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  • 1
    Digitale Medien
    Digitale Medien
    Springer
    Annals of operations research 99 (2000), S. 251-265 
    ISSN: 1572-9338
    Schlagwort(e): stochastic programming ; bond portfolio management ; interest ratescenarios ; stability ; sensitivity
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Abstract The bond portfolio management problem is formulated as a multiperiod two-stage or multistage stochastic program based on interest rate scenarios. These scenarios depend on the available market data, on the applied estimation and sampling techniques, etc., and are used to evaluate coefficients of the resulting large scale mathematical program. The aim of the contribution is to analyze stability and sensitivity of this program on small changes of the coefficients – the (scenario dependent) values of future interest rates and prices. We shall prove that under sensible assumptions, the scenario subproblems are stable linear programs and that also the optimal first-stage decisions and the optimal value of the considered stochastic program possess acceptable continuity properties.
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  • 2
    Digitale Medien
    Digitale Medien
    Springer
    Environmental and resource economics 16 (2000), S. 253-262 
    ISSN: 1573-1502
    Schlagwort(e): endogenous future preferences ; stock of the environmental asset ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract A dynamic optimization model is developed in whichuncertainty about future preferences is endogenous,namely depending on the state of the environment atthe time the change in preferences occurs.Endogeneizing preferences not only provides economicintuition to previous results but also implies thatoptimal policies are less conservative.
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  • 3
    Digitale Medien
    Digitale Medien
    Springer
    Journal of risk and uncertainty 18 (1999), S. 165-188 
    ISSN: 1573-0476
    Schlagwort(e): moral hazard ; unemployment insurance ; workers' compensation ; risk ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper examines how the Workers' Compensation (WC) and Unemployment Insurance (UI) programs interact to influence the duration of claims due to workplace accidents. We use longitudinal WC administrative micro-data on more than 30,000 workers in the Canadian construction industry for the period 1976–1986. For the estimations, we use the Meyer (1990) semi-parametric proportional hazard model. Our results show, in particular, that a reduction in the UI replacement ratio is associated with an increase in the duration of claims due to severe accidents that are difficult to diagnose. Moreover, the duration of spells on WC is much higher when an accident occurs in December, a month which corresponds to the beginning of the lay-off season in the construction sector. This result is consistent with the fact that WC benefits are more generous than UI benefits in Canada.
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  • 4
    Digitale Medien
    Digitale Medien
    Springer
    Journal of productivity analysis 12 (1999), S. 55-75 
    ISSN: 1573-0441
    Schlagwort(e): Data envelopment analysis (DEA) ; returns to scale (RTS) ; sensitivity ; stability
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Sensitivity of the returns to scale (RTS) classifications in data envelopment analysis is studied by means of linear programming problems. The stability region for an observation preserving its current RTS classification (constant, increasing or decreasing returns to scale) can be easily investigated by the optimal values to a set of particular DEA-type formulations. Necessary and sufficient conditions are determined for preserving the RTS classifications when input or output data perturbations are non-proportional. It is shown that the sensitivity analysis method under proportional data perturbations can also be used to estimate the RTS classifications and discover the identical RTS regions yielded by the input-based and the output-based DEA methods. Thus, our approach provides information on both the RTS classifications and the stability of the classifications. This sensitivity analysis method can easily be applied via existing DEA codes.
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  • 5
    Digitale Medien
    Digitale Medien
    Springer
    Environmental and resource economics 14 (1999), S. 75-94 
    ISSN: 1573-1502
    Schlagwort(e): CGE ; Costa Rica ; environmental indicators ; Monte Carlo ; parameter values ; trade policy ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract This study explores the role of parameter uncertainty in CGE modeling of the environmental impacts of macroeconomic and sectoral policies, using Costa Rica as a case for study. A CGE model is constructed which includes eight environmental indicators covering deforestation, pesticides, overfishing, hazardous wastes, inorganic wastes, organic wastes, greenhouse gases, and air pollution. The parameters are treated as random variables drawn from prespecified distributions. Evaluation of each policy option consists of a Monte Carlo experiment. The impacts of the policy options on the environmental indicators are relatively robust to different parameter values, in spite of the wide range of parameter values employed.
    Materialart: Digitale Medien
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  • 6
    Digitale Medien
    Digitale Medien
    Springer
    Computational economics 14 (1999), S. 237-253 
    ISSN: 1572-9974
    Schlagwort(e): cooperative games ; production ; core ; uncertainty ; stochastic programming ; distribution
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Informatik , Wirtschaftswissenschaften
    Notizen: Abstract The main objects below are transferable-utility games in which each agent faces an optimization problem, briefly called production planning, constrained by his resource endowment. Coalitions can pool members' resources. Such production games are here extended to accommodate uncertainty about events not known ex ante. Planning then takes the form of two-stage stochastic programming. Core solutions are sought, described, and computed via aggregate dual programs. The analysis is motivated by practical applications. Examples include stochastic production and regional distribution with random demand and supply, illustrated by a numerical example.
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  • 7
    Digitale Medien
    Digitale Medien
    Springer
    International tax and public finance 6 (1999), S. 621-639 
    ISSN: 1573-6970
    Schlagwort(e): expectations ; bubbles ; uniqueness ; stability ; state variables ; multiplicity
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper concerns the minimal-state-variable (MSV) criterion for selection among solutions in rational expectationsmodels that feature a multiplicity of paths that satisfy all of the model's conditions. It compares the MSVcriterion with others, including the widely used saddle-path (dynamic stability) criterion. It is emphasized that theMSV criterion can be viewed as a scientifically useful classification scheme that delineates the unique solutionthat is free of bubble components. In the process of demonstrating uniqueness for a broad class of linear models,the paper exposits a convenient computational procedure. Applications to current issues are outlined.
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  • 8
    Digitale Medien
    Digitale Medien
    Springer
    Review of industrial organization 15 (1999), S. 149-163 
    ISSN: 1573-7160
    Schlagwort(e): Firm information ; stochastic frontier estimation ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract The role of firm information about product and financial markets is the subject of considerable research. Typically empirical research measures information through price dispersion. However, the dispersion represents an imperfect measure of information. Several studies utilize stochastic frontier estimation techniques to measure worker information about the labor market. This paper determines whether the frontier information measure can be applied to the measurement of firm information about product markets. Several intuitive hypotheses are tested concerning the relationship between firm characteristics and information investments. The results are consistent with expectations and provide support for using stochastic frontier techniques to measure firm information.
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  • 9
    Digitale Medien
    Digitale Medien
    Springer
    Environmental and resource economics 13 (1999), S. 435-458 
    ISSN: 1573-1502
    Schlagwort(e): bioeconomics ; multiple stocks ; humane values ; Minke whales ; Monte Carlo analysis ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract Most bioeconomic models of efficient renewable resource management are constructed for a single harvesting ground. A bioeconomic model is developed in this paper to study the optimal management of renewable resources that are found in spatially distinct harvesting grounds. The model is applied to Minke whale management. Important inter-regional substitution effects are shown to exist. In addition, comparison with previous studies shows that multiple stock management is necessary for efficient management. Finally, the current Minke whale moratorium is shown to be inefficient unless significant nonmarket values exist.
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  • 10
    Digitale Medien
    Digitale Medien
    Springer
    Mathematical methods of operations research 50 (1999), S. 245-270 
    ISSN: 1432-5217
    Schlagwort(e): Key words: Portfolio optimization ; stochastic programming ; stability ; postoptimality ; worst-case analysis
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Abstract. Solutions of portfolio optimization problems are often influenced by errors or misspecifications due to approximation, estimation and incomplete information. Selected methods for analysis of results obtained by solving stochastic programs are presented and their scope illustrated on generic examples – the Markowitz model, a multiperiod bond portfolio management problem and a general strategic investment problem. The approaches are based on asymptotic and robust statistics, on the moment problem and on results of parametric optimization.
