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  • Articles  (7,623)
  • Articles: DFG German National Licenses  (7,623)
  • Springer  (7,623)
  • International Union of Crystallography (IUCr)
  • 1990-1994  (7,279)
  • 1915-1919  (344)
  • Economics  (7,623)
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  • Articles  (7,623)
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  • 1
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    The Geneva risk and insurance review 19 (1994), S. 7-21 
    ISSN: 1554-9658
    Keywords: Economics of the art market ; price index ; financial markets
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Art is priceless, but paintings, and other objects, have been sold on markets since the time of the Roman Empire. In this paper, we describe a method for constructing a price index for paintings and compare this index to the indices of various financial markets. In particular, we discuss whether the price of art is related to financial markets, whether the art market is weakly efficient, and whether it is more or less risky than financial markets.
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  • 2
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    The Geneva risk and insurance review 19 (1994), S. 35-51 
    ISSN: 1554-9658
    Keywords: Preventive investment ; occupational injuries ; compensation ; risk-aversion
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper analyzes the behavior of a competitive risk-averse firm that has to choose the optimal level of labor and preventive safety measures. If the firm's injury function includes a random component, then the firm is characterized by a lower demand for labor and by a higher demand for safety measures with respect to a firm whose injury risk is completely under its control. The comparative statics show that shifts in the parameters of the risk distribution will have effects that depend on the absolute risk-aversion functions. The introduction of safety standards will prompt a reduction in the demand for labor while a tightening of the compensation system will have ambiguous effects on the demand for the two inputs.
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  • 3
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    The Geneva risk and insurance review 19 (1994), S. 53-72 
    ISSN: 1554-9658
    Keywords: Life insurance ; asset-liability management ; solvency
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper we develop a contingent claim model to evaluate the equity and liabilities of a life insurance company. The limited liability of shareholders is explicitly modelled. We focus on a specific type of life insurance policy—namely, the profit-sharing policy. In this policy, the policyholder is entitled to a guaranteed interest rate and a percentage of the company's yearly financial revenues. The implicit equilibrium interest rate and profit-sharing ratio are derived and analyzed. We finally discuss regulatory measures frequently encountered in the life insurance business such as rate ceilings, capital ratios, and asset restrictions.
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  • 4
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    The Geneva risk and insurance review 19 (1994), S. 23-34 
    ISSN: 1554-9658
    Keywords: Insurance demand ; multiple sources of risk ; compulsory insurance ; standard risk aversion ; prudence
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The assumption usually made in the insurance literature that risks are always insurable at the desired level does not hold in the real world: some risks are not—or are only partially—insurable, while others, such as civil liability or health and workers' injuries, must be fully insured or at least covered for a specific amount. We examine in this paper conditions under which a reduction in the constrained level of insurance for one risk increases the demand of insurance for another independent risk. We show that it is necessary to sign the fourth derivative of the utility function to obtain an unambiguous spillover effect. Three different sufficient conditions are derived if the expected value of the exogenous risk is zero. The first condition is that risk aversion be standard—that is, that absolute risk aversion and absolute prudence be decreasing. The second condition is that absolute risk aversion be decreasing and convex. The third condition is that both the third and the fourth derivatives of the utility function be negative. If the expected value of the exogenous risk is positive, a wealth effect is added to the picture, which goes in the opposite direction if absolute risk aversion is decreasing.
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  • 5
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    The Geneva risk and insurance review 19 (1994), S. 73-76 
    ISSN: 1554-9658
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
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  • 6
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    The Geneva risk and insurance review 19 (1994), S. I 
    ISSN: 1554-9658
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
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  • 7
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    The Geneva risk and insurance review 19 (1994), S. 93-95 
    ISSN: 1554-9658
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
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  • 8
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    The Geneva risk and insurance review 19 (1994), S. 97-99 
    ISSN: 1554-9658
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
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  • 9
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    The Geneva risk and insurance review 19 (1994), S. 81-92 
    ISSN: 1554-9658
    Keywords: Social insurance ; Redistribution ; Welfare state
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper first discusses the standard reasons why private insurance cannot be expected to function well and why public intervention in or public provision of insurance can improve on private market outcomes. These arguments are based on efficiency but also on equity considerations. Then the paper turns to new developments in modern societies that might affect the balance between social and private insurance. They pertain to the current working of labor markets, to the openness of our economies and the ensuing fiscal competition, and to the crediblity and commitment problems faced by the state. The paper concludes that the public sector will find it less and less affordable to provide both insurance and assistance and recommends that it focus on the latter objective by awarding tax-financed uniform benefits on the basis of specified contingencies.
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  • 10
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    The Geneva risk and insurance review 19 (1994), S. 101-117 
    ISSN: 1554-9658
    Keywords: Reinsurance ; Profit taxation ; Optimal risk sharing ; Solvency ratios
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We introduce profit taxation in Borch's [1962] model of a competitive insurance market. We analyze the impact of taxation on equilibrium prices and characterize the cases where optimal risk sharing is preserved. In the case of Constant Relative Risk Aversion (CRRA) utility functions, this abstract characterization is translated into simple conditions involving the solvency ratios of the companies. The case of Constant Absolute Risk Aversion (CARA) utility functions is also studied.
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  • 11
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    The Geneva risk and insurance review 19 (1994), S. 119-137 
    ISSN: 1554-9658
    Keywords: Financial guarantees ; Default risk ; Interest-rate risk ; Credit enhancement ; Private and public guarantees ; Deposit insurance ; Contingent claims analysis
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We extend the financial guarantee insurance literature by modeling, under stochastic interest rates, private financial guarantees when the guarantor potentially defaults. By performing numerical simulations under plausible parameters values, we characterize the differential impact of the incorporation of stochasticity of interest rates on the valuation of both public and private guarantees.
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  • 12
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    The Geneva risk and insurance review 19 (1994), S. 153-156 
    ISSN: 1554-9658
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    Topics: Economics
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  • 13
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    The Geneva risk and insurance review 19 (1994), S. 139-152 
    ISSN: 1554-9658
    Keywords: Insurance policy characteristics ; insurance claims ; asymmetric information
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The problem of establishing the amount of losses covered by public and private insurance is often characterized by asymmetric information, in which the claimant already knows the extent of a loss but this can be demonstrated to the insurer only at a cost. It is shown that a simple arrangement, which provides greater coverage whenever individuals demonstrate high losses, gives claimants an excessive incentive to establish the amount of their losses. This paper determines what insurance claims process, consistent with the form typically employed in existing insurance arrangements, is optimal.
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  • 14
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    OR spectrum 16 (1994), S. 145-154 
    ISSN: 1436-6304
    Keywords: Censored regression models ; Gibbs sampler ; hierarchical models ; Bayesian inference ; EM algorithm ; data augmentation ; Tobit models ; Zensierte Regression ; Hierarchische Modelle ; Bayes-Methoden ; EM Algorithmus ; Tobit Modelle
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In dieser Arbeit werden die Möglichkeiten einer neuen Bayesschen Inferenzmethode, dem sogenannten Gibbs-Sampler, für die Analyse von zensierten Regressionsmodellen — in der Ökonomie auch Tobitmodelle genannt — untersucht. Tobitmodelle haben ein weites Anwendungspektrum in den empirischen Wissenschaften, wie Ökonometrie und Biometrie. Die Schätzergebnisse des einfachen Tobitmodelles werden mit denen des hierarchischen Modells verglichen. Das untersuchte botanische Beispiel befaßt sich mit dem Zensierungsmechanismus bei der Reproduktion, d. h. dem Blühen von Pflanzen.
    Notes: Abstract In this paper we discuss the potentials of a new Bayesian inference tool, called the “Gibbs sampler”, for the analysis of the censored regression or Tobit model. Tobit models have a wide range of applications in empirical sciences, like econometrics and biometrics. The estimation results of the simple Tobit model will be compared to a hierarchical Tobit model, and the Gibbs sampling approach to the related classical algorithm of expectation-maximisation (EM). The underlying botanical example of this paper is concerned with the censoring mechanism in plant reproduction and proposes the Bayesian Tobit model for the growth relationship between the reproductive part and the rest of the plant.
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  • 15
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    OR spectrum 16 (1994), S. 203-210 
    ISSN: 1436-6304
    Keywords: Periodische Reihenfolgeprobleme ; zyklische Reihenfolgeprobleme ; Zahlenringproblem ; Periodic scheduling ; cyclic scheduling ; number rings problem
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract We consider a problem concerning periodic activities with identical period lengths. The maximum amount of resource required by such activities is to be minimized. NP-completeness of this problem is demonstrated. In a very important theoretical case — monotonous amount of resource — a linear time algorithm for calculating an exact optimal solution in analytical form is proposed.
