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Full-Text Articles in Finance and Financial Management
A Multiechelon Inventory Problem With Secondary Market Sales, Alexandar Angelus
A Multiechelon Inventory Problem With Secondary Market Sales, Alexandar Angelus
Research Collection Lee Kong Chian School Of Business
We consider a finite-horizon, multiechelon inventory system in which the surplus of stock can be sold (i.e., disposed) in the secondary markets at each stage in the system. What are called nested echelon order-up-to policies are shown to be optimal for jointly managing inventory replenishments and secondary market sales. Under a general restriction on model parameters, we establish that it is optimal not to both sell off excess stock and replenish inventory. Secondary market sales complicate the structure of the system, so that the classical Clark and Scarf echelon reformulation no longer allows for the decomposition of the objective function …
Deterministic And Stochastic Bellman's Optimality Principles On Isolated Time Domains And Their Applications In Finance, Nezihe Turhan
Deterministic And Stochastic Bellman's Optimality Principles On Isolated Time Domains And Their Applications In Finance, Nezihe Turhan
Masters Theses & Specialist Projects
The concept of dynamic programming was originally used in late 1949, mostly during the 1950s, by Richard Bellman to describe decision making problems. By 1952, he refined this to the modern meaning, referring specifically to nesting smaller decision problems inside larger decisions. Also, the Bellman equation, one of the basic concepts in dynamic programming, is named after him. Dynamic programming has become an important argument which was used in various fields; such as, economics, finance, bioinformatics, aerospace, information theory, etc. Since Richard Bellman's invention of dynamic programming, economists and mathematicians have formulated and solved a huge variety of sequential decision …
Dynamic Funding And Investment Strategy For Defined Benefit Pension Schemes: A Model Incorporating Asset-Liability Matching Criteria, Shih-Chieh Chang, Cheng-Hsien Tsai, Chia-Jung Tien, Chang-Ye Tu
Dynamic Funding And Investment Strategy For Defined Benefit Pension Schemes: A Model Incorporating Asset-Liability Matching Criteria, Shih-Chieh Chang, Cheng-Hsien Tsai, Chia-Jung Tien, Chang-Ye Tu
Journal of Actuarial Practice (1993-2006)
This paper studies the dynamic funding policy and investment strategy for defined benefit pension plans using one of the most comprehensive dynamic pension models to date. The model includes three investable assets: one risk free and two risky. The optimal plan decisions are formulated as a stochastic control problem that is solved using dynamic programming. The objective function uses performance measures to take into account the stability and solvency of the plan. The model is then applied to a Taiwanese pension.
Realistic Pension Funding: A Stochastic Approach, Shih-Chieh Chang
Realistic Pension Funding: A Stochastic Approach, Shih-Chieh Chang
Journal of Actuarial Practice (1993-2006)
The process funding pension plans is viewed as a dynamic control process. Two performance measures are introduced to evaluate the effectiveness of plan contributions: the cost-induced performance measure (CIPM) and the ratio-induced performance measure (RIPM). A dynamic programming approach is used to determining the optimal contributions with the objective of minimizing the performance measure. The methodology developed is applied to a sample of members of Taiwan's Public Employees Pension Plan (Tai-PERS). We show that RIPM produces more stable results than those using CIPM.