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  • 11
    Digitale Medien
    Digitale Medien
    Springer
    The Geneva risk and insurance review 23 (1998), S. 151-165 
    ISSN: 1554-9658
    Schlagwort(e): environmental management ; uncertainty ; public goods ; voluntary contributions ; precaution ; risk
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This article presents a model in which production causes pollution that diminishes the welfare of its agents. Each agent is concerned with the quality of its environment and may voluntary contribute to improve it by financing depollution technology. The effectiveness of this technology on the quality of the environment is uncertain. We show that if an agent is sufficiently risk averse, voluntary contribution is a decreasing function of the average efficiency of depollution technology. If, on the contrary, the pollution effect is weaker than the substitution effect, the opposite holds. We show that precaution about environmental quality has two possible consequences that depend on agents' risk aversion. Therefore, the implications of a precautionary attitude lead us to consider the agents' risk-aversion characterization, which implies knowledge about prudent attitude.
    Materialart: Digitale Medien
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  • 12
    Digitale Medien
    Digitale Medien
    Springer
    OR spectrum 20 (1998), S. 101-107 
    ISSN: 1436-6304
    Schlagwort(e): Competitive location model ; Nash equilibria ; stability ; reachability ; Wettbewerbsmodelle in der Standorttheorie ; Nash Gleichgewicht ; Stabilität ; Erreichbarkeit
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Beschreibung / Inhaltsverzeichnis: Zusammenfassung In der Arbeit werden die Standorte von Duopolisten in einem Baum untersucht. Unter der Annahme festgesetzter Preise werden notwendige und hinreichende Bedingungen für Nash Gleichgewichte für Standorte auf Bäumen hergeleitet. Unter Verwendung dieser Bedingungen wird dann gezeigt, daß — angenommen Nash Gleichgewichte existieren — diese in einem wiederholt angewandten sequentiellen Standortfindungsprozeß, in dem beide Duopolisten als Zielfunktion kurzfristige Gewinnmaximierung haben, auch erreicht werden.
    Notizen: Abstract This paper examines the location of duopolists on a tree. Given parametric prices, we first delineate necessary and sufficient conditions for locational Nash equilibria on trees. Given these conditions, we then show that Nash equilibria, provided they exist, can be reached in a repeated sequential relocation process in which both facilities follow short-term profit maximization objectives.
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  • 13
    Digitale Medien
    Digitale Medien
    Springer
    OR spectrum 20 (1998), S. 101-107 
    ISSN: 1436-6304
    Schlagwort(e): Key words: Competitive location model ; Nash equilibria ; stability ; reachability ; Schlüsselwörter: Wettbewerbsmodelle in der Standorttheorie ; Nash Gleichgewicht ; Stabilität ; Erreichbarkeit
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Beschreibung / Inhaltsverzeichnis: Zusammenfassung. In der Arbeit werden die Standorte von Duopolisten in einem Baum untersucht. Unter der Annahme festgesetzter Preise werden notwendige und hinreichende Bedingungen für Nash Gleichgewichte für Standorte auf Bäumen hergeleitet. Unter Verwendung dieser Bedingungen wird dann gezeigt, daß– angenommen Nash Gleichgewichte existieren – diese in einem wiederholt angewandten sequentiellen Standortfindungsprozeß, in dem beide Duopolisten als Zielfunktion kurzfristige Gewinnmaximierung haben, auch erreicht werden. “Equilibrium is a place in heaven, but how do we get there from here?”
    Notizen: Abstract. This paper examines the location of duopolists on a tree. Given parametric prices, we first delineate necessary and sufficient conditions for locational Nash equilibria on trees. Given these conditions, we then show that Nash equilibria, provided they exist, can be reached in a repeated sequential relocation process in which both facilities follow short-term profit maximization objectives.
    Materialart: Digitale Medien
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  • 14
    Digitale Medien
    Digitale Medien
    Springer
    Empirical economics 23 (1998), S. 387-400 
    ISSN: 1435-8921
    Schlagwort(e): Key words: Money demand ; cointegration ; stability ; regime shift ; JEL classification: E41 ; C22
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract. Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration in models with regime shifts, the empirical evidence on the existence of a structural break in the Spanish long-run demand for broad money (ALP2) is analysed.  The results indicate that shifts affecting the demand for ALP2 in recent years have substantially altered its long-run properties. As to the cause of this structural break, emphasis is placed on the role played by the increasing openness of the Spanish financial system to international markets as obstacles to free capital movements have progressively disappeared.
    Materialart: Digitale Medien
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  • 15
    Digitale Medien
    Digitale Medien
    Springer
    Journal of risk and uncertainty 17 (1998), S. 151-167 
    ISSN: 1573-0476
    Schlagwort(e): Pari-mutuel game ; uncertainty ; gambler's fallacy
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper investigates biases in the perceptions of probabilities using data from the 1989 and 1994 seasons at the Woodlands greyhound park in Kansas City, Kansas. Results reveal consistent evidence that the gambler's fallacy exists. The results also reveal that gamblers overestimate the probability of a win by the favorite and the dog in the “lucky” seven position. However, the comparison also suggests some learning by bettors between the first season of operation in 1989 and the 1994 season.
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  • 16
    Digitale Medien
    Digitale Medien
    Springer
    Journal of population economics 11 (1998), S. 1-20 
    ISSN: 1432-1475
    Schlagwort(e): JEL classification: D63 ; D71 ; D81 ; Key words: Population ethics ; uncertainty ; critical levels
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Sociologie , Wirtschaftswissenschaften
    Notizen: Abstract This paper analyzes variable-population social-evaluation principles in a framework where outcomes are uncertain. We provide characterizations of expected-utility versions of critical-level generalized utilitarian rules. These principles evaluate lotteries over possible states of the world on the basis of the sum of the expected values of differences between transformed utility levels and a transformed critical level, conditional on the agents‘ being alive in the states under consideration. Equivalently, the critical-level utilitarian value functions applied to weighted individual expected utilities can be employed. Weights are determined by the anonymity axiom.
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  • 17
    Digitale Medien
    Digitale Medien
    Springer
    Environmental and resource economics 11 (1998), S. 503-520 
    ISSN: 1573-1502
    Schlagwort(e): biodiversity ; dynamics ; resilience ; stability
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract The ecological concept of resilience has begun to inform analysis of change in economy-environment systems. The linkages between resilience and the stability of dynamical systems are discussed, along with its role in understanding of the evolution of such systems. Particular linkages discussed include those between resilience, biodiversity and the sustainability of alternative states. Recent developments in modelling the resilience of joint economy-environment systems suggest the advantages of analysing change in the system as a Markov process, the transition probabilities between states offering a natural measure of the resilience of the system in such states. It is argued that this ‘emergent property’ of the collaboration between ecology and economics has far-reaching implications for the way we think about, model and manage the environmental sustainability of economic development.
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  • 18
    Digitale Medien
    Digitale Medien
    Springer
    Journal of economics 68 (1998), S. 271-293 
    ISSN: 1617-7134
    Schlagwort(e): H53 ; D81 ; social-welfare programs ; wage distance ; shadow economy ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract It is often argued that low-skilled workers have an incentive to escape to the unofficial sector if welfare benefits come too close to the net wage in the official sector. Upper limits of welfare benefits often serve as an instrument to ensure a sufficiently high income differnetial between sectors. However, if unofficial-sector income is insecure, and if a change of sectors is costly, an option value of working in the official sector has to be taken into account. This option value reduces the incentive for lowly skilled workers to give up official-sector jobs. Upper limits of welfare benefits might therefore be defined less restrictively.