    Notes: Zusammenfassung Betrachtet wird ein Problem der parallelen Bearbeitung von Aufträgen (bestehend aus mehreren Auftragslosen). Wenn die Bearbeitung eines Auftrages beendet wurde, beginnt sofort die Bearbeitung eines identischen Auftrages. Der Verbrauch einer limitiert gegebenen Ressource über alle parallel durchzuführenden Auftragslose ist zu stabilisieren. Für den allgemeinen Fall wurde bewiesen, daß das Problem NP-schwer ist. Für einen relevanten theoretischen Fall — monoton wachsender Ressourcenverbrauch in der Reihenfolge der Auftragslose — wird ein linearer Algorithmus zur Bestimmung der Lösung in analytischer Form angegeben.
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  • 16
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    OR spectrum 16 (1994), S. 211-221 
    ISSN: 1436-6304
    Keywords: Zuschnittprobleme ; Packprobleme ; Greedy-Algorithmen ; Knapsackprobleme ; Cutting stock ; packing ; greedy algorithms ; knapsack problem
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract We propose an adaptation of the greedy algorithm for the one, two and three dimensional cutting stock problem. We measure the efficiency of the algorithms in terms of the worst case bound and the time complexity. We introduce and determine the class of all reasonable cutting stock algorithms, and determine worst case bounds for each subset of this class. We put forward an exact polynomial time algorithm which can be applied for most one dimensional cutting stock problems.
    Notes: Zusammenfassung In dieser Arbeit werden diskrete Gradientenverfahren zur Lösung von ein-, zwei- und dreidimensionalen Zuschnittproblemen vorgeschlagen. Die Effektivität der Algorithmen wird an zwei Parametern gemessen: Arbeitsaufwand und Güte. Wir betrachten aus der Menge aller Lösungsalgorithmen für Zuschnittprobleme vernünftige Algorithmen und geben Güteabschätzungen für diese Klasse an. Eine Klasse eindimensionaler Zuschnittprobleme wird definiert, die zur Klasse P gehört.
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  • 17
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    OR spectrum 16 (1994), S. 223-224 
    ISSN: 1436-6304
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    Topics: Mathematics , Economics
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  • 18
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    OR spectrum 16 (1994), S. 193-202 
    ISSN: 1436-6304
    Keywords: CSP ; Logik-orientierte Programmiersprachen ; Constraint Propagation ; Backtracking ; Arc-Konsistenz ; Path-Konsistenz ; CSP ; logic programming ; constraint propagation ; Backtracking ; Arc-Consistency ; Path-Consistency
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract Constraint logic programming is a relatively new area of research in Artficial Intelligence that holds an immense promise for Operations Researchers. The idea is to provide a logic programming language that accepts a series of logic statements and (arithmetic) constraints and then is capable to generate a feasible solution to the underlying constraint satisfaction problem. Informally, a constraint satisfaction problem is posed as follows. Given a set of variables and a set of constraints, each specifying a relation on a particular subset of the variables, find the relation on the set of all variables which satisfies all the given constraints. The required solution relation is a subset of the cartesian product of the variable domains. Traditionally, backtrack search is used to solve constraint satisfaction problems. In order to overcome the inefficiency of a simple backtrack search consistency checks among variable value assignments were incorporated introducing new knowledge by constraint based reasoning to reduce the search space and discover failures earlier. Most common are node- and arc-consistency checks the only ones which are also implicity introduced in recent constraint based logic programming languages. CHARME [7, 8] is such a programming language, a general modeling language and problem solver that allows to find model-based implementations and provides guided backtrack search which can lead to efficient and competitive search strategies for certain problems in combinatorial optimization.
    Notes: Zusammenfassung Constraint-basierte Logikprogrammierung ist ein neues und auch für das Operations Research vielversprechendes Gebiet der Künstlichen Intelligenz. Eine logikorientierte Programmiersprache generiert zulässige Lösungen eines Constraint-Satisfaction-Problems, dessen Beschreibung auf einer Menge logischer Aussagen und einer Anzahl von Nebenbedingungen basiert. Ein Constraint-Satisfaction-Problem besteht aus einer Menge von Variablen sowie einer Menge von Nebenbedingungen über diesen Variablen. Gesucht ist eine zulässige Wertezuweisung der Variablen, als Teilmenge des cartesischen Produkts der Variablenwertebereiche, die allen Nebenbedingungen genügt. Traditionelle Lösungsverfahren basieren auf einer Suche mittels Backtracking. Konsistenzprüfungen von Variablenwertzuweisungen können dabei die Effizienz des Suchverfahrens wesentlich erhöhen, da neues, implizit vorhandenes Wissen über den Suchraum aus der Menge der Nebenbedingungen erschlossen und genutzt wird. Constraint-basierte Logiksprachen reduzieren während der Lösungssuche die Variablenwertebereiche automatisch, so daß nur noch node- und arc-konsistente Relationen betrachtet werden. CHARME [7, 8] ist eine derartige Programmiersprache, in der modellnahe Implementierungen parametergesteuerte Suchstrategien zulassen, die u. U. Probleme der Kombinatorischen Optimierung effizient lösbar machen.
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  • 19
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    OR spectrum 16 (1994), S. 224-224 
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  • 20
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    OR spectrum 16 (1994), S. 225-225 
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  • 21
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    OR spectrum 16 (1994), S. 242-242 
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  • 22
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    OR spectrum 16 (1994), S. 248-248 
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  • 23
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    OR spectrum 16 (1994), S. 243-247 
    ISSN: 1436-6304
    Keywords: Multi-criteria optimization ; locally efficient points ; Multi-kriterielle Optimierung ; Lokal effiziente Punkte
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In der Arbeit werden zwei Tests beschrieben, die es ermoglichen zu entscheiden ob ein gegebener Punktx 0 ∈ ℝ N lokal effizient ist oder nicht bzgl. einer endlichen Menge stetig differenzierbarer reeller Funktionen. Beispiele zeigen, daß die Tests auf einer nirgends dichten Menge versagen können.
    Notes: Abstract In this paper we present two tests which can decide whether a given pointx 0 ∈ℝ N is locally efficient or not with respect to a given finite set of real valued continuously differentiable functions defined on ℝ N . Examples indicate that the tests may fail on a nowhere dense set.
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  • 24
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    OR spectrum 16 (1994), S. 227-241 
    ISSN: 1436-6304
    Keywords: Entscheidungstheorie ; mehrfache Zielsetzung ; Graphik ; Benutzerschnittstelle ; Übersicht ; Decision theory ; multi-criteria decision making ; graphics ; user interface ; survey
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract The paper surveys techniques for visualization in the context of multi-criteria decision problems. Techniques for representing decision variables, attribute values of alternatives, ordinal preference relations and cardinal evaluations are covered. Several techniques are presented for each area, taking into account problems of implementation in interactive systems and cognitive effects that might result from the use of different graphical representations.
    Notes: Zusammenfassung In diesem Beitrag werden Ansätze zur graphischen Darstellung von Elementen von Entscheidungsproblemen bei mehrfacher Zielsetzung vorgestellt. Dabei wird nach den Betrachtungsebenen des Problems zwischen der Darstellung von Entscheidungsvariablen, von Attributwerten sowie von ordinalen und kardinalen Präferenzaussagen unterschieden. Neben der Darstellung der einzelnen Ansätze wird auch auf den damit verbundenen Rechenaufwand sowie mögliche Interpretationsprobleme eingegangen.
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  • 25
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    OR spectrum 15 (1994), S. 247-247 
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  • 26
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    OR spectrum 15 (1994), S. 248-249 
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  • 27
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    OR spectrum 15 (1994), S. 235-246 
    ISSN: 1436-6304
    Keywords: Simulation ; Optimierung ; Ernteprozeß ; Bedienungsprozeß ; räumliche Aspekte ; Einflußgröße ; Zielgröße ; Bewertungsprozeß ; Simulation ; optimization ; harvesting process ; operational process ; spacious aspects ; influence factor ; target value ; valuation process
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract There is a wide range of possibilities for optimizing harvest process as transport-connected operations in a flow system. They are multi-stage operating process charakterized by a mixed arrangement of the operating elements. Above that, they have distinct spacious aspects. It is demonstrated which charakteristics of such processes have to be simulated by models, what target values should be determined in dependence on which influence factors and under which operational conditions. Furthermore it is elucidated how the valuation process for obtaining the desired information has to be shaped.
    Notes: Zusammenfassung Bei der Gestaltung von Ernteprozessen — beispielsweise des Prozesses „Mähdrusch, Körnertransport und -abnahme“ — als transportverbundene Fließarbeitsverfahren mit mindestens zwei verschiedenen Arbeitsmitteln gibt es einen großen Optimierungsspielraum. Solche Prozesse sind mehrstufige Bedienungsprozesse mit gemischter Anordnung der Bedienungseinrichtungen. Außerdem besitzen sie stark ausgeprägte räumliche Aspekte. Es wird vor allem gezeigt, welche Merkmale solcher Prozesse in Simulationsmodellen abgebildet sein müssen, welche Zielgrößen in Abhängigkeit von welchen Einflußgrößen unter Berücksichtigung welcher Prozeßbedingungen ermittelt werden sollten und wie der Bewertungsprozeß zur Ermittlung der gewünschten Informationen gestaltet werden muß.
