13 results on '"optimal return"'
Search Results
2. Product Line Price Optimization With Conjoint Analysis
- Author
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Green, Paul E., Krieger, Abba M., and Crittenden, Victoria L., editor
- Published
- 2015
- Full Text
- View/download PDF
3. Maximizing Social Welfare in the Presence of Markovian Agents
- Author
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Chakraborty, Doran, Kacprzyk, Janusz, Series editor, and Chakraborty, Doran
- Published
- 2014
- Full Text
- View/download PDF
4. Illegal immigration, deportation policy, and the optimal timing of return.
- Author
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Vinogradova, Alexandra
- Subjects
- *
DEPORTATION policy , *UNDOCUMENTED immigrants , *FOREIGN workers , *STOCHASTIC processes , *CONSUMPTION (Economics) , *ECONOMIC impact - Abstract
Countries with strict immigration policies often resort to deportation measures to reduce their stocks of illegal immigrants. Many of their undocumented foreign workers, however, are not deported but rather choose to return home voluntarily. This paper studies the optimizing behavior of undocumented immigrants who continuously face the risk of deportation, modeled by a stochastic process, and must decide how long to remain in the host country. It is found that the presence of uncertainty with respect to the length of stay abroad unambiguously reduces the desired migration duration and may trigger a voluntary return when a permanent stay would otherwise be optimal. Voluntary return is motivated by both economic and psychological factors. Calibration of the model to match the evidence on undocumented Thai migrants in Japan suggests that the psychological impact of being abroad as an illegal alien may be equivalent to as large as a 68 % cut in the consumption rate at the point of return. [ABSTRACT FROM AUTHOR]
- Published
- 2016
- Full Text
- View/download PDF
5. Optimal Pricing, Modularity, and Return Policy Under Mass Customization.
- Author
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Liu, Na, Choi, Tsan-Ming, Yuen, Chun-Wah Marcus, and Ng, Frankie
- Subjects
- *
MODULAR design , *MASS customization , *PRODUCT configuration systems , *OPERATIONS management , *MASS production - Abstract
Mass customization (MC) is a pertinent industrial practice. Different from the non-MC products, consumer return for MC products is typically prohibited. MC retailers can thus gain significant competitive advantages by offering a consumer return policy. By constructing an analytical model with both demand and return uncertainties, we study in this paper the optimal policy with three dimensional decisions on pricing, consumer return, and level of modularity under a mean-variance formulation. Structural properties of the model are revealed, and the closed-form solutions for the optimal decisions are derived. An extensive sensitivity analysis is subsequently conducted to explore how the risk sensitivity, demand uncertainty, return uncertainty, and other important parameters affect the optimal decisions and profits. A few counterintuitive findings are obtained, and important insights are generated. [ABSTRACT FROM PUBLISHER]
- Published
- 2012
- Full Text
- View/download PDF
6. Illegal immigration, deportation policy, and the optimal timing of return
- Author
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Alexandra Vinogradova
- Subjects
Economics and Econometrics ,media_common.quotation_subject ,Immigration ,Discount points ,Deportation ,Immigration policy ,Illegal immigration ,0502 economics and business ,Development economics ,Economics ,050207 economics ,Duration (project management) ,Optimal return ,050205 econometrics ,Demography ,Social policy ,media_common ,Consumption (economics) ,05 social sciences ,Uncertainty ,Demographic economics ,Business ,Illegal immigrants - Abstract
Countries with strict immigration policies often resort to deportation measures to reduce their stocks of illegal immigrants. Many of their undocumented foreign workers, however, are not deported but rather choose to return home voluntarily. This paper studies the optimizing behavior of undocumented immigrants who continuously face the risk of deportation, modeled by a stochastic process, and must decide how long to remain in the host country. It is found that the presence of uncertainty with respect to the length of stay abroad unambiguously reduces the desired migration duration and may trigger a voluntary return when a permanent stay would otherwise be optimal. Voluntary return is motivated by both economic and psychological factors. Calibration of the model to match the evidence on undocumented Thai migrants in Japan suggests that the psychological impact of being abroad as an illegal alien may be equivalent to as large as a 68 % cut in the consumption rate at the point of return., Journal of Population Economics, 29 (3), ISSN:0933-1433, ISSN:1432-1475
