics have been devised). We obtained significantly better solutions than CPLEX for the more complex problems, while running from 4800 to over 100,000 times faster. Enhanced variants of our method improve these outcomes further.
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    URL: http://dx.doi.org/10.1023/A:1018999418377
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    Solving a chemical batch scheduling problem by local search (2000)
    Springer
    Annals of operations research 96 (2000), S. 17-38 
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    ISSN: 1572-9338
    Keywords: case study ; batch production ; tabu search ; general shop problem ; time-lags ; mixed graph scheduling
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper the following chemical batch scheduling problem is considered: a set of orders has to be processed on a set of facilities. For each order a given amount of a product must be produced by means of chemical reactions before a given deadline. The production consists of a sequence of processes whereby each process has to be performed by one facility out of a given subset of facilities allowed for this process. The processing times depend on the choice of the facility and the processing is done in batch mode with given minimum and maximum sizes. The problem is to assign the processes to the facilities, splitting them into batches, and scheduling these batches in order to produce the demands within the given deadlines. For the scheduling part of the problem we present an approach based on the following steps. First, a procedure to calculate the minimum number of batches needed to satisfy the demands is presented. Based on this, the given problem is modeled in two different ways: as a general shop scheduling problem with set-up times or as scheduling problem with positive time-lags. Finally, a two-phase tabu search method is presented which is based on the two different formulations of the problem. The method is tested on some real world data.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1018959704264
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    Real-time dispatch of trams in storage yards (2000)
    Springer
    Annals of operations research 96 (2000), S. 287-315 
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    ISSN: 1572-9338
    Keywords: dispatch ; local transport ; quadratic assignment ; stack ; 90Cxx ; 90C10 ; 90C27 ; 90C39
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Real-time dispatch problems arise when preparing and executing the daily schedule of local transport companies. We consider the daily dispatch of transport vehicles like trams in storage yards. Immediately on arrival, each tram has to be assigned to a location in the depot and to an appropriate round trip of the next schedule period. In order to achieve a departure order satisfying the scheduled demand, shunting of vehicles may be unavoidable. Since shunting takes time and causes operational cost, the number of shunting movements should be minimized without violation of operational constraints. As an alternative, we may serve some round trips with trams of type differing from the requested type. In practice, the actual arrival order of trams may differ substantially from the scheduled arrival order. Then, dispatch decisions are due within a short time interval and have to be based on incomplete information. For such real-time dispatch problems, we develop combinatorial optimization models and exact as well as heuristic algorithms. Computational experience for real-world and random data shows that the derived methods yield good (often optimal) solutions within the required tight time bounds.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1018907720194
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