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    OR spectrum 15 (1994), S. 249-249 
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    OR spectrum 15 (1994), S. 250-250 
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    OR spectrum 15 (1994), S. 251-252 
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    OR spectrum 16 (1994), S. 1-3 
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    OR spectrum 16 (1994), S. 5-7 
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    Keywords: Two machine job-shop ; polynomial algorithm ; Zwei-Maschinen-Flow-Shop ; polynomialer Algorithmus
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Es wird gezeigt, daß das Job-Shop ProblemJ2¦n=k¦C max bei fester Anzahl von Jobs polynomial lösbar ist. Da das ProblemJ3¦n=3¦C max NP-schwierig ist (Sotskov und Shakhlevich 1993) und sichJ¦n=2¦C max ebenfalls polynomial lösen läßt, erhält man durch dieses Ergebnis eine vollständige Antwort auf die Frage nach der Komplexität von Job-Shop Problemen mit fester Anzahl von Maschinen und Jobs.
    Notes: Abstract It is shown that the job-shop problem with two machines and a fixed number ofk jobs with makespan criterionJ2¦n=k¦C max is polynomially solvable. Sotskov and Shakhlevich (1993) have shown that problemJ3¦n=3¦C maxisNP-hard. Furthermore it is well known that J¦n=2¦C maxin polynomially solvable. Thus, our result settles the remaining open question concerning the complexity status of job-shop problems with fixed numbers of jobs and machines.
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    OR spectrum 16 (1994), S. 9-20 
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    Keywords: Koordinationsart ; logistische Kette ; stationäre Losgrößen ; Coordination method ; logistic chain ; stationary lotsizes
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract An extension is introduced to the multi-stage stationary lot-sizing problem with finite production rates by the time-concentrated transportation-process. This representation adequately demonstrates the relations between supplier, carrier and producer. With regard to the reconciliation of the decision variables of these institutional units one differentiates between a pure simultaneous, a pure gradual and two mixed simultaneous-gradual coordination methods. The differences and correspondences of the respective decision variables and the resulting cost functions are demonstrated by means of an analytical examination. Finally, a numerical analysis shows the distinctions in total cost between the pure simultaneous and pure gradual coordination method.
    Notes: Zusammenfassung Es wird eine Erweiterung des mehrstufigen stationären Losgrößenproblems mit endlichen Produktionsgeschwindigkeiten um den zeitpunktgeballten Transportvorgang vorgestellt. Diese Darstellung gibt die Beziehungen zwischen Zulieferer, Transporteur und Produzent adäquat wieder. Hinsichtlich der Abstimmung der Entscheidungsgrößen dieser organisatorischen Einheiten wird zwischen einer rein simultanen, einer rein sukzessiven sowie zweier gemischt simultan-sukzessiver Koordinationsarten unterschieden. An Hand einer analytischen Untersuchung werden Unterschiede und Gemeinsamkeiten der jeweiligen Entscheidungsgrößen und der daraus resultierenden Kostenfunktionen dargestellt. Schließlich zeigt eine numerische Analyse die Gesamtkostenunterschiede zwischen der rein simultanen und rein sukzessiven Koordinationsart auf.
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    OR spectrum 16 (1994), S. 21-31 
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    Keywords: Genetischer Algorithmus ; Tourenplanung ; Phasenmodell für Genetische Algorithmen ; Hybridisierung ; Kostenfunktion ; praxisrelevante Restriktionen ; Genetic Algorithm ; vehicle routing ; design of Genetic Algorithms ; hybridization ; cost function ; real world restrictions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract Subject of this paper is the development of a Genetic Algorithm (GA) for the Vehicle Routing Problem (VRP). At first a simple GA for the one-depot “standard” VRP with travel distance and capacity restrictions is presented. Then the GA is enhanced by hybridization. The performance of the enhanced GA is evaluated. Finally, the GA is modified to handle a cost function and some real world restrictions.
    Notes: Zusammenfassung Gegenstand des Beitrags ist die Entwicklung eines genetischen Tourenplanungsalgorithmus. Zunächst wird ein einfacher Genetischer Algorithmus (GA) für das mengen- und streckenmäßig restringierte Standardproblem mit einem Depot vorgestellt. Anschlies ßend wird dieser GA durch Hybridisierung verbessert. Der verbesserte GA wird anhand von Literaturbeispielen und durch einen Vergleich mit dem Savings-Verfahren erprobt. Abschließend wird der GA so modiziert, daß er eine praxisnahe Kostenfunktion und spezielle Restriktionen berücksichtigen kann.
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    OR spectrum 16 (1994), S. 33-39 
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    Keywords: t-test ; Welch test ; trimmedt-test ; Wilcoxon test ; adaptive test ; robustness ; nonnormality ; unequal variances ; t-Test ; Welch-Test ; getrimmtert-Test ; Wilcoxon-Test ; adaptiver Test ; Robustheit ; nicht-normalverteilte Daten ; ungleiche Varianzen
    Source: Springer Online Journal Archives 1860-2000
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    Description / Table of Contents: Zusammenfassung Im Zweistichproben-Lageproblem hängt die Anwendung dest-Tests von sehr restriktiven Modellannahmen wie die der Normalverteilung und der Gleichheit der Varianzen der ZufallsvariablenX undY ab. Falls die Annahmen dest-Tests nicht erfüllt sind, ist es besser, eine robuste Version dest-Tests wie den WelchTest bzw. den getrimmtent-Test oder einen nichtparametrischen Test wie den Wilcoxon-Test anzuwenden. Da wir aber in der Regel keine Information über die den Daten zugrundeliegende Verteilung haben, sollte ein adaptiver Test bevorzugt werden. Einige dieser Tests werden diskutiert und miteinander sowie mit dem klassischent-Test für verschiedene Verteilungen und ungleiche Varianzen verglichen. Es wird gezeigt, daß ein adaptiver Test gute Eigenschaften über eine breite Klasse von Verteilungsfunktionen hat.
    Notes: Abstract In the two-sample location problem the application of thet-test depends on very restrictive assumptions such as normality and equal variances of the two random variablesX andY. If the assumptions of thet-test are not satisfied it is more appropriate to apply a robust version of thet-test, like the Welch test or the trimmedt-test, or a nonparametric test, like the Wilcoxon. But usually we have no information about the underlying distribution of the data. Therefore, an adaptive test should be applied. Some of these tests are discussed and compared with each other and with the classicalt-test under different models of nonnormality and for unequal variances. It is shown that an adaptive test behaves well over a broad class of distribution functions.
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    OR spectrum 16 (1994), S. 41-45 
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    Keywords: Autoregressive Modelle ; Ausreißer ; Prognosefehler ; Autoregressive models ; outliers ; forecast errors
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    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Die Ex-post-Beurteilung von Vorhersagen anhand der realisierten Prognosefehler ist ein wichtiges Hilfsmittel bei der vergleichenden Bewertung konkurrierender Prognoseverfahren oder auch bei der Modellauswahl im Rahmen der Analyse einer Zeitreihe. Hierzu werden häufig der mittlere quadratische Fehler MSE, der mittlere absolute Fehler MAE und ähnliche Maße herangezogen. Gerade bei ausreißerbehafteten Daten zeigt es sich, daß die Verwendung von MSE und MAE zu irreführenden Resultaten führen kann. In dieser Arbeit werden robustifizierte Versionen des MSE und MAE -MRSE bzw. MRAE—vorgestellt, die in einer Simulationsstudie insbesondere bei Daten mit Ausreißern zu einer deutlich sichereren Identifikation der Vorhersage anhand der zugrundeliegenden Modellparameter führten.
    Notes: Abstract The ex-post evaluation of forecasts by the realized forecast errors is an important tool in choosing an adequate model to represent the analyzed time series data and also in comparing competing forecast methods. Measures like the mean squared error MSE and the mean absolute error MAE are frequently used for this purpose. Especially when analyzing data with outliers MSE and MAE may produce misleading results. This paper presents robustified versions MRSE and MRAE of MSE and MAE, respectively. They are much better suited to identify those forecasts which are based on the parameters of the underlying model. This feature is illustrated by a simulation study.
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    OR spectrum 16 (1994), S. 47-52 
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    Keywords: Vector optimization ; approximately efficient solutions ; stability ; Vektoroptimierung ; Näherungslösungen ; Stabilität
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    Description / Table of Contents: Zusammenfassung Wir führen ein Konzept für Näherungslösungen in der Vektoroptimierung ein und vergleichen dieses mit einem neuen Konzept aus [8]. Weiterhin untersuchen wir Beziehungen zwischen der Menge der Näherungslösungen eines Vektoroptimierungsproblems und den Näherungslösungen eines entsprechenden parametrischen Ersatzproblems. Schließlich beweisen wir Stabilitätseigenschaften des skalaren Ersatzproblems.
