Blar i Articles (FOR) på tittel
Viser treff 6079 av 100

Problemdriven scenario generation: an analytical approach for stochastic programs with tail risk measure
(Journal article; Peer reviewed, 2019)Scenario generation is the construction of a discrete random vector to represent parameters of uncertain values in a stochastic program. Most approaches to scenario generation are distributiondriven, that is, they attempt ... 
Properties of rangebased volatility estimators
(Journal article; Peer reviewed, 2012)Volatility is not directly observable and must be estimated. Estimator based on daily close data is imprecise. Rangebased volatility estimators provide significantly more precision, but still remain noisy volatility ... 
Recursive utility using the stochastic maximum principle
(Journal article; Peer reviewed, 2016)Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuoustime model. We use the stochastic maximum ... 
Relational Contracts, Multiple Agents, and Correlated Outputs
(Journal article; Peer reviewed, 2019)We analyze relational contracts between a principal and a set of riskneutral agents whose outputs are correlated. When only the agents’ aggregate output can be observed, a team incentive scheme is shown to be optimal, ... 
Risikopremier, realrenten og optimal konsum og porteføljeteori: Hva er problemet?
(Journal article; Peer reviewed, 2017)Vi demonstrerer hvordan rekursive preferanser kan anvendes i økonomisk modellering, der kombinasjon av tid og usikkerhet er vesentlige elementer. Additiv og separerbar forventet nytteteori har vært den vanlige grunnpillaren ... 
Scrapping a wind turbine: Policy changes, scrapping incentives and why wind turbines in good locations get scrapped first
(Journal article; Peer reviewed, 2014)The most common reason for scrapping a wind turbine in Denmark is to make room for a newer turbine. The decision to scrap a wind turbine is then highly dependent on an opportunity cost that comes from the interaction of ... 
Searching for the DGP when forecasting : is it always meaningful for small samples?
(Journal article; Peer reviewed, 2006)In this paper the problem of choosing a univariate forecasting model for small samples is investigated. It is shown that, a model with few parameters, frequently, is better than a model which coincides with the data ... 
Sequential investment in renewable energy technologies under policy uncertainty
(Journal article; Peer reviewed, 2019) 
Simulating physical basis risks in the Capesize freight market
(Peer reviewed; Journal article, 2017)The purpose of this paper is to evaluate the characteristics of the timevarying differential between the Baltic global tripcharter average and simulated earnings from a fleet of Capesize vessels. We interpret the standard ... 
Some aspects of random utility, extreme value theory and multinomial logit models
(Journal article; Peer reviewed, 2012)In this paper we give a survey on some basic ideas related to random utility, extreme value theory and multinomial logit models. These ideas are well known within the eld of spatial economics, but do not appear to be ... 
Stackelberg equilibria in continuous newsvendor models with uncertain demand and delayed information
(Journal article; Peer reviewed, 2014)We consider explicit formulae for equilibrium prices in a continuoustime vertical contracting model. A manufacturer sells goods to a retailer, and the objective of both parties is to maximize expected profits. Demand ... 
Stepwise Green Investment under Policy Uncertainty
(Peer reviewed; Journal article, 2016)We analyse how market price and policy uncertainty, in the form of random provision or retraction of a subsidy, interact to affect the optimal time of Investment and the size of a renewable energy (RE) project that can be ... 
Stepwise investment and capacity sizing under uncertainty
(Peer reviewed; Journal article, 2016)The relationship between uncertainty and managerial flexibility is particularly crucial in addressing capital projects. We consider a firm that can invest in a project in either a single (lumpy investment) or multiple ... 
Stochastic energy market equilibrium modeling with multiple agents
(Journal article, 2017) 
Stochastic Stackelberg equilibria with applications to timedependent newsvendor models
(Journal article; Peer reviewed, 2013)In this paper, we prove a maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems. In the newsvendor problem, a manufacturer sells goods to a ... 
Strategic insider trading equilibrium: A filter theory approach
(Journal article; Peer reviewed, 2012)The continuoustime version of Kyle’s (Econometrica 53(6):1315–1336, 1985 ) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing timevarying liquidity ... 
Strategic Pricing of Commodities
(Journal article; Peer reviewed, 2009)We consider a setting where a large number of agents are trading commodity bundles. Assuming that agents of the same type have a certain utility attached to each transaction, we construct a statistical equilibrium which ... 
Sulphur Abatement Globally in Maritime Shipping
(Journal article; Peer reviewed, 2017)In 2016, the International Maritime Organization (IMO) decided on global regulations to reduce sulphur emissions to air from maritime shipping starting 2020. The regulation implies that ships can continue to use residual ... 
Taxfree digital news?
(Journal article; Peer reviewed, 2019)News platforms are struggling. Their printed readership is predominantly old, and their digital product struggles to win the attention of the young. For several decades tax reductions have been used in Europe to increase ... 
Testing for Granger causality in the presence of measurement errors
(Journal article; Peer reviewed, 2005)In this paper a potential problem with tests for Granger−causality is investigated. If one of the two variables under study, but not the other, is measured with error the consequence is that tests of forecastablity of ...