Determination of Optimal Safety Stock Policies

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran

quantitative determination of optimal fiscal and monetary policies: a stochastic optimal control analysis for iran

study and determination of optimal portfolio for stock of active food industrial company in tehran stock

abstract portfolio definition is the most important decision for individuals and legal persons that invest in stock. the main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in tehran stock based on value at risk (var) index. for this purpose, we used weekly static of stock of active food industrial company in tehran from bahma...

Portfolio Policies with Stock Options

We study the partial equilibrium portfolio optimization problem for a myopic CRRA investor who can trade options on individual stocks. Applying the parametric portfolio approach of Brandt, Santa-Clara, and Valkanov (forthcoming) to derivatives we show that options characteristics (such as implied volatility and IV smile skew) convey information about the mispricing in the option portfolios. We ...

Optimal Pricing and Production Policies of a Make-to-stock System with Fluctuating Demand

We study the effects of different pricing strategies available to a production–inventory system with capacitated supply, which operates in a fluctuating demand environment. The demand depends on the environment and on the offered price. For such systems, three plausible pricing strategies are investigated: static pricing, for which only one price is used at all times, environment-dependent pric...