using telser and kataoka models of probabilistic-risky mathematical programming, the present research is to determine the optimized pattern of cultivating the agricultural products of shoshtar region under risky conditions. in order to consider the risk in the mentioned models, time period of agricultural years 1996-1997 till 2004-2005 was taken into account. results from telser and kataoka mod...

Farmers in developing countries have limited opportunities for borrowing to even out variability associated with risky farm income, but they can save. A dynamic programming model of savings is presented in the current paper which examines optimal savings strategies for farmers, using a case study of integrated rice-shrimp farms in Vietnam. It is shown that when savings are accounted for, the ex...

In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibilitic multiperiod mean semi- absolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control. In the proposed model, we quantify the investment return and risk associated with...

In this paper, we consider the robust portfolio selection problem for an insurer in the sense of maximizing the exponential utility of his wealth. This special robust investment problem, where underwriting results and a risk-free asset are considered, differs from ordinary robust portfolio selection problems. The insurer has the option of investing in a risk-free asset and multiple risky assets...

Using Telser and Kataoka models of probabilistic-risky mathematical programming, the present research is to determine the optimized pattern of cultivating the agricultural products of Shoshtar region under risky conditions. In order to consider the risk in the mentioned models, time period of agricultural years 1996-1997 till 2004-2005 was taken into account. Results from Telser and Kataoka mod...

In this paper we investigate model-independent bounds for exotic options written on a risky asset using infinite-dimensional linear programming methods. Based on arguments from the theory of MongeKantorovich mass-transport we establish a dual version of the problem that has a natural financial interpretation in terms of semi-static hedging. In particular we prove that there is no duality gap.

A portfolio optimization problem on an infinite time horizon is considered. Risky asset price obeys a logarithmic Brownian motion, and the interest rate varies according to an ergodic Markov diffusion process. Moreover, the interest rate fluctuation is correlated with the risky asset price fluctuation. The goal is to choose optimal investment and consumption policies to maximize the infinite ho...