    Notes: Abstract We introduce a concept for approximately efficient solutions in vector optimization and compare it with another recent concept given in [8]. Further, we study relations between the set of approximately efficient solutions of a vector optimization problem and the approximate solutions of a corresponding parametric surrogate optimization problem. Finally, we prove stability properties for the scalar surrogate problem.
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    OR spectrum 16 (1994), S. 53-58 
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    Keywords: Vectorial approximation ; optimality conditions ; vectorial norms ; efficient points ; multicriterial optimization ; Vektorielle Approximation ; Optimalitätsbedingungen ; vektorielle Normen ; effiziente Punkte ; multikriterielle Optimierung
    Source: Springer Online Journal Archives 1860-2000
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    Description / Table of Contents: Zusammenfassung Untersucht wird ein allgemeines vektorielles Bestapproximationsproblem in linearen bzw. lokalkonvexen topologischen Räumen. Die Approximation wird im Sinne sogenannter vektorieller Normen betrachtet. Es werden für effiziente, schwach effiziente und streng minimale Lösungen hinreichende Optimalitätsbedingungen angegeben. Diese können als verallgemeinerte Kolmogorov Bedingungen interpretiert werden.
    Notes: Abstract A general vectorial best approximation problem in linear and locally convex topological spaces, respectively, is considered. The approximation is based on socalled vectorial norms. For efficient, weakly efficient and strongly efficient solutions sufficient optimality conditions which can be interpreted as generalized Kolmogorov-conditions are obtained in vectorial as well as scalarized form.
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    OR spectrum 16 (1994), S. 61-61 
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    OR spectrum 16 (1994), S. 59-60 
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    OR spectrum 16 (1994), S. 62-63 
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    OR spectrum 16 (1994), S. 65-66 
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    OR spectrum 16 (1994), S. 67-75 
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    Keywords: Unternehmenskontrolle ; Aktienoptionen ; Übernahme ; Corporate control ; stock options ; take-over
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    Description / Table of Contents: Abstract Stock options serve to reduce the risk of share price volatility. A fair price for a stock option is in general computed on the basis of the Black-Scholes-formula. Stock options can also be used as instruments on the market for corporate control. In this case the prices and other conditions for stock options may vary considerably from those that are typical of stock options as financial instruments. The paper answers the question whether the conditions for such options can be considered to be fair in the sense that chances and risks are allocated evenly between the parties involved. This is a legal requirement of using stock options in a friendly take-over when voting rights of the acquired company are restricted. An actual case serves as the background for this paper.
    Notes: Zusammenfassung Aktienoptionen waren Finanzinnovationen, die dem Investor helfen sollen, das Kursrisiko zu vermindern. Der faire Preis für die Option, die Höhe der Risikoprämie, wird mit der Black-Scholes-Formel berechnet. Aktienoptionen sind aber auch Instrumente auf dem Markt für Unternehmenskontrolle. In diesem Falle sind die Konditionen im allgemeinen nicht identisch mit Optionen als Kurssicherungsinstrumenten. Der Aufsatz behandelt die Frage, ob die Konditionen derartiger Optionen „fair“ im Sinne des traditionellen Verständnisses sind. Dem Beitrag liegt ein konkreter Fall zugrunde.
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    OR spectrum 16 (1994), S. 77-79 
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    Keywords: M/M/c system ; continuous time dynamic programming ; BedienungssystemM/M/c ; Dynamische Optimierung ; Kostenminimierung
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    Description / Table of Contents: Zusammenfassung Wieviel vonm vorhandenen Schaltern sollen besetzt werden, wenny Kunden in einem BedienungssystemM/M/c vorgefunden werden? Minimiert werden sollen die erwarteten Kosten bestehend aus den Löhnen des Bedienungspersonals und geeigneten Strafkosten für das Warten der Kunden. Das Problem wird als Dynamisches Programm in kontinuierlicher Zeit behandelt.
    Notes: Abstract In a queueing systemM/M/c let the number of actual serversχ≤c be chosen depending on the statey (number of customers in the system). We consider an opportunity costw per server per unit of time and a waiting costh per customer per unit of time. Using Dynamic Programming the optimal policy forc=1 is found to be as follows. Use no server wheny〈m and one server wheny≥m. Herem=1 when the arrival rate is large compared to the service rate, butm〉1 under certain conditions.
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    OR spectrum 16 (1994), S. 125-134 
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    Keywords: Just-in-Time ; Losgröße 1 ; Rüstkosten ; Lieferfrist ; Just-in-Time ; zero inventories ; set-up cost ; delivery period
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    Description / Table of Contents: Abstract In this paper, simple models of inventory and queueing theory are used to evaluate the claim of Just-in-Time to minimise inventories, and to check whether zeroinventories are possible. Assuming that parameters, like set-up cost and delivery periods, determining economic order quantities and re-order points can be influenced by strategic measure, c.f. investments. At the operative level, decisions are adopted to minimise cost, determined by strategic measures. Using parametric variation of investments in strategic measures to reduce set-up cost and delivery periods, it can be shown that there substitution between investment in fixed assets and investment in inventories. Marginal rates of substitution are, however, diminishing; hence it is not optimal to minimise inventories. Furthermore, in the models considered, it is not possible to reduce inventories to zero.
    Notes: Zusammenfassung In dieser Arbeit wird mit Hilfe einfacher Lagerhaltungs- und Warteschlangenmodelle untersucht, ob die vom Just-in-Time Konzept geforderte Minimierung der Lagerbestände sinnvoll ist, und ob es möglich ist, die Lagerbestände auf Null zu reduzieren. Hierzu wird davon ausgegangen, daß die die Lagerbestände determinierenden Parameter, insbesondere die Rüstkosten und die Lieferfristen durch strategische Maßnahmen beeinflußt werden können. Auf der operativen Ebene werden die Entscheidungen über Losgrößen und Meldemengen so getroffen, daß die laufenden Kosten, die von den strategischen Maßnahmen abhängen, minimiert werden. Durch parametrische Variation der Investitionen für strategische Maßnahmen kann gezeigt werden, daß zwar Substitutionsbeziehungen zwischen der Kapitalbindung in Lagern und der Kapitalbindung durch die erforderlichen Investitionen bestehen, daß aber abnehmende Grenzraten der Substitution bestehen. Eine Reduktion der Lager auf Null ist in den zugrundeliegenden Modellen nicht möglich.
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    OR spectrum 16 (1994), S. 135-144 
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    Keywords: Subsidization ; transition from a planned to a market economy ; optimal degree of subsidization ; Subventionierung ; Übergang von einer Plan- zu einer Marktwirtschaft ; optimale Höhe von Subventionen
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    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In diesem Papier wird gezeigt, daß es beim Übergang von einer Planwirtschaft zu einer Marktwirtschaft optimal sein kann, Firmen zu suventionieren, die andernfalls in Konkurs gehen würden.
    Notes: Abstract It will be shown that in the process of transition from a planned to a market economy subsidies for firms which otherwise would go bankrupt may be socially optimal if they remain below a certain level.
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    OR spectrum 16 (1994), S. 169-173 
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    Keywords: Capital asset pricing model ; risk aversion ; mean-variance aversion ; variance aversion ; Capital Asset Pricing Model ; Risikoaversion ; Mittelwert-Varianz-Aversion ; Varianzaversion
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    Description / Table of Contents: Zusammenfassung Zwei Beweise der CAPM-Gleichung werden wiedergegeben und einander gegenübergestellt, wobei jeder eine andere Form von Risikoaversion voraussetzt. Der Beweis, der die schwächere Form von Risikoaversion benutzt, ist verwickelter, stellt aber die Gültigkeit der CAPM-Gleichung auf eine allgemeinere Grundlage. Die Beziehungen zwischen den verschiedenen Formen von Risikoaversion werden diskutiert.
    Notes: Abstract Two proofs of the CAPM equation each using a different form of risk aversion are recapitulated and confronted with each other. The proof using a weaker form of risk aversion is more involved but conveys greater generality to the validity of the CAPM equation. The relations existing between the various forms of risk aversion are discussed.
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    OR spectrum 16 (1994), S. 161-168 
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    Keywords: Planungskonzepte ; Dynamische Programmierung ; Hierarchische Interaktion ; Planning concepts ; dynamic programming ; hierarchical interaction
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    Description / Table of Contents: Abstract Using the structural properties of Dynamic Programming the paper provides a conceptual framework for hierarchical planning problems by interpreting the levels of a hierarchy as the stages of a Dynamic Program. For such an interpretation it is essential that usually the lower levels are only described approximately. Using a rolling horizon scheme, in passing through the levels this description becomes more and more detailed. For some examples it is shown how the known hierarchical planning models fit into the general framework. Furthermore, the relationship with hierarchical algorithms, agency theory and hierarchical bargaining is indicated.