    Materialart: Digitale Medien
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  • 19
    Digitale Medien
    Digitale Medien
    Springer
    Environmental and resource economics 11 (1998), S. 635-646 
    ISSN: 1573-1502
    Schlagwort(e): damages ; global warming ; irreversibility ; optimal stopping ; timing ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract Although there is widespread agreement about the dangers of global warming and the resulting need to cut down emissions, there does not seem to be general agreement about the exact form the policy should take or the timing of its adoption. Failure to adopt and implement policies against global warming reflects the complexity of the problem, the uncertainties of climate change and the cost of policy adoption. Issues associated with the interactions between uncertainties and irreversibilities in determining the timing of policy adoption are analyzed by using the methodology of optimal stopping rules. Optimal policy functions are derived for cooperative and noncooperative solutions, with differential game representation. Issues associated with the empirical application of the optimal policy rules are also considered.
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  • 20
    Digitale Medien
    Digitale Medien
    Springer
    Environmental and resource economics 11 (1998), S. 177-195 
    ISSN: 1573-1502
    Schlagwort(e): uncertainty ; externalities ; Pigouvian taxes ; nuclear power
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract The external effects arising from the use of nuclear power are, in a fundamental way, related to uncertainty. In this paper we locate these external effects and derive a dynamic Pigouvian tax in order to make the decentralized economy support the command optimum. Another interesting result is that a small constant energy tax (which we interpret as a second best policy) can take the decentralized economy reasonably close to the command optimum.
    Materialart: Digitale Medien
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  • 21
    Digitale Medien
    Digitale Medien
    Springer
    Empirical economics 23 (1998), S. 387-400 
    ISSN: 1435-8921
    Schlagwort(e): Money demand ; cointegration ; stability ; regime shift ; E41 ; C22
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration in models with regime shifts, the empirical evidence on the existence of a structural break in the Spanish long-run demand for broad money (ALP2) is analysed. The results indicate that shifts affecting the demand for ALP2 in recent years have substantially altered its long-run properties. As to the cause of this structural break, emphasis is placed on the role played by the increasing openness of the Spanish financial system to international markets as obstacles to free capital movements have progressively disappeared.
    Materialart: Digitale Medien
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  • 22
    Digitale Medien
    Digitale Medien
    Springer
    Computational economics 10 (1997), S. 89-100 
    ISSN: 1572-9974
    Schlagwort(e): input-output models ; uncertainty ; interval arithmetic.
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Informatik , Wirtschaftswissenschaften
    Notizen: Abstract Input-output models are subject to uncertainty. If these models are solved without regard to the effects of the uncertainty the solutions can be substantially in error. Interval arithmetic offers a means by which the effects of this uncertainty can be assessed. They also offer a means of evaluating changes in the technical coefficients and a means of determining inverse important coefficients.
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  • 23
    Digitale Medien
    Digitale Medien
    Springer
    Journal of economics 66 (1997), S. 1-22 
    ISSN: 1617-7134
    Schlagwort(e): diffusion of innovations ; Walrasian equilibrium ; stability ; O31
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract When all products in the economy are weak gross substitutes, preferences are homothetic, and firms face menu costs then all prices in an industry move together at the same rate. In the closed-loop Nash noncooperative equilibrium, all firms invest in productivity and reduce real prices. As a result, in the case of quadratic menu costs, the outputs of industries and the economy go up along S-shaped time paths characteristic of diffusion of innovations.
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  • 24
    Digitale Medien
    Digitale Medien
    Springer
    Journal of economics 66 (1997), S. 271-282 
    ISSN: 1617-7134
    Schlagwort(e): Stackelberg model ; dynamic oligopoly ; stability ; C62 ; C73 ; D43
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract We investigate the (dynamic) stability of a stackelberg oligopoly model of a market of a homogeneous good, with output competition, one Stackelberg leader and a number of identical followers. We assume that each firm incurs quadratic production-adjustment costs if it changes its output. We present a simple necessary and sufficient condition for stability of the model. Using the condition, we compare the stability of this model with the stability of two related Cournot models in which all firms present are followers. It turns out that the Stackelberg model is “more stable” than these two Cournot models.
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  • 25
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    Digitale Medien
    Springer
    Environmental and resource economics 9 (1997), S. 451-466 
    ISSN: 1573-1502
    Schlagwort(e): global warming ; uncertainty ; learning ; irreversibility ; value of information ; dynamic games ; international agreements
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract In this paper we construct a simple model of global warming which captures a number of key features of the global warming problem: (i) environmental damages are related to the stock of greenhouse gases in the atmosphere; (ii) the global commons nature of the problem means that these are strategic interactions between the emissions policies of the governments of individual nation states; (iii) there is uncertainty about the extent of the future damages that will be incurred by each country from any given level of concentration of greenhouse gases but there is the possibility that at a future date better information about the true extent of environmental damages may become available; an important aspect of the problem is the extent to which damages in different countries may be correlated. In the first part of the paper we consider a simple model with two symmetric countries and show that the value of perfect information is an increasing function of the correlation between damages in the two countries in both the cooperative and non-cooperative equilibria. However, while the value of perfect information is always non-negative in the cooperative equilibrium, in the non-cooperative equilibrium there is a critical value of the correlation coefficient below which the value of perfect information will be negative. In the second part of the paper we construct an empirical model of global warming distinguishing between OECD and non-OECD countries and show that in the non-cooperative equilibrium the value of perfect information for OECD countries is negative when the correlation coefficient between environmental damages for OECD and non-OECD countries is negative. The implications of these results for international agreements are discussed.
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  • 26
    Digitale Medien
    Digitale Medien
    Springer
    Environmental and resource economics 9 (1997), S. 103-124 
    ISSN: 1573-1502
    Schlagwort(e): climate change ; uncertainty ; irreversibility ; intergenerational ; stochastic dynamic programming ; resource extraction
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract A three-generation planning model incorporating uncertain climate change is developed. Each generation features a production activity based on capital and an exhaustible resource. An irreversible climate change may occur in period two or three, reducing the productivity for this and the remaining generation. The model is solved by stochastic dynamic programming. If the climate impact and climate change probability is constant, the optimal period one (and two) resource extraction is larger than for the reference case of climate stability. If, however, climate impact and climate change probability increases with increased aggregate resource use, this result is reversed.
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  • 27
    Digitale Medien
    Digitale Medien
    Springer
    Environmental and resource economics 9 (1997), S. 451-466 
    ISSN: 1573-1502
    Schlagwort(e): global warming ; uncertainty ; learning ; irreversibility ; value of information ; dynamic games ; international agreements
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract In this paper we construct a simple model of global warming which captures a number of key features of the global warming problem: (i) environmental damages are related to the stock of greenhouse gases in the atmosphere; (ii) the global commons nature of the problem means that these are strategic interactions between the emissions policies of the governments of individual nation states; (iii) there is uncertainty about the extent of the future damages that will be incurred by each country from any given level of concentration of greenhouse gases but there is the possibility that at a future date better information about the true extent of environmental damages may become available; an important aspect of the problem is the extent to which damages in different countries may be correlated. In the first part of the paper we consider a simple model with two symmetric countries and show that the value of perfect information is an increasing function of the correlation between damages in the two countries in both the cooperative and non-cooperative equilibria. However, while the value of perfect information is always non-negative in the cooperative equilibrium, in the non-cooperative equilibrium there is a critical value of the correlation coefficient below which the value of perfect information will be negative. In the second part of the paper we construct an empirical model of global warming distinguishing between OECD and non-OECD countries and show that in the non-cooperative equilibrium the value of perfect information for OECD countries is negative when the correlation coefficient between environmental damages for OECD and non-OECD countries is negative. The implications of these results for international agreements are discussed.
