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This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. This strategy has two elements: first, for low ...

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This paper presents a framework to determine optimal maintenance planning of a fleet of complex and independent systems. They are made up of several major co...

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Although stochastic programming is probably the most effective frameworks for handling decision problems that involve uncertain variables, it is always a cos...

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The problem of coordinating a fleet of vehicles so that all demand points on a territory are serviced and that the workload is most evenly distributed among ...

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We explore the role of the discount on closed-end funds (CEFD) in asset pricing and weakly tests its validity as a proxy for sentiment in the Canadian stock ...

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This paper provides a general procedure for pricing American- and European-style interest rate derivatives within multifactor affine term structure models....

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The risk-adjusted selection and timing performance (alphas and gammas) of a comprehensive and survivorship-free sample of Canadian equity SRI funds after (be...

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This paper presents a framework where many existing structural credit risk models can be made hybrid by using a transformation of leverage to define the defa...

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This paper develops a dynamic model to determine a firm's optimal risk management strategy when it faces uncertainty about its future profitability and inves...

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Recent advances in coupling novel optimization methods to large-scale computing problems have opened the door to tackling a diverse set of physically realist...

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This paper considers the application of a Variable Neighborhood Search (VNS) algorithm for finite-horizon (<i>H</i> stages) Markov Decision Processes (MDPs),...

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The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

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We study a dynamic Cournot game with capacity accumulation under demand uncertainty, in which the investment is perfectly divisible, irreversible, and produc...

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The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board ...

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Most Fleet Assignment Problem (FAP) formulations use a leg-based estimation of revenue loss to derive the passenger revenue component of their objective fu...

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We present a model that rapidly finds an approximation of the expected passenger flow on an airline network, given forecast data concerning 1) the distribut...

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In Z. Ma, P.E. Caines, and R.P. Malhamé, ``Control of Loss Network Systems: Call Admission and Routing Control", (submitted to <i>SIAM J. Control...

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In this paper the call admission control (CAC) and routing control (RC) problems for loss network systems are studied as optimal stochastic control (OSC) pr...

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In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...

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We consider a dynamic marketing channel involving one manufacturer and one retailer. The strategic variables of the former are the wholesale price and the a...

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