    Notes: Zusammenfassung Die Arbeit stellt einen konzeptionellen Rahmen zur Modellierung hierarchischer Planungsprobleme bereit, indem sie die Ebenen der hierarchischen Planung als Stufen eines dynamischen Programms interpretiert. Wesentlich ist hierbei, daß die unteren Ebenen zunächst nur approximativ antizipiert werden und eine genauere Beschreibung erst in nach „unten“ fortschreitender (rollierender) Planung erfolgt. An einigen Beispielen wird gezeigt, wie sich die vorhandenen hierarchischen Modelle in dem allgemeinen Rahmen beschreiben lassen, und es wird angedeutet, welcher Zusammenhang zu hierarchischen Algorithmen, Agency-Fragestellungen und hierarchischen Aushandlungen besteht.
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    OR spectrum 16 (1994), S. 155-160 
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    Keywords: Transfer line ; pull system ; unreliable machines ; decomposition algorithm ; Transfer-Linie ; Pull-System ; unzuverlässige Maschinen ; Zerlegungsalgorithmus
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Wir analysieren ein stochastisches Modell eines Produktionssystems mitk Stationen (Maschinen) in Serie. Zwischen den Maschinen und nach der letzten Maschine sind Puffer mit endlicher Kapazität. Die Bewegung der Werkstücke durch das System ist Nachfra-ge-gesteuert, d.h. wir betrachten ein Pull- (Kaban-) System. Die Bearbeitungsdauern werden als deterministisch und konstant angenommen. Der Zufall hat in diesem System zwei Ursachen: Die Nachfrage nach Werkstücken von außerhalb ist stochastisch, und die Maschinen können mit vorgegebener Wahrscheinlichkeit ausfallen (und dann wieder repariert werden). Eine Nachfrage von außen geht verloren, wenn das letzte Puffer leer ist. Dieses System wird durch eine Markov-Kette in diskreter Zeit beschrieben. Die stationäre Verteilung wird fürk=1 angegeben. Diese ist die Basis für einen Zerlegungsalgorithmus, der die approximative Berechnung von Durchsatz und Nachfragedeckungsgrad des Systems für beliebigesk erlaubt. Ein Vergleich mit Simulationsergebnissen zeigt, daß der Algorithmus sehr genau arbeitet.
    Notes: Abstract We analyze a stochastic model of a production line withk stations (machines) in series. There are finitecapacity buffers between the machines and at the end of the line. The movement of the workpieces through the line is demand-driven, i.e. we deal with a pull (kanban) production system. Processing times are assumed to be deterministic and constant. There are two sources of randomness in the model: Demand for workpieces from outside is stochastic, and the machines may break down (and then be repaired) with a given probability. A demand from outside is lost if the final buffer is empty. This system is described by a discrete-time Markov chain. The steadystate distribution is given for k=1. This is the basis of a decomposition algorithm which approximates the throughput of the line and the percentage of satisfied demand for arbitraryk. A comparison with simulation results shows that this algorithm is very accurate.
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    OR spectrum 16 (1994), S. 175-177 
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    OR spectrum 16 (1994), S. 178-178 
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    OR spectrum 16 (1994), S. 192-192 
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    OR spectrum 16 (1994), S. 179-186 
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    Keywords: Vector optimization ; ɛ-efficiency ; Vektoroptimierung ; ɛ-Effizienz
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    Description / Table of Contents: Zusammenfassung Wir führen zwei neue Konzepte fürɛ-Effizienz ein und untersuchen diese und einige bekannte Konzepte unter folgenden Gesichtspunkten: (1) Wie sind die Beziehungen zwischen den Mengen der effizienten und derɛ-effizienten Punkte? (2) Wenn eine Folge (v ɛ) vonɛ-effizienten Punkten fürε → 0 konvergiert, welche Aussagen können über den Limes gemacht werden (effizient, schwach effizient, ...)? (3) Kann der Abstand zwischen den Mengen derɛ-effizienten und effizienten Punkte bezüglichε abgeschätzt werden?
    Notes: Abstract We introduce two new concepts forɛ-efficiency and investigate these and some known concepts under the following aspects: (1) What are the relationships between the efficient and theɛ-efficient point set? (2) If the sequence (v ɛ) ofɛ-efficient points converges forε → 0, is the limit efficient, or weakly efficient? (3) Can the distance between theɛ-efficient and the efficient point set be estimated in terms ofε?
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    OR spectrum 16 (1994), S. 187-191 
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    Keywords: Nonlinear programming ; duality ; solution methods ; parametric programming ; multicriteria optimization ; ill-posed problems ; Nichtlineare Optimierung ; Dualität ; Lösungsverfahren ; Parametrische Optimierung ; Vektor-Optimierung ; unlösbare Aufgaben
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    Description / Table of Contents: Zusammenfassung Bei der Untersuchung von mathematischen Optimierungsproblemen und Lösungsmethoden liefert die Dualitätstheorie ein wichtiges Hilfsmittel. Die Konzepte derRegularisierung undStabilisierung des Ausgangsproblems erlauben eine Verbesserung des Verhaltens in praktischen Lösungsverfahren. Die nachfolgenden Untersuchungen behandeln die Dualität derartiger Regularisierungen sowie die Bildung vonHüllfunktionen. Die Bearbeitung sogenannter „unlösbarer Optimierungsprobleme“ (Eremin) durch Parametrisierung verdeutlicht die praktische Bedeutung dieses Konzeptes für numerische Verfahren. Darüber hinaus zeigen die Ergebnisse Anwendungsmöglichkeiten zur Lösung von Aufgaben der Parametrischen und Vektor-Optimierung.
    Notes: Abstract For the study of mathematical programming problems and solution methods the duality theory forms a powerful tool. There are also some concepts ofregularization andstabilization of a given problem for a better behavior in practical solution procedures. The aim of this paper is the investigation of duality aspects of such regularizations and the forming ofhullfunctions on the other hand. Applications for handling of so-calledill-posed problems (Eremin) using some parametrizations of the original problem will emphasize the importance for practical numerical methods, especially. This results will inspire some applications to solution methods for parametric and multicriteria optimization.
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    OR spectrum 16 (1994), S. 249-254 
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    Keywords: Fractional programming ; Dinkelbach-algorithm ; duality ; conjugate functions ; Quotientenoptimierung ; Dinkelbachansatz ; Dualität ; konjugierte Funktionen
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    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In diesem Artikel wird ein Quotientenvektoroptimierungsproblem betrachtet. Da solche Probleme im allgemeinen nicht konvex sind, wird das Ausgangsproblem mit Hilfe des Ansatzes von Dinkelbach in ein konvexes Optimierungsproblem transformiert. Zum transformierten Problem wird mit Hilfe von verallgemeinerten Fenchel-konjugierten Funktionen ein duales Problem formuliert. Entsprechende Dualitätssätze werden bewiesen und Rückschlüsse auf die Lösung der Ausgangsaufgabe gezogen.
    Notes: Abstract This paper deals with multicriteria fractional problems. Since this problems in general are not convex, the basic problem will be transformed into a convex optimization problem by using an extension of the conception of Dinkelbach to vector optimization. It will be formulated a dual problem to the transformed optimization problem, where conjugate functions are used. There will be proved strong and converse duality theorems with conclusions to basic fractional problem.
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    OR spectrum 16 (1994), S. 266-266 
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    OR spectrum 16 (1994), S. 255-260 
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    Keywords: Multicriteria optimization ; scalarization ; proper efficiency ; Mehrkriterielle Optimierung ; Skalarisierung ; eigentliche Effizienz
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    Description / Table of Contents: Zusammenfassung Wir untersuchen solche skalare Ersatzaufgaben zur Bestimmung der Pareto-Optima mehrkriterieller Optimierungsprobleme, deren Lösungen eigentlich effizient im Sinne von Geoffrion sind. Dabei wird die eigentliche Effizienz im Sinne von Schönfeld durch die Berücksichtigung unterschiedlich gewichteter Summen der Zielfunktionen verallgemeinert und dieses Problem mit Hilfe eines polyedrischen Kegels geometrisch interpretiert. Eine geeignete Spezialisierung der Parameter induziert eine Erweiterung der Minimierung der gewichteten Tschebyscheff-Norm. Hierfür beweisen wir Bedingungen für die Existenz von Optimallösungen und Ergebnisse, die aus der Literatur bekannte Aussagen über speziellere Skalarisierungen beinhalten.
