Blar i Discussion papers (FOR) på emneord "VDP::Samfunnsvitenskap: 200::Økonomi: 210"
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A branch and price algorithm for the combined vehicle routing and scheduling problem with synchronization constraints
(Discussion paper, Working paper, 2007)In this paper we present a branch and price algorithm for the combined vehicle routing and scheduling problem with synchronization constraints. The synchronization constraints are used to model situations when two or more ... -
Closed form spread option valuation
(Discussion paper, Working paper, 2006-10)This paper considers the valuation of a spread call when asset prices are lognormal. The implicit strategy of the Kirk formula is to exercise if the price of the long asset exceeds a given power function of the price of ... -
Cost allocation in collaborative forest transportation
(Discussion paper, Working paper, 2006)Transportation planning is an important part of the wood flow chain in forestry. There are often several forest companies operating in the same region and co-ordination between two or more companies is rare. However, there ... -
Financial Distress and Idiosyncratic Volatility: An Empirical Investigation
(Discussion paper, Working paper, 2006-07)We address the twin puzzles of anomalously low returns for high idiosyncratic volatility and high distress risk stocks, documented by Ang, Hodrick, Xing and Zhang (2006) and Campbell, Hilscher and Szilagyi (2005), respectively. ... -
Frequent Turbulence? A Dynamic Copula Approach
(Discussion paper, Working paper, 2006-07)How common and how persistent are turbulent periods? We address these questions by developing and applying a dynamic dependence framework. In order to answer the first question we estimate an unconditional mixture model ... -
Managing Flexible Load Contracts: Two simple strategies
(Discussion paper, Working paper, 2006-11)A flexible load contract is a type of swing option where the holder has the right to receive a given quantity of electricity within a specified period, at a fixed maximum effect (delivery rate). The contract is flexible, ... -
Modeling heterogeneity in trip-distributions with partial information
(Discussion paper, Working paper, 2007)In this paper we propose a modified gravity model that takes into account that a population generally consists of heterogeneous groups, and we suggest a new statistical test for heterogeneity. We apply our new model to two ... -
Monetary policy implementation: A European Perspective
(Discussion paper, Working paper, 2007-02)Monetary policy implementation is one of the most significant areas of interaction between central banking and financial markets. Historically, how this interaction takes place has been viewed as having an important impact ... -
The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
(Discussion paper, Working paper, 2008-05)We compare the Nash bargaining solution in a reinsurance syndicate to the competitive equilibrium allocation, focusing on uncertainty and risk aversion. Restricting attention to proportional reinsurance treaties, we find ... -
On the estimation of correlations for irregularly spaced time series
(Discussion paper, Working paper, 2007-06)In this paper, the problem of calculating covariances and correlations between time series which are observed irregularly and at different points in time, is treated. The problem of dependence between the time stamp process ... -
On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach
(Discussion paper, Working paper, 2006-12)This paper complements theoretical studies on the Kelly rule in evolutionary finance by studying a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic ... -
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 ... -
Pricing Implications of Shared Variance in Liquidity Measures
(Discussion paper, Working paper, 2006-07)This paper constructs fundamental liquidity measures and investigates the pricing implications of shared variation in a large set of high frequency liquidity measures. Through a common factor analysis we estimate three ... -
The propagation of financial extremes: an application to subprime market spillovers
(Discussion paper, Working paper, 2007-12)What drives extreme and rare economic events? Motivated by recent theory, and events in US subprime markets, we begin to open the black box of extremes. Specifically, we build a taxonomy of extremes, then extend standard ... -
Revelation of preferences in trip distribution models
(Discussion paper, Working paper, 2007)In this paper we will see how commuter preferences can be revealed from observations of trip distributions. We will explain how to find unique representations of preference structures leading to an observed trip distribution, ... -
Strategic insider trading equilibrium : a forward integration approach
(Discussion paper, Working paper, 2007-11)The continuous-time version of Kyle’s (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders ... -
Strategic pricing of commodities
(Discussion paper, Working paper, 2006)In this paper we will 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 ... -
Supply chain planning of harvest operations and transportation after the storm Gudrun
(Discussion paper, Working paper, 2006)The storm Gudrun hit southern Sweden in January 2005 and approximately 70 million cubic meters of forest was wind felled. The existing logistic planning at forest companies in the damaged area had to be changed over night. ... -
Treating missing values in INAR(1) models
(Discussion paper, Working paper, 2008-07)Time series models for count data have found increased interest in recent days. The existing literature refers to the case of data that have been fully observed. In the present paper, methods for estimating the parameters ... -
Wealth Effects on Demand for Insurance
(Discussion paper, Working paper, 2007-01)A standard result states that under decreasing absolute risk aversion the indifference premium of the insured is a decreasing function of wealth. This has been interpreted to mean that insurance is an inferior good, which ...