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  • 28
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    Environmental and resource economics 9 (1997), S. 103-124 
    ISSN: 1573-1502
    Schlagwort(e): climate change ; uncertainty ; irreversibility ; intergenerational ; stochastic dynamic programming ; resource extraction
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract A three-generation planning model incorporating uncertain climate change is developed. Each generation features a production activity based on capital and an exhaustible resource. An irreversible climate change may occur in period two or three, reducing the productivity for this and the remaining generation. The model is solved by stochastic dynamic programming. If the climate impact and climate change probability is constant, the optimal period one (and two) resource extraction is larger than for the reference case of climate stability. If, however, climate impact and climate change probability increases with increased aggregate resource use, this result is reversed.
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  • 29
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    The Geneva risk and insurance review 21 (1996), S. 179-189 
    ISSN: 1554-9658
    Schlagwort(e): uncertainty ; investment ; newsboy problem ; increase in risk ; optimal capacity
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract In this article we study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product. The unit profit of operation is known with certainty, but there is no flexibility in our one-period framework. We show how the introduction of global uncertainty reduces the investment of the risk-neutral entrepreneur and, even more, that of the risk-averse one. We also show how marginal increases in risk reduce the optimal capacity of both the risk-neutral and the risk-averse entrepreneur, without any restriction on the concave utility function and with limited restrictions on the definition of a mean preserving spread. These general results are explained by the fact that the newsboy has a piecewise-linear, and concave, monetary payoff with a kink endogenously determined at the level of optimal capacity. Our results are compared with those in the two literatures on price uncertainty and demand uncertainty, and particularly, with the recent contributions of Eeckhoudt, Gollier, and Schlesinger [1991, 1995].
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  • 30
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    OR spectrum 18 (1996), S. 231-239 
    ISSN: 1436-6304
    Schlagwort(e): Generalized polymatrix games ; generalized linear complementarity problem ; stability ; degree theory ; Verallgemeinerte Polymatrix-Spiele ; verallgemeinertes lineares Komplementaritätsproblem ; Stabilität ; Grad-Theorie
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Beschreibung / Inhaltsverzeichnis: Zusammenfassung In dieser Arbeit führen wir eine Verallgemeinerung des Polymatrix-Spiels (eines Nicht-Nullsummen- und nicht-kooperativenn-Personen-Spiels), das von Howson betrachtet wurde, ein und führen das Problem, eine Gleichgewichtsmenge von Strategien für ein solches Spiel zu berechnen, auf das verallgemeinerte lineare Komplementaritätsproblem von Cottle und Dantzig zurück. Für eine noch allgemeinere Version des Spiels beweisen wir die Existenz einerε-Gleichgewichtsmenge von Strategien. Wir präsentieren auch ein Ergebnis über die Stabilität der Gleichgewichte, das auf der Grad-Theorie beruht.
    Notizen: Abstract In this paper, we introduce a generalization of the polymatrix game (a nonzero sum noncooperativen-person game) considered by Howson and relate the problem of computing an equilibrium set of strategies for such a game to the generalized linear complementarity problem of Cottle and Dantzig. For an even more general version of the game we prove the existence of anε-equilibrium set of strategies. We also present a result on the stability of the equilibria based on degree theory.
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  • 31
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    Journal of risk and uncertainty 13 (1996), S. 53-71 
    ISSN: 1573-0476
    Schlagwort(e): risk ; uncertainty ; ambiguity ; self-protection ; self-insurance ; framing ; D81
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract We build two experimental markets to examine individual valuations of risk reductions with two risk-management tools: self-insurance and self-protection. We find no positive evidence that the risk-reducing mechanisms constitute a “frame.” Ambiguity in the probability on average affects valuation only weakly, and changes in the representation of ambiguity do not alter valuation. Finally, unlike the results obtained by Hogarth and Kunreuther for the case of market insurance, our findings do not provide a strong support for the “Anchoring and Adjustment” ambiguity model.
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  • 32
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    Journal of risk and uncertainty 13 (1996), S. 5-17 
    ISSN: 1573-0476
    Schlagwort(e): risk ; uncertainty ; decision weights ; subadditivity
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Professional options traders priced risky prospects as well as uncertain prospects whose outcomes depended on future values of various stocks. The prices of the risky prospects coincided with their expected value, but the prices of the uncertain prospects violated expected utility theory. An event had greater impact on prices when it turned an impossibility into a possibility or a possibility into a certainty than when it merely made a possibility more or less likely, as predicted by prospect theory. This phenomenon is attributed to the subadditivity of judged probabilities.
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  • 33
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    International journal of game theory 25 (1996), S. 1-12 
    ISSN: 1432-1270
    Schlagwort(e): Bimatrix game ; ɛ-equilibrium ; optimal strategies ; vertical linear complementarity problem ; degree ; stability
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Abstract In this article, we consider a two-person game in which the first player picks a row representative matrixM from a nonempty set $$A$$ ofm ×n matrices and a probability distributionx on {1,2,...,m} while the second player picks a column representative matrixN from a nonempty set ℬ ofm ×n matrices and a probability distribution y on 1,2,...,n. This leads to the respective costs ofx t My andx t Ny for these players. We establish the existence of an ɛ-equilibrium for this game under the assumption that $$A$$ and ℬ are bounded. When the sets $$A$$ and ℬ are compact in ℝmxn, the result yields an equilibrium state at which stage no player can decrease his cost by unilaterally changing his row/column selection and probability distribution. The result, when further specialized to singleton sets, reduces to the famous theorem of Nash on bimatrix games.
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  • 34
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    Environmental and resource economics 8 (1996), S. 39-61 
    ISSN: 1573-1502
    Schlagwort(e): tropical forests ; irreversibility ; uncertainty ; Thai parks
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract This paper develops a framework for the valuation and management of tropical forests that reflects their ecological and economic characteristics. The analysis demonstrates the importance of modeling the feasible use patterns and the information structure in tropical forest management decisions. The model predicts that cases exist where the foresighted management of forests leads to more preservation than the traditional expected value approach. An application in Thailand provides evidence that such cases occur in relevant ranges of benefit flows. The model focuses tropical forest management on assessments of sustainability and feasible sequences in light of uncertainty and information flows.
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  • 35
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    The journal of real estate finance and economics 12 (1996), S. 37-58 
    ISSN: 1573-045X
    Schlagwort(e): liability ; uncertainty ; industrial redevelopment
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract The paper explores the effects of current liability law on real estate transactions involving properties with potential environmental contamination. Sources of uncertainty and their likely impact on transactions are identified. Liability-driven market distortions are likely to be due less to legal uncertainty than to problems arising from asymmetric information and imperfect detection.
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  • 36
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    Review of quantitative finance and accounting 6 (1996), S. 133-147 
    ISSN: 1573-7179
    Schlagwort(e): cost-volume-profit analysis ; uncertainty ; risk aversion ; fixed cost effect
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Cost-volume-profit analysis has focused on the firm's short-run output decision assuming that the manager maximizes the firm's objective function rather than his or her own. This study argues that the decision problem facing the manager is to determine not only the level of output, but also the level of investment in risky assets in such a way that the expected utility of the manager's own end-of-period wealth can be maximized when the manager's wealth function is dependent on vested interests both within and outside of the firm, possibly in competition with the firm. Through analytical work, it is demonstrated that a change in fixed costs of the firm affects not only the production decision of a manager, but also his orher decision to invest in risky assets. The direction of this fixed cost effect depends on the particular type of risk aversion displayed by the manager. From the analytical work, five propositions are developed for empirical investigation in the future.
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  • 37
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    Journal of economics 64 (1996), S. 53-84 
    ISSN: 1617-7134
    Schlagwort(e): convergence ; international trade ; international capital flows ; stability ; endogenous growth ; F12 ; O41
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Global stability properties of dynamic two-country models can be easily studied in the case of perfect international capital flows. With internationally constant relative productivities, balanced-growth path values for factor prices will hold on any path leading to the balanced-growth path unless one country experiences a period of no innovation. Innovation rates converge in the case of perfect international knowledge spillovers but long-run consumption levels and trade patterns are path-dependent. GDP per capita is predicted to converge slowly despite the presence of perfect international capital markets and no explicit inclusion of adjustment costs. The trade balance of the rich country is initially positive but after some time turns into a deficit.
