Forecast horizons are de ned as long enough planning horizons that ensure agreement of rst period optimal production decisions of nite and in nite horizon problems regardless of changes in future demand. In this paper, we prove forecast horizon existence and provide computational procedures for production planning problems that satisfy the following monotonicity property: for any xed nite plann...

The paper examines within a uni…ed methodology expectational coordination in a series of economic models. The methodology views the predictions associated with the Rational Expectations Hypothesis as reasonable whenever they can be derived from more basic Common Knowledge hypothesis. The paper successively considers a simple non noisy N-dimensional model, standard models with " intrinsic " unce...

This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The VAR parameters estimates are then used to compute real returns conditional volatility across investme...

We examine the dynamic pricing decision of a …rm facing random demand while selling a …xed stock of two di¤erentiated products over an in…nite horizon. Prices in each period depend on the available stock of both products (varieties). In addition to the standard tradeo¤ between a higher revenue and the probability of selling the product, a higher price for one product also a¤ects the probability...

We study the development of a social norm of trust and reciprocity via the contagious strategy as de ned in Kandori (1992) among a group of strangers. The players anonymously and randomly meet each other and play a binary trust game in the in nite horizon. In order to provide the investors with proper incentives to follow the contagious strategy, the su cient condition requires that there exist...

We prove theorems pertaining to periodic arrays of spherical obstacles which show how the macroscopic limit of the mean free path depends on the scaling of the size of the obstacles. We treat separately the cases where the obstacles are totally and partially absorbing, and we also distinguish between two-dimensional arrays, where our results are optimal, and higher dimensional arrays where they...

In this work, we describe short-term and medium-term scheduling for a largescale industrial continuous plant. For medium-range scheduling, two subproblems are solved using a rolling horizon based decomposition scheme. An upper-level model is used to find the optimal number of products, and length of the time horizon to be considered for solving the lower level short-term scheduling problem. At ...

This paper examines the implications of payout horizon for the prices of aggregate cashflows. The interaction of two long-run forces — a long-run risk in consumption and aggregate dividends, and a cointegration relationship between consumption and aggregate dividends — leads to non-monotonic relationships between a payout’s horizon and its cash flow risks, discount rate risks, and risk premia. ...

Due to uncertain nature of wind and photovoltaic power units, the participation of this units in electricity markets is subjected to significant deviation penalties. This issue leads to despondency or even admission of these units in the competitive environment. With regard to this fact that the low deviations are available when predictions are performed in a short-term horizon and also distrib...

Aggregate production planning (APP) determines the optimal production plan for the medium term planning horizon. The purpose of the APP is effective utilization of existing capacities through facing the fluctuations in demand. Recently, fuzzy approaches have been applied for APP focusing on vague nature of cost parameters. Considering the importance of coping with customer demand in different p...