    Notes: Abstract We investigate scalarizations for the determination of Pareto optima of multicriteria optimization problems which deliver properly efficient points in the sense of Geoffrion. Proper efficiency in the sense of Schönfeld is generalized by the simultaneous consideration of several weighted sums of the objective functions. This problem is geometrically interpreted by means of a polyhedral cone. The specialization of the parameters induces an extension of the weighted Chebyshev norm minimization for which we prove conditions for the existence of optimal solutions and statements confirming known more special results.
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    OR spectrum 16 (1994), S. 261-265 
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    Keywords: Vector optimization ; vectorial approximation ; optimality conditions ; properly efficiency ; duality ; Vektoroptimierung ; vektorielle Approximation ; Optimalitätsbedingungen ; eigentliche Effizienz ; Dualität
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    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In der Arbeit werden eigentlich effiziente Lösungen für ein allgemeines vektorielles Bestapproximationsproblem betrachtet. Das Approximations-problem ist auf der Basis vektorieller Normen formuliert. Unter Verwendung von Skalarisierung werden notwendige und hinreichende Optimalitätsbedingungen hergeleitet. Dazu wird insbesondere ein skalares Dualproblem konstruiert und es werden entsprechende Dualitätsaussagen angegeben. Weiterhin werden Optimalitätsbedingungen in Subdifferentialform dargestellt. Für die Notwendigkeit der Optimalitätsbedingungen sind insbesondere Konvexitätsvoraussetzungen wesentlich. Unter jedoch sehr schwachen Voraussetzungen sind diese Bedingungen hinreichend.
    Notes: Abstract In the present paper a general vectorial best approximation problem using vectorial norms with respect to properly efficient solutions is considered. Necessary and sufficient optimality conditions for such solutions are derived. This is done on base of scalarization and studying a corresponding dual problem to the scalar optimization problem. Also optimality conditions in subdifferential form are formulated. For the necessity of the optimality conditions especially convexity assumptions are essential. But under only very weak supposition these conditions are sufficient.
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    OR spectrum 16 (1994), S. 267-276 
    ISSN: 1436-6304
    Keywords: Bicriteria integer programming ; integer linear programming ; bi-objective optimization ; multiobjective optimization ; Bikriterielle ; ganzzahlige ; lineare Programmierung ; Vektoroptimierung
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    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung Mit drei verschiedenen Algorithmen werden alle effizienten Lösungen eines bikriteriellen, ganzzahligen Programms bestimmt. Zunächst wird die zweite Zielfunktion als Restriktion benutzt, dann das Maximum der beiden Zielfunktionen minimiert, schließlich wird diese Minimax-Funktion durch eine quadratische Funktion ersetzt.
    Notes: Abstract A problem in multiobjective programming is to determine all efficient solutions. As a first approach we present a basic algorithm where only one of the objective functions is minimized and the second objective function is taken as a restriction. In the next algorithm the maximum of both objective functions is minimized. In the third algorithm this minimax function is replaced by a continuous quadratic objective function.
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    OR spectrum 16 (1994), S. 285-285 
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    OR spectrum 16 (1994), S. 286-286 
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    OR spectrum 16 (1994), S. 287-287 
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    OR spectrum 16 (1994), S. 277-283 
    ISSN: 1436-6304
    Keywords: Mehrfache Zielsetzung ; entscheidungsunterstützende Systeme ; neuronale Netze ; Lernen ; Objektorientierung ; Multiple criteria decision making ; decision support systems ; neural networks ; learning ; object orientation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Abstract This paper deals with concepts for the integration of methods for multiple criteria decision making in a decision support system. First, different goals of a multiple criteria decision support system like interactivity and learning are considered. In an example the combined application of different methods is demonstrated. The use of neural networks seems to be a very interesting concept for integration. Finally, the approach of an object-oriented implementation is described.
    Notes: Zusammenfassung In diesem Beitrag werden verschiedene Konzepte zur Integration von Verfahren zur Entscheidungsfindung bei mehrfacher Zielsetzung in ein entscheidungsunterstützendes System untersucht. Zunächst wird dazu auf verschiedene Ziele eines solchen entscheidungsunterstützenden Systems, insbesondere Interaktivität und Lernverhalten, eingegangen. Danach werden verschiedene Integrationsansätze vorgestellt. An einem Beispiel wird die kombinierte Verwendung mehrerer Methoden demonstriert. Als besonderes interessanter Integrationsansatz erscheint die Nutzung neuronaler Netze. Schließlich wird der Ansatz einer objektorientierten Implementierung dargestellt.
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    OR spectrum 16 (1994), S. 290-290 
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    Empirical economics 19 (1994), S. 1-17 
    ISSN: 1435-8921
    Keywords: Family labour supply, life-cycle consistency ; nonlinear taxes ; bivariate tobit analysis ; H27 ; J22
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    Topics: Economics
    Notes: Abstract This paper deals with family labour supply under nonlinear income taxation in a life-cycle consistent framework. A major purpose of the paper is, therefore, to bring together previous research on how to model joint supply decisions, life-cycle consistency and piecewise linear taxation, and then perform an econometric application using Swedish cross-section data. The paper starts by constructing an intertemporal model of household behaviour, which is used to derive optimal hours of work for the husband and the wife, respectively. Then, given the appropriate theoretical framework, the model is specified in a way suitable for econometric analysis. Regarding the estimation results, we find that both male and female labour supply are sensitive not only to changes in the own marginal wage rate and the virtual nonlabour income, but also to changes in the marginal wage rate of the spouse. The latter means that cross-wage effects are important when it comes to interpret the consequences of income taxation.
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    Empirical economics 19 (1994), S. 55-68 
    ISSN: 1435-8921
    Keywords: C33 ; O31 ; L60
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    Topics: Economics
    Notes: Abstract This paper presents a dynamic random effects probit model for the realization of private firms' product and process innovations. We estimate the model with panel data collected by the Ifo Institute in Munich. The data covers the period between 1979 and 1986 and includes 301 firms of the West German manufacturing sector. It turns out that firms' probabilities of innovation depend on market structure, demand and cost expectations, unobserved heterogeneity, and realized innovations in the previous year. The positive significant influence of past innovations indicates that there is strong state dependence in the innovation process. This result supports the ‘success breeds success’ hypothesis suggesting a positive impact of innovative success to further innovations in the following years.
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    Empirical economics 19 (1994), S. 111-130 
    ISSN: 1435-8921
    Keywords: Foreign exchange intervention ; exchange rates ; GARCH models ; tobit analysis ; F31
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    Topics: Economics
    Notes: Abstract This paper reports on the results of an empirical investigation into the objectives of daily foreign exchange market intervention by the Deutsche Bundesbank and the Federal Reserve System in the U.S. dollar-Deutsche Mark market. Tobit analysis is implemented to estimate the intervention reaction functions consistently. It is found that an increase in the conditional variance in daily exchange rate returns derived from a GARCH model estimated in the paper, led the Bundesbank and the Federal Reserve to increase the volume of intervention, both in case of dollar-sales and purchases on account of their leaning against the wind policy.
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    Empirical economics 19 (1994), S. 131-164 
    ISSN: 1435-8921
    Keywords: C68 ; D58 ; F13
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    Topics: Economics
    Notes: Abstract We present a multi-sector CGE model featuring forward looking investiment and savings behavior within an intertemporal optimization framework. Thus, the model captures several of the intertemporal effects of commercial policy that have been stressed by recent literature on current account adjustment. We argue that pursuing a simulation approach in addressing these issues is warranted by certain limitations and ambiguities of the analytical literature. In addition to presenting the details of the model structure, the paper addresses calibration issues relating to intertemporal parameters. The model is calibrated to a microconsistent data set for the Austrian economy. Finally, the paper features an application of the model to a simple tariff liberalization scenario.
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    Empirical economics 19 (1994), S. 179-179 
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    Empirical economics 19 (1994), S. 181-184 
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    Empirical economics 19 (1994), S. 185-200 
    ISSN: 1435-8921
    Keywords: C93 ; D1 ; D80
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    Topics: Economics
    Notes: Abstract The robust laboratory evidence of preference reversal rolottenies has been represented a a threat to the general validity of standard theories of decision-making under uncon ant i evidence is obtained from laboratory, that is, not real-world, lotteries with subjects vachavers sought to make decisions among such lotteries. Here, the prevalence of preference reveated is talix in a field experiment with used cars, that is, a case of real-world non-trivial non-lot ?????? payoff-uncertain-choice objects, and with subjects who registe daspotential????? No sign of preference reversal was observed.
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    Empirical economics 19 (1994), S. 279-289 
    ISSN: 1435-8921
    Keywords: C90 ; C91 ; C92
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    Empirical economics 19 (1994), S. 291-316 
    ISSN: 1435-8921
    Keywords: C92 ; D21
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    Empirical economics 19 (1994), S. 317-327 
    ISSN: 1435-8921
    Keywords: C10
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    Topics: Economics
    Notes: Abstract It is well known that additional moment conditions can lead to more efficient instrumental variables estimates of an econometric model. This paper shows how the auxiliary regressions implied by the derivatives of a nonlinear model can generate additional moment conditions and that these can be used for an efficiency gain over traditional procedures. This will generally lead to reduced standard errors and more powerful hypothesis tests.
