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Optimal contracts under imperfect enforcement revisited
(Discussion paper, Working paper, 2005-08)We consider a financing game with costly enforcement based on Townsend (1979), but where monitoring is non-contractible and allowed to be stochastic. Debt is the optimal contract. Moreover, the debt contract induces creditor ... -
Optimal control of a renewable natural resources and the "stochastically induced critical depensation"
(Discussion paper, Working paper, 2002-12)This paper focus aspects connected to the optimal control of a renewable resource modelled by a stochastic differential equation. The main point is to show how small changes of the problem may cause severe changes in the ... -
Optimal control of predictive mean-field equations and applications to finance
(Peer reviewed; Journal article, 2016)We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process X(t) and a predictive ... -
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
(Journal article; Peer reviewed, 2016)In this article we consider a stochastic optimal control problem where the dynamics of the state process, X(t), is a controlled stochastic differential equation with jumps, delay and noisy memory. The term noisy memory ... -
Optimal control with partial information for stochastic Volterra equations
(Journal article; Peer reviewed, 2010)In the first part of the paper we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin calculus ... -
Optimal control with partial information for stochastic Volterra equations
(Journal article; Peer reviewed, 2010)In the first part of the paper we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin ... -
Optimal fishing mortalities with age-structured bioeconomic model - a case of NEA mackerel
(Discussion paper;9/16, Working paper, 2016-05-31)The effects of random environmental impacts on optimal exploitation of a fish population are investigated using both optimization and simulation, based on a discrete-time age-structured bioeconomic model. The optimization ... -
Optimal fishing policy for two species in a three-species predator-prey model: The case of capelin, cod and juvenile herring in the Barents Sea
(Discussion paper, Working paper, 2007-12)This paper presents a management model for the Barents Sea capelin and cod fisheries including juvenile herring in the biological model as the young herring influences the cod-capelin system. The objective of the study is ... -
Optimal heating of large block of flats
(Discussion paper, Working paper, 2007) -
Optimal Insurance Policies in the Presence of Costs
(Journal article; Peer reviewed, 2017)We reconsider costs in insurance, and suggest a new type of cost function, which we argue is a natural choice when there are relatively small, but frequent, claims. If a fixed cost is incurred each time a claim is made, ... -
Optimal maintenance scheduling of local public purpose buildings
(Discussion paper;36/14, Working paper, 2014-11)We formulate the maintenance scheduling decision as a dynamic optimization problem, subject to an accelerating decay. This approach offers a formal, yet intuitive, weighting of the trade-offs involved when deciding a ... -
Optimal management of renewable resources : a general feedback approach
(Discussion paper, Working paper, 1998-09)Analytical solutions for optimal exploitation of renewable capital stocks are derived as feedback rules for a quite general optimization problem. By feedback rules is meant that optimal exploitation is given as an explicit ... -
Optimal multi-dimensional stochastic harvesting with density-dependent prices
(Journal article; Peer reviewed, 2016)We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capitaldependent utilities. The result is applied to ... -
Optimal Pension Insurance Design
(Discussion paper, Working paper, 2006-09)In this paper we provide a framework for how the traditional life and pension contracts with a guaranteed rate of return can be optimized to increase customers’ welfare. Given that the contracts have to be priced correctly, ... -
Optimal portfolio selection with both fixed and proportional transaction costs for a CRRA investor with finite horizon
(Discussion paper, Working paper, 2002-01)In this paper we study the optimal portfolio selection problem for a constant relative risk averse investor who faces fixed and proportional transaction costs and maximizes expected utility of end-of-period wealth. We use ... -
Optimal portfolio selection with transaction costs for a CARA investor with finite horizon
(Discussion paper, Working paper, 2002-12)In this paper we study the optimal portfolio selection problem for a CARA investor who faces fixed and/or proportional transaction costs and maximizes expected utility of end-of-period wealth. We use a continuous time model ... -
Optimal redistribution and monitoring of labor effort
(Discussion paper;33/14, Working paper, 2014-09)This paper extends the Mirrlees (1971) model of optimal non-linear income taxation with a monitoring technology that allows the government to verify labor effort at a positive, but non-infinite cost. We analyze the joint ... -
Optimal risk sharing
(Discussion paper, Working paper, 2003-01)Optimal risk sharing is considered from the perspective of the risk sharing model introduced by Karl Borch in the late 50ies. First we introduce, in a modern setting, the main concepts from this theory. These we apply ... -
Optimal Risk Sharing in Society
(Discussion paper;10/21, Working paper, 2021-12-30)We consider risk sharing among individuals in a one-period setting under uncertainty, that will result in payoffs to be shared among the members. We start with optimal risk sharing in an Arrow-Debreu economy, or equivalently, ... -
Optimal Risk-Sharing and Deductables in Insurance
(Discussion paper, Working paper, 2006)Risk-sharing in insurance is analyzed, with a view towards explaining the prevalence of deductibles. First we introduce, in a modern setting, the main concepts of the theory of risk-sharing in a group of agents. This theory ...