this world; though all the discussions are focused on the causal relationships in allthe scientific arguments. One of the methods to study the designed causal relationshipsobjectively is Granger causality test. This paper aims to investigate the longtermcausal relationship between the stock price and dividends. The statisticalpopulation includes 180 active companies in Stock Exchange of Tehran ...

The present paper analyzes optimal bidding in discriminatory and competitive multi{unit auctions when bidders have price elastic demand functions. Distinctions are drawn between bidders who are either rms or consumers, and bidders who are either risk neutral or risk averse. Assuming price{ taking bidders who face a given probability distribution of the stop{out price, closed{form solutions of o...

A large US retailer that procures transportation services from third-party carriers experienced an unexpected jump in fuel surcharges as the price of diesel fuel skyrocketed in the summer of 2008. As a result, it sought to limit its future exposure to diesel price risk. We collaborated with this retailer to create a lane assignment optimizer (LAO) that incorporates diesel price risk when select...

Market Year Average (MYA) prices enter into payment calculations for Price Loss Coverage (PLC) and Agricultural Risk Coverage (ARC), two commodity program alternatives available in the 2013 Farm Bill (see here for more details). The distribution of MYA prices will influence payment levels under both programs. Hence, quantifying the potential MYA price distributions is important for evaluating c...

Citrus production has a great importance and position in Iran. The growth and sustainability of the agriculture sector is impossible without appropriate and effective risk identification and management. In this study, the main risks of citrus gardens were identified based on the Delphi method through questionnaires completed by 16 experts. Then, using the TOPSIS technique, the risks involved in...

We study the problem of optimal gas storage valuation under a high-dimensional multifactor price model. The problem is modeled as a Markov decision process which leads to a stochastic version of the popular rolling intrinsic value. We show that the rolling intrinsic solution is optimal for the case of extreme risk aversion when using the nested conditional value-at-risk. We solve the problem by...

..................................................................................................................................... 4 Introduction ................................................................................................................................ 5 1. The current literature on agricultural value chain and the lack of attention to the welfare implications of risk.....

Many empirical studies of auctions show that prices of identical goods sold sequentially follow a declining path. Declining prices have been viewed as an anomaly, because the theoretical models of auctions predict that the price sequence should either be a martingale (with independent signals and no informational externalities), or a submartingale (with a¢ liated signals). This paper shows that...