Blar i Department of Business and Management Science på tittel
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A likelihood ratio and Markov Chain based method to evaluate density forecasting
(Discussion paper;12/14, Working paper, 2014-03)In this paper, we propose a likelihood ratio and Markov chain based method to evaluate density forecasting. This method can jointly evaluate the unconditional forecasted distribution and dependence of the outcomes. This ... -
A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting
(Journal article; Peer reviewed, 2019)In this paper, we propose a likelihood ratio based method to evaluate density forecasts which can jointly evaluate the unconditional forecasted distribution and dependence of the outcomes. Unlike the well‐known Berkowitz ... -
A Malliavin-Skorohod calculus in L^0 and L^1 for additive and Volterra-type processes
(Peer reviewed; Journal article, 2017)In this paper we develop a Malliavin–Skorohod type calculus for additive processes in the L1 and L1 settings, extending the probabilistic interpretation of the Malliavin–Skorohod operators to this context. We prove calculus ... -
A maximum entropy approach to the newsvendor problem with partial information
(Journal article; Peer reviewed, 2013)In this paper, we consider the newsvendor model under partial information, i.e., where the demand distribution D is partly unknown. We focus on the classical case where the retailer only knows the expectation and variance ... -
A maximum entropy approach to the newsvendor problem with partial information
(Discussion paper;2011:14, Working paper, 2011-08)In this paper, we consider the newsvendor model under partial information, i.e., where the demand distribution D is partly unknown. We focus on the classical case where the retailer only knows the expectation and variance ... -
A Maximum Principle Approach to Risk Indifference Pricing with Partial Information
(Journal article, 2008)We consider the problem of risk indifference pricing on an incomplete market, namely on a jump diffusion market where the controller has limited access to market information. We use the maximum principle for stochastic ... -
A Maximum Principle for Mean-Field SDEs with Time Change
(Journal article; Peer reviewed, 2017)Time change is a powerful technique for generating noises and providing flexible models. In the framework of time changed Brownian and Poisson random measures we study the existence and uniqueness of a solution to a ... -
A new Lagrangean Approach for the Travelling Salesman Problem
(Discussion paper;04/15, Working paper, 2015-01-19)In this paper, we use a reformulation of the symmetric and the asymmetric travelling salesman problem more suitable for Lagrangean relaxation and analyse the new approach on examples from TSP Lib. Furthermore the Lagrangean ... -
A New Semi-Lagrangean Relaxation for the K-Cardinality Assignment Problem
(Discussion paper;01/14, Working paper, 2014-01)Recently Beltrán-Royo, Vial & Alonso-Ayuso (2012) presented a semi-Lagrangean relaxation for the classical p-median location problem and for the incapacitated facility location problem. The results, obtained using the ... -
A new Semi-Lagrangean Relaxation for the p-median problem
(Discussion paper;01/15, Working paper, 2015-01-09)Recently Beltran-Royo et.al presented a Semi-Lagrangean relaxation for the classical p-median location problem. The results obtained using the Semi-Lagrangean relaxation approach were quite impressive. In this paper we use ... -
A Nodal Pricing Model for the Nordic Electricity Market
(Discussion paper;43/14, Working paper, 2014-12)In the Nordic day-ahead electricity market zonal pricing or market splitting is used for relieving congestion between a predetermined set of bidding areas. This congestion management method represents an aggregation of ... -
A partner in crime : assortative matching and bias in the crime market
(Discussion papers;25/14, Working paper, 2014-06)I identify a discriminatory bias in partnership formation within the property crime mar- ket in the United States. Theoretically, the prisoner's dilemma creates an incentive for a criminal to form a partnership with a ... -
A simple wavelet-based test for serial correlation in panel data models
(Discussion paper;11/14, Working paper, 2014-03)Hong and Kao (2004) proposed a panel data test for serial correlation of unknown form. However, their test is computationally difficult to implement, and simulation studies show the test to have bad small-sample properties. ... -
A study of tax minimization strategies in multinational companies : with focus on The Coca-Cola company and IKEA
(Master thesis, 2014)In this thesis we study how multinational companies are using various strategies in order to minimize their total tax burden. We use theory and relevant literature to describe some of the strategies available, and we ... -
Abusive transfer pricing and economic activity
(Discussion papers;21/14, Working paper, 2014-05)This paper investigates how concealment costs of transfer pricing and the prob- ability of detection affect transfer pricing and firm behavior. We find that transfer pricing in intermediate production factors does not ... -
Access regulation and cross-border mergers : is international coordination beneficial?
(Discussion paper, Working paper, 2005-04)The international integration of regulated markets poses new challenges for regulatory policy. One question is the implications that the overall international regulatory regime will have for cross-border and/or domestic ... -
Adaptive regulation with flow and stock externalities
(Discussion paper, Working paper, 1998-01)In confronting a consumer good whose production process is associated with both flow and stock externalities, a corrective tax is introduced to restore efficiency. The objective is to maximize social welfare over time when ... -
Adjusting for Cell Suppression in Commuting Trip Data
(Discussion paper;13/22, Working paper, 2022-12-13)Maximum entropy methods are used to infer the true trip-distribution matrix in cases where parts of the data are suppressed due to privacy concerns. Large proportions of the suppressed data are found to be inferred correctly ... -
Adverse selection and seasoned security offerings
(Doctoral thesis, 1999) -
Adverse selection, public information, and underpricing in new issues
(Discussion paper, Working paper, 2004-02)This paper examines the role of adverse selection in the pricing of new issues when all investors may be privately informed about the firm, and in which public information is observed prior the issue date. The precision ...