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  • 38
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    Environmental and resource economics 8 (1996), S. 399-416 
    ISSN: 1573-1502
    Schlagwort(e): environmental taxes ; tradable permits ; excess burden ; tax revenues ; uncertainty ; secondbest policy
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract This paper analyses the optimal choice of second-best optimal environmental policies. Using a partial equilibrium model, the paper first reconfirms the well-known result that the existence of a double dividend (in its weak definition) favours environmental policy instruments which maximise tax revenues for a given improvement in environmental quality. Additional revenues can be used to reduce the distortion of existing taxes such as taxes on labour and capital income. Without uncertainty, environmental taxes and auctioned permits are equally appropriate. In the presence of uncertainty, however, the optimal choice of taxes or tradable permits depends on the relative magnitudes of the marginal environmental damage and the marginal benefit from consuming a polluting good. In the second part, the paper, therefore, analyses how the revenue capacity affects the optimal choice of environmental policy instruments in the presence of uncertainty. The paper shows that the first-best choice rule between price and quantity regulation (Weitzman, 1974) remains valid in a second-best world with distortionary taxation.
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  • 39
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    Annals of operations research 56 (1995), S. 79-93 
    ISSN: 1572-9338
    Schlagwort(e): Multistage stochastic programs ; optimization in Banach spaces ; stability ; approximation
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Abstract Multistage stochastic programs are regarded as mathematical programs in a Banach spaceX of summable functions. Relying on a result for parametric programs in Banach spaces, the paper presents conditions under which linearly constrained convex multistage problems behave stably when the (input) data process is subjected to (small) perturbations. In particular, we show the persistence of optimal solutions, the local Lipschitz continuity of the optimal value and the upper semicontinuity of optimal sets with respect to the weak topology inX. The linear case with deterministic first-stage decisions is studied in more detail.
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  • 40
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    Journal of risk and uncertainty 10 (1995), S. 37-55 
    ISSN: 1573-0476
    Schlagwort(e): uncertainty ; intertemporal choice ; life-cycle ; stochastic dominance ; temporal dominance
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Intertemporal choice has obvious similarities with choice under uncertainty. However, because of technical difficulties in mapping results between the two domains, theoretical analysis of these topics has proceeded independently. In this article, we show that, using Rank Dependent Expected Utility rather than Expected Utility as the basic uncertain choice model, numerous analogies between the two fields may be identified and exploited. The key result is the derivation of a natural analogy between risk-aversion and impatience. This permits the reinterpretation of well-known results on stochastic dominance and comparative risk-aversion in the context of intertemporal choice. It is also possible to reinterpret results on intertemporal optimization in order to derive new results for portfolio choice problems under uncertainty.
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  • 41
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    Journal of risk and uncertainty 10 (1995), S. 15-36 
    ISSN: 1573-0476
    Schlagwort(e): ambiguity ; uncertainty ; risk ; ignorance ; cognitive processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract The metaphor of gambling has had great influence on the topic of choice under uncertainty. However, in many real-world situations, people must make choices when they lack information about the relevant economic features of gambles, i.e., probabilities and outcomes. We refer to this as choice under ignorance as opposed to choice under risk or uncertainty. We propose that people handle these decisions by generating rationales or arguments that allow them to resolve the choice conflict. Moreover, these rationales often do not correspond to principles derived from the cost-benefit framework of economic models. These ideas are explored in two experiments in which subjects simulated the purchase of warranties for consumer durables. Our principal findings are, first, that observable behaviors differ between situations where subjects do and do not have information on probabilities and outcomes. Second, economic cost-benefit models did not yield good descriptions of our subjects' decisions. Third, the nature of arguments used, and thus the processes invoked, differed as a function of the information available to subjects. And fourth, subjects' arguments indicated two types of strategies for reaching decisions. In one, they processed the particular characteristics of each choice option; in the other, they invoked a “meta-rule” or principle that resolved the choice conflict and was insensitive to the particular features of different options. Finally, we discuss the implications of our results. This includes questioning the appropriateness of using the gamble as a metaphor for choice in future research.
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  • 42
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    Journal of risk and uncertainty 10 (1995), S. 143-156 
    ISSN: 1573-0476
    Schlagwort(e): uncertainty ; insurance ; renewability ; competition
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract We propose a guaranteed renewability (GR) insurance in which a sequence of premiums would enable insurers to break even and would be chosen by both low- and high-risk buyers, whether or not they had suffered a loss. The premium schedule would continually decline over time, as the insurer collects more information to determine who the low-risk buyers are. The highest premiums are charged initially to protect the insurer if low-risk individuals leave for the spot market. The concluding portion of the article discusses the limitations of a GR policy in the health and environmental liability area, the most serious being instability in estimates of underlying loss trends.
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  • 43
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    Environmental and resource economics 5 (1995), S. 353-374 
    ISSN: 1573-1502
    Schlagwort(e): Climate change damage costs ; cost functions ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract It is argued that estimating the damage costs of a certain benchmark climate change is not sufficient. What is needed are cost functions and confidence intervals. Although these are contained in the integrated models and their technical manuals, this paper brings them into the open in order to stimulate discussion. After briefly reviewing the benchmark climate change damage costs, region-specific cost functions are presented which distinguish tangible from intangible losses and the losses due to a changing climate from those due to a changed climate. Furthermore, cost functions are assumed to be quadratic, as an approximation of the unknown but presumably convex functions. Results from the damage module of the integrated climate economy modelFUND are presented. Next, uncertainties are incorporated and expected damages are calculated. It is shown that because of convex loss functions and right-skewed uncertainties, the risk premium is substantial, calling for more action than analysis based on best-guess estimates. The final section explores some needs for further scientific research.
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  • 44
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    Review of industrial organization 10 (1995), S. 269-288 
    ISSN: 1573-7160
    Schlagwort(e): Oligopoly ; uncertainty ; fuzzy mathematics ; Herfindahl-Hirschman ; antitrust
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper provides a brief sketch of fuzzy mathematics. It employs this relatively new mathematical tool to define and describe oligopoly markets and to quantitatively establish the impacts of uncertainty on the decision making that is intrinsic to oligopolistic industries. It illustrates how the technique would be used, for example, by applying fuzzy mathematics to the Herfindahl-Hirschman Index.
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  • 45
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    Theory and decision 39 (1995), S. 51-77 
    ISSN: 1573-7187
    Schlagwort(e): Ambiguity ; competence ; knowledge ; decision making ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Sociologie , Wirtschaftswissenschaften
    Notizen: Abstract Competence has recently been proposed as an explanation for the degree of ambiguity aversion. Using general knowledge questions we presented subjects with simple lotteries in which they could bet on an event and against the same event. We show that the sum of certainty equivalents for both bets depends on the judged knowledge of the class of events. We also elicited the decision weights for events and complementary events. We found a similar effect of knowledge on the sum of decision weights.
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  • 46
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    Environmental and resource economics 5 (1995), S. 71-82 
    ISSN: 1573-1502
    Schlagwort(e): Externality ; greenhouse ; estimation ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract The shadow price of carbon dioxide is the value of the external damage caused by an emission. A shadow price model for calculating the present value of the external damage of a carbon dioxide emission is derived explicitly. Sixteen experts provided subjective high, low and most likely parameter estimates because correct values for the eight model parameters are uncertain. The estimation procedure retains parameter uncertainty while generating the main result, which is a distribution of shadow price estimates. Major assumptions made in the estimation identify the basis for the results. Of the eight model parameters, the discount rate dominates the determination of the shadow price. For comparison, expert estimates of the shadow price itself provide a second distribution of shadow price estimates.