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    Empirical economics 19 (1994), S. 361-370 
    ISSN: 1435-8921
    Keywords: C13 ; C53 ; D31 ; D63
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    Topics: Economics
    Notes: Abstract The paper surveys various parametric Lorenz curves to be fitted to grouped income data in order to obtain an estimate for the Gini measure of inequality. The curves are fitted to 16 sets of empirical income data. The results are compared to the results of the purely nonparametric method (due to Gastwirth) of computing lower and upper bounds for the Gini measure. It is shown that most of the parametric curves are unreliable in that they may produce estimates outside the bounds.
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    Empirical economics 19 (1994), S. 371-396 
    ISSN: 1435-8921
    Keywords: C32 ; F31
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    Topics: Economics
    Notes: Abstract The paper examines the impact of exchange rate volatility on trade using an ARCH-in-mean model. The advantages of this statistical approach vis-a-vis earlier approaches is that it provides more efficient coefficient estimates and avoids the problem of spurious regressions. Exchange rate volatility was found to have a negative impact on Canadian and Japanese exports to the United States and on Australian exports to the world. For Sweden, the United Kingdom and the Netherlands, the relationship was found to be positive. The magnitude of the impact of a 10% increase in exchange rate volatility on export volumes was found to range from a reduction of 7.4% (Canada) to an increase of 5% (Sweden). The results indicate that exports invoiced in the importer's currency are affected negatively by exchange rate volatility, and exports invoiced in the exporter's currency are affected positively. A partial equilibrium, profit maximization model is derived to support these findings.
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    Empirical economics 19 (1994), S. 429-449 
    ISSN: 1435-8921
    Keywords: C67 ; O51
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    Topics: Economics
    Notes: Abstract During the 1980's, extensive structural adjustments took place in the U.S. economy. This paper uses estimates of sectorally detailed social accounting matrices to evaluate the changes in receipt and expenditure patterns, including interindustry linkages, over the 1982–1988 period. Among other effects, our results reveal increasing service orientation, shifts in energy use, and increased import and foreign investment dependence. Detailed evidence on direct and indirect demand linkages indicates large shifts in the composition of government expenditure and private investment, the latter being intensified by declines in the rate of domestic capital formation.
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    Empirical economics 19 (1994), S. 451-472 
    ISSN: 1435-8921
    Keywords: C10 ; C53 ; M31
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    Topics: Economics
    Notes: Abstract The majority of studies concerning diffusion or product growth of consumer durables have treated the U.S. market as a whole and have applied the diffusion model on the assumption that the market exhibits a homogeneous response in its diffusion process. If the market is heterogeneous, however, an aggregate model entails a misspecification problem which could adversely affect the applicability and efficiency of the model. A modeling framework is developed for analyzing the diffusion process in a possibly heterogeneous market. Empirical analysis using data on the videocassette recorder (VCR) market reveals that the modeling framework captures to a fair extent heterogeneous diffusion processes across different regions in the U.S. market. Managerial implications are derived and discussed.
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    Empirical economics 19 (1994), S. 493-500 
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    Keywords: C32 ; E32
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    Topics: Economics
    Notes: Abstract The Hodrick-Prescott filter is widely used to extract cyclical movements about trend in macroeconomic time series. The filter is based on the assumption that nonstationary movements in time series are captured by smooth and slowly changing trends. This note shows that applying the Hodrick-Prescott filter to time series with stochastic trends may extract cyclical movements which are entirely spurious.
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    Empirical economics 19 (1994), S. vii 
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    Empirical economics 19 (1994), S. 517-522 
    ISSN: 1435-8921
    Keywords: C10 ; F00
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    Topics: Economics
    Notes: Abstract Using international comparison data for 1950–1990, we describe the GDPs of seven major regions of the non-Communist world: the North, the South (“down under”), Tropical Africa, Tropical America, and South-West, South-Central and South-East Asia. The inequality among these regions accounts for almost 90 percent of the inequality among the 113 individual countries.
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    Empirical economics 19 (1994), S. 533-553 
    ISSN: 1435-8921
    Keywords: D24 ; J23
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    Topics: Economics
    Notes: Abstract Production functions, where the number of workers, their average standard hours, and average overtime hours appear as separate inputs, are estimated using pooled data from Finnish industries. The results show that the returns to workers are higher than the returns to average hours and both returns are below one. This is in accordance with the assumption usually made in theoretical analyses of the demand for workers and hours. The productivity of overtime hours is slightly higher than that of standard hours. All the output elasticities are, however, fairly close to each other. Diagnostic tests show that there is collinearity between the explanatory variables, but application of several adaptive ridge estimators shows that this has not affected the results much.
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    Empirical economics 19 (1994), S. 555-573 
    ISSN: 1435-8921
    Keywords: Unit roots ; income distribution ; HEGY-test ; C22
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    Topics: Economics
    Notes: Abstract In this paper I test the unit root hypothesis for US log GNP using the information available in income distribution data. The percentile data of an income distribution are shown to follow the same autoregressive pattern as does mean income. Under the null hypothesis of a unit root log GNP is cointegrated with the percentile data. A sequence of augmented HEGY-Tests, however, presents strong evidence against the unit root hypothesis for the distribution data and hence for log GNP. Using a full information estimation procedure for the percentiles under the alternative yields an estimate of the autoregressive coefficient which is in principle testable by an approximate Dickey-Hasza-Fuller test. The appropriate critical values are found by bootstrap methods. Again, inference is clearly unfavorable for the unit root hypothesis.
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    ISSN: 1435-8921
    Keywords: C12 ; C13 ; C52 ; Q11
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    Topics: Economics
    Notes: Summary A quadratic Box-Cox methodology is presented for choice of flexible functional form that includes consistent computation of variance estimates. Empirical viability of the procedure is investigated by specifying a dual profit function using highly aggregated U.S. agricultural data. Conditional and unconditional variance estimates for the parameters are compared and contrasted. Like-lihood ratio tests are utilized to discriminate among the generalized Leontief, normalized quadratic, translog, and square-rooted quadratic functional forms. Statistical results indicate that the squarerooted quadratic is the preferred choice of functional form for these data, followed by the normalized quadratic.
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    Empirical economics 19 (1994), S. 647-657 
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    Keywords: J61 ; F22
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    Topics: Economics
    Notes: Abstract Supplying work in the home country or abroad must be seen as the result of the same decisional process. If that is true, the same set of variables should be used to explain the participation in the labor market and the emigration rates. Based upon empirical results, we discuss some of the traditional conclusions of the economic literature. Our empirical results, for example, show that: 1) there is a strong support for considering home wages and the wages in the country of destination asymmetrically, 2) imperfections in the capital markets seem to play an important role when workers must pay for their moving expenses and 3) there is a differential in coefficients between the period before 1974 and after that date, as 1974 is the year most of the Central European countries changed their immigration policies. The results also point to the existence of a large stock of potential emigrants in Portugal. The actual emigration will depend to a great extent on expectations regarding the evolution of real wages in Portugal and in the EC partners. If workers do not expect a rapid growth at home, we will see a large outflow due to the differential of wage levels.
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    Empirical economics 19 (1994), S. 675-690 
    ISSN: 1435-8921
    Keywords: C11 ; C32 ; C53 ; E32 ; F15 ; O18
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    Topics: Economics
    Notes: Abstract To overcome the over-parameterization problems typically associated with the estimation of large VAR systems, Litterman (1979, 1986) and Doan, Litterman, and Sims (1984) have proposed the inclusion ofstatistical a priori information. In this paper, we investigate how economica priori information based on regional input-output tables and trade flows statistics could help estimate a large U.S.-Canadian regional model. Instead of relying on the usual Choleski factorization, we present the variance decomposition based on a national-regional unobservable variables model. Using monthly series (total employment, 1966:1-1986:12) on five Canadian regions and four U.S. ones, we are able to characterize the north-south propagation mechanism.
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    Empirical economics 19 (1994), S. 717-718 
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    Annals of operations research 48 (1994), S. vii 
    ISSN: 1572-9338
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    Topics: Mathematics , Economics
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    Annals of operations research 48 (1994), S. 127-152 
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    Notes: Abstract In this paper we evaluate the waiting time performance of cycle-time guided algorithms in semi-dynamic polling models. In these models knowledge of the system state is used by the server in the process of on-line determination of the visit pattern. Our main focus is on pseudo-cyclic algorithms which achievefairness by visiting every station exactly once in each cycle. It is shown that in fully symmetric systems the performance ofevery pseudocyclic policy is bounded between the performance of the cycle maximization and the cycle minimization strategies. In particular, stochastic dominance is shown with regard to system workload, implying dominance of mean waiting times. In a fluid approximation model the performance ratio between the two bounding policies is derived and shown to be always between 1 and 3/4 under the gated service regime and between 1 and 1/2 under the exhaustive service regime. Under both regimes, the ratio approaches 3/4 when the number of stations grows to infinity. Simulation results suggest that a similar performance ratio holds for the general (non-symmetric) stochastic model. Further, we study strategies which are guided by the cycle maximization (minimization) criteria, but which do not constrain themselves to pseudo-cyclic orders. It is shown that depending on the switch-over parameters these more dynamic policies may perform much worse than the pseudo-cyclic schemes.
