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A concept of using a dynamic programming method to optimize an investment portfolio allowing for asymmetric rates of return and a minimum risk portfol

100%
Tymiński J.
Nauki o Finansach
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2014
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issue 4(21)
52-61
EN
Investment management on the capital market is a complex and multifarious process and the accuracy of decisions is an indispensable condition that an investor needs to fulfill if the expected economic results are to be achieved. The paper presents the concept of the optimization of investment portfolio on the capital market of shares. The maximum value of portfolio quality measure was used as an optimization criterion. It is expressed by the index of variability R/σ of the rate of return for each share in the portfolio. The cumulation of values of R/σ index in the successive years of the investigated period allowed for an econometric estimation of the continuous functions and their maximum. The indexes of asymmetry of rate of return for particular shares in the portfolio were introduced into the functions, which enabled to increase the efficiency of the selection of shares for the portfolio. This, in turn, allowed to achieve the optimum structure of shares in the portfolio.
2
Content available remote

Method for efficient distribution of means to reduce CO2 emissions in a set of power plants

100%
KAŁUSZKO A.
Operations Research and Decisions
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2013
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vol. 23
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issue 2
55-65
EN
A method for the allocation of technologies of reduction of CO2 emission to sources of emissions based on dynamic programming has been described. The purpose of the application of the method was to develop an efficient strategy of allocating financial means for reducing CO2 emissions from a set of coal and lignite fired power plants (carbon dioxide sources) which enables reduction of the total emissions to the required level within a given time horizon, at the minimum cost. The application of the method is illustrated based on the set of the 20 largest Polish coal and lignite fired power plants.
3
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Dynamie Programming with Returns in Random Variables Spaces

100%
Sitarz S., Institute of Mathematics U. o. S.
Acta Universitatis Lodziensis. Folia Oeconomica
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2004
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vol. 175
EN
This paper presents a model of dynamic, discrete decision-making problem (finite number of periods, states and decision variables). Described process has returns in random variables spaces equipped with partial order. The model can be applied for many multi-stage, multi-criteria decision making problems. There are a lot of order relations to compare random variables. Properties of those structures let us apply Bellman’s Principle of dynamic programming. The result of using this procedure is obtainment of a whole set of optimal values (in the sense of order relation). For illustration, there is presented a numerical example.
PL
W artykule opisano dyskretny model programowania dynamicznego z wartościami funkcji kryterium z przestrzeni zmiennych losowych wyposażonej w częściowy porządek. Opisany proces dynamiczny ma charakter deterministyczny. Porównując zmienne losowe stosowane są różne rodzaje relacji porządkujących. Własności struktur zmiennych losowych pozwalają stosować uogólnioną metodę programowania dynamicznego - tzw. zasadę Bellmana. Efektem tej procedury jest uzyskanie pełnego zbioru wartości optymalnych (w sensie relacji częściowego porządku). Analogicznie, jak w programowaniu wielokryterialnym, tak i tu rozwiązaniem problemu optymalizacyjnego może być duży zbiór wartości optymalnych. Przedstawione są metody zawężające ten zbiór, wykorzystujące dynamiczną postać zadania oraz własności zmiennych losowych.
4
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Stochastic Orders in Discrete Dynamic Programming

100%
Sitarz S., University of Silesia I. o. M.
Acta Universitatis Lodziensis. Folia Oeconomica
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2005
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vol. 194
PL
W pracy rozważane jest zadanie optymalizacji dynamicznej z wartościami funkcji kryterium będącymi zmiennymi losowymi. Ściślej opisany jest model dynamiczny ze skończoną liczbą etapów, stanów oraz decyzji. Proces taki oceniany jest ze względu na osiągane wartości zmiennych losowych. Aby można było zastosować zmienne losowe w optymalizacji dynamicznej, muszą one spełniać odpowiednie warunki, co opisane jest w pracy. Podany jest przykład możliwych do wykorzystania porządków stochastycznych, tzw. dominacji stochastycznych.
EN
This paper deals with a problem of dynamic optimization with values of criteria function in the set of the random variables. Precisely, there is a dynamic model with finite number of stages, states and decision variables described. Such a dynamic process is evaluated regarding values of the random variables. The random variables have to fulfil some conditions, if they are to be applied to dynamie optimization. These conditions are described in presented paper. Moreover, there is given a review of stochastic orders, which can be used in the model.
5
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Computing power indices for weighted voting games via dynamic programming

88%
STAUDACHER J., KÓCZY L. Á., STACH I., FILIPP J., KRAMER M., NOFFKE T., OLSSON L., PICHLER J., SINGER T.
Operations Research and Decisions
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2021
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vol. 31
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issue 2
123-145
EN
We study the efficient computation of power indices for weighted voting games using the para- digm of dynamic programming. We survey the state-of-the-art algorithms for computing the Banzhaf and Shapley–Shubik indices and point out how these approaches carry over to related power indices. Within a unified framework, we present new efficient algorithms for the Public Good index and a recently proposed power index based on minimal winning coalitions of the smallest size, as well as a very first method for computing the Johnston indices for weighted voting games efficiently. We introduce a software package providing fast C++ implementations of all the power indices mentioned in this article, discuss computing times, as well as storage requirements.
6
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The Optimal Timing of Strategic Action – A Real Options Approach

75%
Sollars G. G., Tuluca S. A.
Journal of Entrepreneurship, Management and Innovation
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2012
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vol. 8
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issue 2
78-95
EN
The possibility of a first-mover advantage arises in a variety of strategic choices, including product introductions, business start-ups, and mergers and acquisitions. The strategic management literature reflects ambiguity regarding the likelihood that a first mover can or will capture additional value. This paper uses a real options approach to address the optimal timing of strategic moves. Previous studies have modeled real options using either a perpetual or a European financial option. With these models, a strategic choice could only be made either without respect to a time frame (perpetual) or at a fixed point in time (European option.) Neither case is realistic. Companies typically have strategic options with only a limited time frame due to market factors, but companies may choose to act at any time within that constraint. To reflect this reality, we adapt a method for valuing an American financial option on a dividend paying stock to the real options context. The method presented in this paper proposes a solution for the optimum value for a project that should trigger a strategic choice, and highlights the value lost by not acting optimally. We use simulation results to show that the time frame available to make a strategic choice has an important effect on both the project value for when action should be taken, as well as on the value of waiting to invest at the optimal time. The results presented in this paper help to clarify the ambiguity that is found in the strategic management literature regarding the possibility of obtaining a first-mover advantage. Indeed, a first mover that acts sub-optimally could incur losses or at least not gain any advantage. A first mover that waits to invest at the right time based on the superior information supplied by models based on real options could be better positioned to obtain the benefits that might come from the first move.
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Killed Markov Decision Processes for Countable Models for Crash Function Assessment

51%
Kowal R.
Folia Oeconomica Stetinensia
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2009
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vol. 8
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issue 1
99-112
EN
In this article the killed Markov decision processes for countable models on finite time interval are considered. The existence of a uniform ε-optimal policy is proved. The correctness of the fundamental equation is shown. The optimal control problem is reduced to a similar problem for derived model. Also, the optimality equation and method for simple optimal policies constructing is received. A sufficient condition of simple policies for countable models is proved. The correctness of the Markovian property is shown. Additionally dynamic programming principle is considered.
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