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  • 47
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    OR spectrum 16 (1994), S. 47-52 
    ISSN: 1436-6304
    Schlagwort(e): Vector optimization ; approximately efficient solutions ; stability ; Vektoroptimierung ; Näherungslösungen ; Stabilität
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Beschreibung / Inhaltsverzeichnis: 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.
    Notizen: 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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  • 48
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    OR spectrum 15 (1994), S. 197-203 
    ISSN: 1436-6304
    Schlagwort(e): Inventory ; dynamic programming ; stability ; Lagerhaltung ; Dynamische Optimierung ; Stabilität
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Beschreibung / Inhaltsverzeichnis: Zusammenfassung Die Menge der Kostenparameter, für die eine optimale Lösung des dynamischen Losgrößenmodells optimal bleibt wird hier Stabilitätsregion genannt. Die Größe einer solchen Menge kann als Maß der Robustheit einer Lösung angesehen werden. Es ist zu erwarten, daß die Stabilitätsregionen mit wachsendem Zeithorizont schrumpfen und daß sie in diesem Sinne monoton sind. In der vorliegenden Arbeit werden verschiedene hinreichende Bedingungen für diese Monotonie untersucht. Die Bedingungen setzen unter anderem die Existenz von Planungs- und Vorhersage-Horizonten voraus und verallgemeinern so Ergebnisse einer früheren Arbeit, in der Aussagen für gewöhnliche Planungs-Horizonte vorgestellt wurden.
    Notizen: Abstract The set of cost inputs for which an optimal solution of the dynamic lot size model remains valid is called stability region. The size of this region may be viewed as a measure of robustness of a solution. It is an expectation that the stability regions shrink with growing time horizons and that they are monotonous in this sense. In the present paper several sufficient conditions implying monotonicity will be studied. The conditions cover the existence of planning and forecast horizons and generalize the results of a previous paper in wich monotonicity results were presented for the case of ordinary planning horizons.
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  • 49
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    Journal of risk and uncertainty 8 (1994), S. 153-165 
    ISSN: 1573-0476
    Schlagwort(e): regret theory ; stochastic dominance ; choice ; uncertainty ; 026
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract The regret theory of choice under uncertainty proposed by Loomes and Sugden has performed well in explaining and predicting violations of Expected Utility theory. The original version of the model was confined to pairwise choices, which limited its usefulness as an economic theory of choice. Axioms for a more general form of regret theory have been proposed by Loomes and Sugden. In this article, it is shown that a simple nonmanipulability requirement is sufficient to characterize the functional form for regret theory with general choice sets. The stochastic dominance and comparative static properties of the model are outlined. A number of special cases are derived in which regret theory is equivalent to other well-known theories of choice under uncertainty.
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  • 50
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    Journal of risk and uncertainty 8 (1994), S. 197-216 
    ISSN: 1573-0476
    Schlagwort(e): expected utility theory ; belief functions ; lower probability ; uncertainty ; D81
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract An uncertain and not just risky situation may be modeled using so-called belief functions assigning lower probabilities to subsets of outcomes. In this article we extend the von Neumann-Morgenstern expected utility theory from probability measures to belief functions. We use this theory to characterize uncertainty neutrality and different degrees of uncertainty aversion.
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  • 51
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    Environmental and resource economics 4 (1994), S. 241-249 
    ISSN: 1573-1502
    Schlagwort(e): Economic growth ; pollution control ; technical progress ; tradeable pollution permits ; stability
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Energietechnik , Wirtschaftswissenschaften
    Notizen: Abstract The papers on economic growth with environmental constraints usually ignore the effect of technical progress, this results in static steady state solutions. This paper examines the problem of optimal economic growth with environmental damage, technical progress taken into account, which produces a steady state solution that corresponds to an equilibrium growth, with non-constant emissions and pollutant stock. As a means of steering the economy along the optimal path, two types of tradeable pollution permits are analyzed. The method of stabilizing the optimal path, leading to a steady state, is suggested.
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  • 52
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    Journal of risk and uncertainty 6 (1993), S. 255-275 
    ISSN: 1573-0476
    Schlagwort(e): gambling ; risk ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract A tiny utility of gambling is appended to an expected utility model for a risk-averse individual. It is shown that the model can explain small payoff gambles, large prize lotteries, and patterns of risk-seeking in the experimental evidence that are puzzling from the viewpoint of standard theory. At the same time, the model maintains expected utility theory's ability to explain insurance purchase, portfolio diversification, and other risk-averting behavior. The tiny utility of gambling could equally well be appended to models of risky choice other than the expected utility model.
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  • 53
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    Journal of risk and uncertainty 7 (1993), S. 71-87 
    ISSN: 1573-0476
    Schlagwort(e): insurer ambiguity ; uncertainty ; market failure ; decision making
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract A series of studies investigate the decision processes of actuaries, underwriters, and reinsurers in setting premiums for ambiguous and uncertain risks. Survey data on prices reveal that all three types of these insurance decision makers are risk averse and ambiguity averse. In addition, groups appear to be influenced in their premium-setting decisions by specific reference points such as expected loss and the concern with insolvency. This behavior is consistent with a growing analytical and empirical literature in economics and decision processes that investigates the role that uncertainty plays on managerial choices. Improved risk-assessment procedures and government involvement in providing protection against catastrophic losses may induce insurers to reduce premiums and broaden available coverage.
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    Journal of risk and uncertainty 5 (1992), S. 325-370 
    ISSN: 1573-0476
    Schlagwort(e): ambiguity ; uncertainty ; Ellsberg paradox ; nonexpected utility
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract In subjective expected utility (SEU), the decision weights people attach to events are their beliefs about the likelihood of events. Much empirical evidence, inspired by Ellsberg (1961) and others, shows that people prefer to bet on events they know more about, even when their beliefs are held constant. (They are averse to ambiguity, or uncertainty about probability.) We review evidence, recent theoretical explanations, and applications of research on ambiguity and SEU.
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    Review of industrial organization 7 (1992), S. 83-90 
    ISSN: 1573-7160
    Schlagwort(e): Concentration ; performance ; index ; information ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Industry indices, be they conduct or performance based, frequently guide government intervention activities and are used for both predictive and prescriptive purposes. Unfortunately, few existing indices of industrial concentration are based on underlying economic theory, and those that are based on theory are based on models of perfect information. We derive a general performance measure relevant for industries that experience imperfect information. We do so by specifying a social welfare function that reflects the objectives of the policymaker and maps characteristics of industry equilibria under uncertainty into a real number that summarizes industry performance. The importance of explicitly accounting for the information structure of an industry is illustrated by deriving a reduced form for the performance measure valid when a monopolist faces random demand.
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  • 56
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    Theory and decision 33 (1992), S. 41-69 
    ISSN: 1573-7187
    Schlagwort(e): Probability ; aggregation ; t-norm ; uncertainty ; ordered weighted average
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Sociologie , Wirtschaftswissenschaften
    Notizen: Abstract We concern ourselves with the problem of determining the overall degree or measure of realization of an object based upon its occurrence in a collection of individual phenomena. We show that while probability is the classic measure of this type, it is but one of a whole family of possible such measures. We use the OWA operator to provide this family of measures. We investigate the situation in which our observations are both specific elements and subsets of some base set.
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  • 57
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    Theory and decision 32 (1992), S. 77-100 
    ISSN: 1573-7187
    Schlagwort(e): uncertainty ; experimental economics ; reduction principle
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Sociologie , Wirtschaftswissenschaften
    Notizen: Abstract Segal (1987) suggested that the Ellsberg paradox might be explained in terms of individuals mentally representing the decision problem as a two-stage lottery which they evaluated according to a non-expected utility model. This paper describes an experiment involving an explicitly two-stage analogue to an Ellsberg-type problem. This design substantially reduces the frequency of classic Ellsberg behaviour, but reveals other systematic violations of conventional theory. The paper discusses the particular patterns of choice and raises the more general problem of modelling individual decisions when the reduction principle does not hold.
