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A Bellman approach to periodic optimization problems
(Discussion paper;19/16, Working paper, 2016-11-30)We consider an infinite horizon optimization problem with arbitrary but finite periodicity in discrete time. The problem can be formulated as a fix-point problem for a contraction operator, and we provide a solution scheme ... -
A bridge between continuous and discrete-time bioeconomic models: Seasonality in fisheries
(Journal article; Peer reviewed, 2017)We develop a discretization method to construct a discrete finite-time bioeconomic model, corresponding to bioeconomic models with continuous-time growth function, but allowing the analysis of seasonality in fisheries. The ... -
A bridge between continuous and discrete-time bioeconomic models: Seasonality in fisheries
(Discussion paper;20/16, Working paper, 2016-11-30)We develop a discretization method for continuous-time bioeconomic models. Based on this method, we develop a discrete-time bioeconomic model to analyze seasonality in fisheries. The discretization method consists of three ... -
A carbon footprint proportional to expenditure : a case for Norway?
(Discussion paper;16/14, Working paper, 2014-04)Assuming that emissions originate from the consumption of goods and services, we study the relationship between consumption-based per capita carbon footprint and per capita expenditure for Norway, using 2007 data. A ... -
A Donsker delta functional approach to optimal insider control and applications to finance
(Journal article; Peer reviewed, 2015)We study optimal insider control problems, i.e. optimal control problems of stochastic systems where the controller at any time t, in addition to knowledge about the history of the system up to this time, also has ... -
A fundamental tax reform in Norway : a comparison of the allowance for corporate equity system and the comprehensive business income tax system in a Norwegian setting
(Master thesis, 2014)This thesis seeks to answer what are the main distortions in the Norwegian tax system and to determine which of the ACE or CBIT systems that best could replace the current system. First, the thesis considers the current ... -
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 ...