- Published
- 2016
7. Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization
- Author
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Bai, Zhidong, Li, Hua, McAleer, Michael, and Wong, Wing-Keung
- Subjects
Economía financiera ,Statistics::Other Statistics ,Spectrally-corrected Covariance Matrix ,Markowitz Mean-Variance Optimization ,Optimal Portfolio Allocation ,Large Random Matrix ,C61 ,Computer Science::Computational Engineering, Finance, and Science ,ddc:330 ,C13 ,Optimal Return ,Bootstrap Method ,G11 - Abstract
This paper considers the portfolio problem for high dimensional data when the dimension and size are both large.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distribution of the sample covariance is the main factor to make the expected return of the traditional MV portfolio overestimate the theoretical MV portfolio. A correction is suggested to the spectral construction of the sample covariances to be the sample spectrally corrected covariance, and to improve the traditional MV portfolio to be spectrally corrected. In the expressions of the expected return and risk on the MV portfolio, the population covariance matrix is always a quadratic form, which will direct MV portfolio estimation. We provide the limiting behavior of the quadratic form with the sample spectrally-corrected covariance matrix, and explain the superior performance to the sample covariance as the dimension increases to infinity proportionally with the sample size. Moreover, this paper deduces the limiting behavior of the expected return and risk on the spectrally-corrected MV portfolio, and illustrates the superior properties of the spectrally-corrected MV portfolio. In simulations, we compare the spectrally-corrected estimates with the traditional and bootstrap-corrected estimates, and show the performance of the spectrally-corrected estimates are the best in portfolio returns and portfolio risk. We also compare the performance of the new proposed estimation with different optimal portfolio estimates for real data from S&P 500. The empirical findings are consistent with the theory developed in the paper.
- Published
- 2017
8. Optimal stopping under partial observations
- Author
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Benes, Vaclav E., Balakrishnan, A. V., editor, Thoma, M., editor, Fleming, Wendell H., editor, and Gorostiza, Luis G., editor
- Published
- 1982
- Full Text
- View/download PDF
9. Illegal immigration, deportation policy, and the optimal timing of return
- Author
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Vinogradova, Alexandra
- Subjects
Deportation ,FOS: Political science ,Uncertainty ,Illegal immigration ,Optimal return ,deportation ,optimal return ,Climate policy ,ddc:320 ,ddc:330 ,J61 ,F22 ,uncertainty ,Political science - Abstract
Countries with strict immigration policies often resort to deportation measures to reduce their stocks of illegal immigrants. Many of their undocumented foreign workers, however, are not deported but rather choose to return home voluntarily. This paper studies the optimizing behavior of undocumented immigrants who continuously face the risk of deportation, modeled by a stochastic process, and must decide how long to remain in the host country. It is found that the presence of uncertainty with respect to the length of stay abroad unambiguously reduces the desired migration duration and may trigger a voluntary return when a permanent stay would otherwise be optimal. Voluntary return is motivated by both economic and psychological factors. Calibration of the model to match the evidence on undocumented Thai migrants in Japan suggests that the psychological impact of being abroad as an illegal alien may be equivalent to as large as a 68% cut in the consumption rate at the point of return., Economics Working Paper Series, 15/218
- Published
- 2015
10. Bank funding constraints and the cost of capital of small firms
- Author
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Peia, Oana, Vranceanu, Radu, Théorie économique, modélisation et applications (THEMA), Université de Cergy Pontoise (UCP), Université Paris-Seine-Université Paris-Seine-Centre National de la Recherche Scientifique (CNRS), ESSEC Business School, Essec Business School, and Belliard, Régine