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    Journal of risk and uncertainty 4 (1991), S. 299-324 
    ISSN: 1573-0476
    Schlagwort(e): uncertainty ; probability ; rationality ; belief
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract In this article, we first examine the various criticisms of the probabilistic model. Then we introduce capacities in order to show that if a probability measure corresponds to anesthetizing the belief of the agent's knowledge, it is then possible to suggest another type of rationality—namely, being able to describe a wise and a rash behavior when facing risk—and therefore another model of belief under uncertainty. While trying to specify various alternative measures, possibility, necessity, and measures resulting from a triangular norm or from a triangular conorm, we finally try to define the field of application of the probabilistic model as well as a sign of the rationality choice: constraint of mass-unity for traditional rationality, and constraint of duality for the one we present.
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  • 59
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    Journal of risk and uncertainty 4 (1991), S. 5-28 
    ISSN: 1573-0476
    Schlagwort(e): ambiguity ; uncertainty ; preferences
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract We investigate the relation between judgments of probability and preferences between bets. A series of experiments provides support for the competence hypothesis that people prefer betting on their own judgment over an equiprobable chance event when they consider themselves knowledgeable, but not otherwise. They even pay a significant premium to bet on their judgments. These data connot be explained by aversion to ambiguity, because judgmental probabilities are more ambiguous than chance events. We interpret the results in terms of the attribution of credit and blame. The possibility of inferring beliefs from preferences is questioned.1
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    The journal of real estate finance and economics 4 (1991), S. 225-265 
    ISSN: 1573-045X
    Schlagwort(e): Land market ; uncertainty ; rational expectations ; urban growth
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper presents a simple model of urban spatial growth under uncertainty with an infinite time horizon. The rational expectations equilibrium path (REE path) of the urban land market is obtained in explicit form as a function of exogenously given stochastic processes of future population, transport and household income in the city. Spatial and temporal characteristics of asset prices along the REE path are examined in detail.
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    Review of quantitative finance and accounting 1 (1991), S. 399-407 
    ISSN: 1573-7179
    Schlagwort(e): tender offers ; uncertainty ; shareholder wealth ; gains measurement
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Uncertainty concerning the ultimate outcome of tender offers may affect the measurement of changes in shareholder wealth. The uncertainty regarding the outcome of tender offers is measured by estimating the probability of acceptance of tender offers during the period when the tender offers are outstanding. The estimated probability of acceptance of tender offers implies that the amount of uncertainty prior to knowledge of the ultimate outcome is substantial and affects the measurement of expected equity gains. The uncertainty-adjusted measure of the change in shareholder wealth indicates that previous studies may have underestimated the gains expected to result from tender offers.
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  • 62
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    Theory and decision 31 (1991), S. 159-173 
    ISSN: 1573-7187
    Schlagwort(e): ambiguity ; uncertainty ; Ellsberg Paradox ; information
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Sociologie , Wirtschaftswissenschaften
    Notizen: Abstract This paper reports on the responses of 646 individuals to environmental risk information involving different forms of risk ambiguity. Recipients of more than one set of risk information do not simply average the risk levels provided. Rather, a variety of aspects of the nature of the risks that are communicated influence their probabilistic beliefs. Individuals' perceptions of the risk levels to which they are exposed are likely to be greater: (i) for more ambiguous risks, (ii) for risks for which the unfavorable risk evidence is presented last even when there is no temporal order, (iii) for risks for which the most unfavorable risk studies have been performed most recently, and (iv) for risks where there is asymmetry in the risk ambiguity that imposes substantial potential downside risks. Although these effects are modest for the median individual, the potential for extreme responses that reflect only the most adverse or the most favorable piece of information provided is quite prevalent. These findings are of interest more generally in that they indicate how individuals form their risk perceptions in the presence of risk ambiguity.
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  • 63
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    Annals of operations research 27 (1990), S. 343-369 
    ISSN: 1572-9338
    Schlagwort(e): Bifurcation ; singularities ; continuation ; parametric nonlinear programming ; stability
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Abstract Bifurcation and continuation techniques are introduced as a class of methods for investigating the parametric nonlinear programming problem. Motivated by the Fritz John first-order necessary conditions, the parametric programming problem is first reformulated as a closed system of nonlinear equations which contains all Karush-Kuhn-Tucker and Fritz John points, both feasible and infeasible solutions, and relative minima, maxima, and saddle points. Since changes in the structure of the solution set and critical point type can occur only at singularities, necessary and sufficient conditions for the existence of a singularity are developed in terms of the loss of a complementarity condition, the linear dependence constraint qualification, and the singularity of the Hessian of the Lagrangian on a tangent space. After a brief introduction to elementary bifurcation theory, some simple singularities in this parametric problem are analyzed for both branching and persistence of local minima. Finally, a brief introduction to numerical continuation and bifurcation procedures is given to indicate how these facts can be used in a numerical investigation of the problem.
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  • 64
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    Journal of risk and uncertainty 3 (1990), S. 65-82 
    ISSN: 1573-0476
    Schlagwort(e): risk ; uncertainty ; mean-preserving spreads ; star-shape
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract A characterization of comparative risk, parallel to but more restrictive than the Rothschild-Stiglitz (1970) characterization, is developed. As in Rothschild and Stiglitz, we develop a four-way characterization that consists of generating processes (a noise condition and generation by a sequence of special mean-preserving spreads), integral conditions, and preferences. The building blocks of this new order, Mean-preserving increases in risk about ν, where ν is any constant, are mean-preserving spreads whose centers have a nonempty intersection. If this intersection contains the mean of the distribution, the induced order, or mean-preserving increase in risk about the mean, conveys a particularly meaningful notion of an increase in risk as a buildup of the tails of the distribution.
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    Theory and decision 28 (1990), S. 143-172 
    ISSN: 1573-7187
    Schlagwort(e): Entropy ; decision analysis ; information economics ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Sociologie , Wirtschaftswissenschaften
    Notizen: Abstract This essay intends to define the role of entropy, in particular, the role of the maximum entropy criterion with respect to decision analysis and information economics. By considering the average opportunity loss interpretation, the basic hypothesis for Shannon's derivation can be derived from properties of decision problems. Using the representation Bayes Boundary it is possible to show that selecting a single probability from a set by the Maximum Entropy Criterion corresponds to a minimax criterion for decision-making. Since problems of randomly accessing and storing information as well as communicating information can often be stated in terms of coding problems, this result might be used to develop strategies for minimizing retrieval time or communication costs.
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  • 66
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    Journal of risk and uncertainty 2 (1989), S. 189-212 
    ISSN: 1573-0476
    Schlagwort(e): Risk ; choice ; perception ; control ; adjustment ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Experienced executives frequently try to modify the risky situations they face in order to make them more favorable rather than simply choosing from among available decision options. This article investigates several types of risk adjustments such as trying to influence the situation through bargaining and spending resources, gathering information, developing new options, and consulting one's superiors. A theoretical framework is presented that characterizes different types of adjustments and relates them to variables such as perceived risk, perceived control, perceived responsibility, decisiveness, and risky choice. The framework is tested using experienced decision makers who respond to four simulated risky business decisions.
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  • 67
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    Theory and decision 27 (1989), S. 93-106 
    ISSN: 1573-7187
    Schlagwort(e): cognition ; decision ; graphs ; artificial intelligence ; risk ; uncertainty ; expert systems ; expected utility
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Sociologie , Wirtschaftswissenschaften
    Notizen: Abstract In the first part, we try to give a representation of the process by which man endeavours to grasp uncertainty. We propose a backward exploration which we will modelize through an influence diagram and then we can draw a few conclusions from that representation for the axiomatics of Decision. In the second part, we deal with the processing of the information formatted in such a way, regarding both its temporal complexity and its elective complexity. The first part as the second one dealing with representation and the consequences for information processing of uncertainty cognition lead to a severe criticism of the expected utility hypothesis. To conclude, we suggest a few remarks on expert systems of decision aid under uncertainty.