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    Annals of operations research 48 (1994), S. 249-271 
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    Topics: Mathematics , Economics
    Notes: Abstract This paper is tutorial in nature. It demonstrates how a particular heuristic extension of the arrival theorem, which was introduced earlier for very special network topologies, can be effectively applied (in an essentially unchanged manner) to obtain all mean performance measures for a rich class of Gordon-Newell like non-product-form queueing networks (QNs). All nodes in the class of queueing networks discussed are either FIFO or IS (pure delay), there is a single closed chain with probabilistic routing and each FIFO node also processes customers from a dedicated open chain. The number of FIFO nodesK, the number of IS nodesL and the closed chain populationN are finite but arbitrary and closed chain customers route probabilistically according to an arbitrary routing matrixQ. The think time distribution at an IS node is general, the service time distribution for both closed chain and open chain customers at the FIFO nodes is exponential with distinct service times for each, and both IS think times and FIFO service times are node dependent. The approximation technique is enhanced by an analytic study which demonstrates that it mirrors the expected behavior of the QN in many essential respects: monotonicity, bottleneck and asymptotic behavior. Moreover, in the case of balanced QNs, the approximation yields simple and explicit expressions for all quantities of interest. The analytic study and the numerical experiments presented complement one another and suggest that this approximation technique captures the essential structure of the QN, insofar as mean performance quantities are concerned.
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    Annals of operations research 48 (1994), S. 333-355 
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    Notes: Abstract The optimal scheduling problem in two queueing models arising in multihop radio networks with scheduled link activation is investigated. A tandem radio network is considered. Each node receives exogenous arriving packets which are stored in its unlimited capacity buffer. Links adjacent to the same node cannot transmit simultaneously because of radio interference constraints. The problem of link activation scheduling for minimum delay is studied for two different traffic types. In the first type all packets have a common destination that is one end-node of the tandem. In this case the system is modeled by a tandem queueing network with dependent servers. The server scheduling policy that minimizes the delay is obtained. In the second type of traffic, the destination of each packet is an immediate neighbor of the node at which the packet enters the network. In this case the system corresponds to a set of parallel queues with dependent servers. It is shown that the optimal policy activates the servers so that the maximum number of packets are served at each slot.
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    Annals of operations research 49 (1994), S. vii 
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    Annals of operations research 49 (1994), S. 1-24 
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    Topics: Mathematics , Economics
    Notes: Abstract As the transmission speeds of emerging data networks scale up, the effects of propagation delays, which do not scale, become quite consequential for the design of sliding windows which are needed for congestion control. It was previously shown that optimal window lengths grow linearly with transmission speed λ, thus making the cost of memory for buffers a major factor. However, it was also shown that the moments of the number of packets in the buffers are onlyO( $$\sqrt {{\mathbf{ }}\lambda }$$ ), the remaining packets are in the course of being propagated. This fact underlies the proposal made here which requires smallO( $$\sqrt {{\mathbf{ }}\lambda {\mathbf{ }}ln{\mathbf{ }}\lambda }$$ ) buffers and yet guarantees that the ratio of the realized throughput to the ideal throughput approaches unity with increasing λ. That is, buffers when properly sized overflow so rarely that even with a rudimentary (conversely, easily implemented) protocol like go-back-n, the loss in throughput due to retransmissions is negligible. This result is arrived at by obtaining an explicit characterization for large λ of thetail of the distribution of buffer occupancy in the closed network with window sized buffers; in the case of a single-hop virtual circuit the characterization is by a Gaussian conditioned to be nonnegative. Numerical and simulation results are presented to corroborate the performance predictions of the theory for the case of 45 Mbits/sec transmission speed.
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    Annals of operations research 49 (1994), S. 111-136 
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    Topics: Mathematics , Economics
    Notes: Abstract Discrete Markov chains are applied widely for analysis and design of high speed ATM networks due to their essentially discrete nature. Unfortunately, their use is precluded for many important problems due to explosion of the state space cardinality. In this paper we propose a new method for approximation of a discrete Markov chain by a chain of considerably smaller dimension which is based on the duality theory of optimization. A novel feature of our approach is that it provides guaranteed upper and lower bounds for the performance indices defined on the steady state distribution of the original system. We apply our method to the problem of engineering multiplexers for ATM networks.
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    Annals of operations research 50 (1994), S. v 
    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
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  • 96
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    Electronic Resource
    Springer
    Annals of operations research 50 (1994), S. 219-237 
    ISSN: 1572-9338
    Keywords: Hamiltonian path ; minimum arborescence ; Lagrangian multipliers ; 0–1 model ; precedence ; cutting planes ; makespan ; sequencing
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The sequential ordering problem with precedence relationships was introduced in Escudero [7]. It has a broad range of applications, mainly in production planning for manufacturing systems. The problem consists of finding a minimum weight Hamiltonian path on a directed graph with weights on the arcs, subject to precedence relationships among nodes. Nodes represent jobs (to be processed on a single machine), arcs represent sequencing of the jobs, and the weights are sums of processing and setup times. We introduce a formulation for the constrained minimum weight Hamiltonian path problem. We also define Lagrangian relaxation for obtaining strong lower bounds on the makespan, and valid cuts for further tightening of the lower bounds. Computational experience is given for real-life cases already reported in the literature.
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  • 97
    ISSN: 1572-9338
    Keywords: Peak expansion ; hydrothermal systems ; reliability ; constraint generation ; Benders decomposition ; cutting planes ; Monte Carlo simulation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, we first describe a constraint generation scheme for probabilistic mixed integer programming problems. Next, we present a decomposition approach to the peak capacity expansion planning of interconnected hydrothermal generating systems, with bounds on the transmission capacity between the regions. The objective is to minimize investments in generating units and interconnection links, subject to constraints on supply reliability. The problem is formulated as a stochastic integer program. The constraint generation scheme, which is similar to Benders decomposition, is applied in the solution of the peak capacity expansion problem. The master problem in this decomposition scheme is an integer program, solved by implicit enumeration. The operating subproblem corresponds to a stochastic network flow problem, and is solved by a maximum flow algorithm and Monte Carlo simulation. The approach is illustrated through a case study involving the expansion of the system of the Brazilian Southeastern region.
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  • 98
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    Electronic Resource
    Springer
    Annals of operations research 50 (1994), S. 427-435 
    ISSN: 1572-9338
    Keywords: Tabu search ; routing-scheduling problems ; health care
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Two supply delivery systems in a hospital are compared. In order to evaluate the number of carriers required by the new system, an operational research model has been developed and solved by the tabu search method. The results indicate that the new system is better except on weekend days.
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  • 99
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    Electronic Resource
    Springer
    Annals of operations research 50 (1994), S. 473-485 
    ISSN: 1572-9338
    Keywords: Location problem ; networks and graphs ; heuristics
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper initially proposes a heuristic algorithm for thep-median problem designed for large weighted graphs. The problem is approached through the construction ofp trees whose shapes are progressively modified according to successive tests over the stability of their roots and vertices. The algorithm seems promising because: (i) on a regular PC it can handle problems of the order of 500 vertices, while the mainframe version goes indefinitely further, (ii) contrary to what normally would be expected, execution times seem to be inversely proportional top, and even for large problems, they may be reasonable, especially ifp is large relative to the number of vertices, and (iii) it produces solutions of good quality and in most of the cases studied, it outperforms the traditional heuristic of Teitz and Bart. A real application of the algorithm embedded in a methodology to evaluate the location of 85 public schools, among 389 possible vertices, in the metropolitan area of Rio de Janeiro is reported. Results confirmed the conjecture of poor location and the procedure was able to identify several micro-regions simply void of schools. The methodology is being well received by the education authorities and its extension to the whole metropolitan area is being considered.
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  • 100
    Electronic Resource
    Electronic Resource
    Springer
    Annals of operations research 51 (1994), S. 15-32 
    ISSN: 1572-9338
    Keywords: Vector optimization ; efficient solutions ; duality gap ; generalized Lagrangian duality
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, foundations of a new approach for solving vector optimization problems are introduced. Generalized Lagrangian duality, related for the first time with vector optimization, provides new scalarization techniques and allows for the generation of efficient solutions for problems which are not required to satisfy any convexity assumptions.
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