- Subjects
History ,050208 finance ,Polymers and Plastics ,Strategic uncertainty ,jel:C72 ,jel:D82 ,05 social sciences ,Bank finance ,Global games ,JEL Classification index: D82, C72, G21, G32 ,[SHS.GESTION.FIN]Humanities and Social Sciences/Business administration/domain_shs.gestion.fin ,[QFIN] Quantitative Finance [q-fin] ,jel:G21 ,jel:G32 ,Industrial and Manufacturing Engineering ,0502 economics and business ,Small business ,Optimal return ,050207 economics ,Business and International Management ,Bank finance,Small business,Strategic uncertainty,Global games,Optimal return - Abstract
This paper analyzes how banks' funding constraints impact the access and cost of capital of small firms. Banks raise external finance from a large number of small investors who face co-ordination problems and invest in small, risky businesses. When investors observe noisy signals about the true implementation cost of real sector projects, the model can be solved for a threshold equilibrium in the classical global games approach. We show that a "socially optimal" interest rate that maximizes the probability of success of the small firm is higher than the risk-free rate, because higher interest rates relax the bank's funding constraint. However, banks will generally set an interest rate higher than this socially optimal one. This gives rise to a built-in inefficiency of banking intermediation activity that can be corrected by various policy measures.
- Published
- 2015
11. Optimal Return in a Model of Bank Small-business Financing
- Author
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Oana Peia, Radu Vranceanu, Belliard, Régine, ESSEC Business School, Essec Business School, Théorie économique, modélisation et applications (THEMA), and Centre National de la Recherche Scientifique (CNRS)-CY Cergy Paris Université (CY)
- Subjects
Bank finance,small business,global games,switching equilibrium,optimal return rium,optimal return ,Financial economics ,media_common.quotation_subject ,jel:D82 ,Bank finance ,small business ,global games ,switching equilibrium ,optimal return rium, optimal return ,ComputerApplications_COMPUTERSINOTHERSYSTEMS ,Monetary economics ,jel:G21 ,JEL: G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • Mortgages ,0502 economics and business ,050207 economics ,Set (psychology) ,[SHS.ECO] Humanities and Social Sciences/Economics and Finance ,Constraint (mathematics) ,Global game ,media_common ,Small business ,Global games ,Switching equilibrium ,Optimal return rium ,Optimal return ,050208 finance ,business.industry ,jel:C72 ,05 social sciences ,1. No poverty ,JEL: G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill ,[SHS.ECO]Humanities and Social Sciences/Economics and Finance ,jel:G32 ,Interest rate ,Cost of capital ,optimal return ,JEL: C - Mathematical and Quantitative Methods/C.C7 - Game Theory and Bargaining Theory/C.C7.C72 - Noncooperative Games ,Intermediation ,optimal return rium ,Business ,Inefficiency ,JEL: D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D82 - Asymmetric and Private Information • Mechanism Design - Abstract
This paper develops a simple model showing how banks can increase the access to finance of small, risky firms by mitigating coordination problems among investors. If investors observe a biased signal about the true implementation cost of real sector projects, the model can be solved for a switching equilibrium in the classical global games approach. We show that the socially optimal interest rate that maximizes the probability of success of the firm is higher than the risk-free rate. Yet if banks maximize investors' expected return, they would choose an interest higher than the socially optimal one. This gives rise to a form of credit rationing, which stems from the funding constraints of the banks., Nous étudions le financement des PME par les banques dans un modèle de type "global games". Il apparait que le taux d'intérêt d'équilibre dans une économie décentralisée avec secteur bancaire concurrentiel est supérieur au taux d'intérêt qui assure le plus grand taux de réussite des projets.
- Published
- 2014
12. Utility Functions Which Ensure the Adequacy of Stationary Strategies
- Author
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Monticino, Michael G.
- Published
- 1991
- Full Text
- View/download PDF
13. The Adequacy of Universal Strategies in Analytic Gambling Problems
- Author
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Monticino, Michael G.
- Published
- 1991
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