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    Theory and decision 26 (1989), S. 1-35 
    ISSN: 1573-7187
    Schlagwort(e): research and development ; resource allocation ; project selection ; uncertainty ; data improvement ; control strategy
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Sociologie , Wirtschaftswissenschaften
    Notizen: Abstract This paper deals with the problem of optimal control of R&D. The fundamental aspects of this problem are viewed as: uncertainty about economic parameters of new technology (or new activity, e.g. a search for new oil fields) explored by a group of parallel projects attempting to make advances in this technology as well as improve economic data; allocation of investments among rival projects under a given total budget; timing of the ultimate selection of new technology (activity) according to the most successful project. The process of data improvement (PDI) is described as a (random) process of reducing the intervals of uncertainty, the rate of data improvement being controlled, in effect, by the investment policy. A stationary dynamic model with infinite horizon of planning and with the criterion of total discounted costs is developed. The model is carefully investigated from the economic point of view, and some new effects are discovered. It is demonstrated that uncertainty may be the source of additional gain; the bigger the initial uncertainty, the bigger the gain may be under optimal control. This effect is based on PDI, the economic background of which is presented as multiplication of the expected gain over time, which is typical for the classical macromodels of economics. Optimal continuous control is constructed at every time moment, and answers to two main questions are given: (1) either to prolong R & D or to make ultimate selection of one project, (2) how to allocate resources among the rival projects in the case of R&D prolongation. The last question is answered on the basis of profitability indices that relate efficiencies of PDI for particular projects to the costs of information.
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    Theory and decision 26 (1989), S. 99-105 
    ISSN: 1573-7187
    Schlagwort(e): decision theory ; uncertainty ; betting system ; Dutch book ; belief function
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Sociologie , Wirtschaftswissenschaften
    Notizen: Abstract By considering situations of partially resolving uncertainty, a one-to-one correspondence between belief functions and coherent betting systems à la de Finetti is shown to exist.
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    Journal of risk and uncertainty 1 (1988), S. 267-283 
    ISSN: 1573-0476
    Schlagwort(e): Risk ; uncertainty ; expected utility ; nonlinear preference
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract During the past generation, expected utility theory has been widely accepted as the normative standard for decision making under risk and under uncertainty. However, it is now known that reasonable people often violate its assumptions, and a number of generalizations of the theory have been developed to accommodate some of the more common violations. This essay recalls the origins of expected utility in the early 1700s, notes its axiomatizations on the basis of preference comparisons in the mid-1900s, describes violations of those axioms uncovered since then, outlines new theories stimulated by the violations, and suggests where the field might be headed in the next few decades.
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  • 71
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    Annals of operations research 9 (1987), S. 615-628 
    ISSN: 1572-9338
    Schlagwort(e): Bayesian paradigm ; Bayes ; statistical inference ; applied probability ; uncertainty
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Abstract This paper is based on an invited lecture given by the author at the ORSA/TIMS Special Interest Group on Applied Probability Conference onStatistical and Computational Problems in Probability Modeling, held at Williamsburg, Virginia, January 7–9, 1985. The theme of this paper is twofold. First, that members of the above group should be seriously concerned with issues of statistical inference — they should not stop short upon proposing a probability model. Second, that inference be undertaken via a strict adherence to the rules of probability — the Bayesian paradigm. To underscore a need for emphasizing the first theme, it may be pertinent to note that an overwhelming majority of the papers dealing with statistical and inferential issues that were presented at this conference were authored by members who did not claim to belong to the ORSA/TIMS Special Interest Group on Applied Probability. The lecture was followed by a panel discussion, with Drs. Lyle Broemeling and Edward Wegman of the Office of Naval Research as discussants. Dr. Robert Launer of the Army Research Office served as a moderator. Discussions from the floor included comments by Professors D. Harrington of Harvard University, E. Parzen of Texas A & M University, and R. Smith of Imperial College, London, England. This paper, and the comments of the panelists, are published in this volume of theAnnals of Operations Research, which is going to serve as a Proceedings of the Conference.
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    Mathematical methods of operations research 29 (1985), S. 65-104 
    ISSN: 1432-5217
    Schlagwort(e): Additive cost criterion ; analytic behaviour of strategies ; ES strategy ; list schedule ; MES strategy ; priority rule ; quasi-stability ; regular measure of performance ; scheduling problems ; set strategy ; shift property ; stability ; stochastic scheduling
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Abstract The paper introduces the finite class of set strategies for stochastic scheduling problems. It is shown that the knownstable classes of strategies such as ES and MES strategies are of this type, as arelist-scheduling strategies such as LEPT and SEPT and other, more complicatedpriority-type strategies. Roughly speaking, set strategies are characterized by the fact that the decision as to which jobs should be started at timet depends only on the knowledge of the two sets of jobs finished up to timet and being processed at timet. Contrary to list scheduling strategies, set strategies may involve deliberate idleness of machines, i.e. may not be greedy and can therefore not generally be induced by priority rules. It is demonstrated that set strategies have useful properties. They are e.g.λ n -almost everywhere continuous and therefore show satisfactorystability behaviour w.r.t. weak convergence of the joint distribution of job durations. Furthermore, the optimum w.r.t.all strategies is already attained on this class if job durations are independent and exponentially distributed and the performance measure fulfills a certainshift condition. This shift property is a quite natural concept and generalizes aspects of the notion ofadditivity in semi-Markov decision theory and stochastic dynamic optimization. Its complete analytical characterization is a major object of this paper. Typical additive cost criteria such as makespan and flowtime are of course covered, which yields simultaneously a first step towards generalization of optimality of LEPT and SEPT rules, as known for special cases. In fact, in view of the obtained optimality result, the question of when deliberate idleness of machines can be avoided, gains considerable interest, as it characterizes stochastic environments in whichpriority strategies are optimal. This provides a major link with current research on the analysis of networks of queues in the context of computer systems.
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    Annals of operations research 2 (1984), S. 271-284 
    ISSN: 1572-9338
    Schlagwort(e): Search ; uncertainty ; economics ; exploration ; minerals
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Abstract A sequential method of modeling the increase in precision of expected net revenues for a proposed exploration and exploitation program has been developed. Embedded within a computer simulation model of the exploration process, which incorporates a method of learning about deposit characteristics, is a multi-stage stochastic optimization process model to determine the optimal exploitation pattern of the deposit. This approach stresses the interdependence of the planning of the exploration and exploitation processes. The model can be used to determine the amount of exploration which should be undertaken in an area by more precisely predicting the long-range profitability associated with the amount of exploration. Thus, decision makers are provided a capability which reduces the uncertainty in profitability outcomes over future production periods.
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    Mathematical methods of operations research 28 (1984), S. 193-260 
    ISSN: 1432-5217
    Schlagwort(e): Analytic behaviour of strategies ; continuous strategies ; ES strategies ; MES strategies ; machine idleness ; monotonicity behaviour ; optimal strategies ; preselectivity ; regular measure of performance ; scheduling problems ; stability ; stochastic dynamic optimization ; stochastically ordered distributions ; stochastic scheduling
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: Abstract The paper contains an introduction to recent developments in the theory of non-preemptive stochastic scheduling problems. The topics covered are: arbitrary joint distributions of activity durations, arbitrary regular measures of performance and arbitrary precedence and resource constraints. The possible instability of the problem is demonstrated and hints are given on stable classes of strategies available, including the combinatorial vs. analytical characterization of such classes. Given this background, the main emphasis of the paper is on the monotonicity behaviour of the model and on the existence of optimal strategies. Existing results are presented and generalized, in particular w.r.t. the cases of lower semicontinuous performance measures or joint duration distributions having a Lebesgue density.
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