|
on Computational Economics |
|
Issue of 2005‒04‒24
eight papers chosen by |
| By: | D. DEBELS; M. VANHOUCKE |
| Abstract: | The resource-constrained project scheduling problem (RCPSP) is one of the most challenging problems in project scheduling. During the last couple of years many heuristic procedures have been developed for this problem, but still these procedures often fail in finding near-optimal solutions for more challenging problem instances. In this paper, we present a new genetic algorithm (GA) that, in contrast of a conventional GA, makes use of two separate populations. This bi-population genetic algorithm (BPGA) operates on both a population of left-justified schedules and a population of right-justified schedules in order to fully exploit the features of the iterative forward/backward local search scheduling technique. Comparative computational results reveal that this procedure can be considered as today’s best performing RCPSP heuristic. |
| Date: | 2005–02 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:05/294&r=cmp |
| By: | Rómulo A. Chumacero; Klaus Schmidt-Hebbel |
| Abstract: | This article reviews the literature on general equilibrium models, relevant to the Chilean economy, and revised versions of the papers presented at the Conference of General Equilibrium Models for the Chilean Economy organized by the Central Bank of Chile, that will be published in a book by the same name (edited by Rómulo Chumacero and Klaus Schmidt-Hebbel, 2005). This introductory chapter provides a brief overview of the development and application of three families of GEMs: macroeconomic GEMs, computable general equilibrium models, and overlapping generations models. We also summarize the scope and main results of the twelve GEMs that comprise the volume. |
| Date: | 2004–12 |
| URL: | http://d.repec.org/n?u=RePEc:chb:bcchwp:307&r=cmp |
| By: | Robert J. Shiller (Cowles Foundation, Yale University) |
| Abstract: | The life-cycle accounts proposal for Social Security reform has been justified by its proponents using a number of different arguments, but these arguments generally involve the assumption of a high likelihood of good returns on the accounts. A simulation is undertaken to estimate the probability distribution of returns in the accounts based on long-term historical experience. U.S. stock market, bond market and money market data 1871-2004 are used for the analysis. Assuming that future returns behave like historical data, it is found that a baseline personal account portfolio after offset will be negative 32% of the time on the retirement date. The median internal rate of return in this case is 3.4 percent, just above the amount necessary for holders of the accounts to break even. However, the U.S. stock market has been unusually successful historically by world standards. It would be better if we adjust the historical data to reduce the assumed average stock market return for the simulation. When this is done so that the return matches the median stock market return of 15 countries 1900-2000 as reported by Dimson et al. [2002], the baseline personal account is found to be negative 71% of the time on the date of retirement and the median internal rate of return is 2.6 percent. |
| Keywords: | Private accounts, Lifetime portfolio selection, portfolio choice, pensions, old age insurance, social insurance, stock market, returns, historical simulation, thrift savings plan |
| JEL: | H55 |
| Date: | 2005–04 |
| URL: | http://d.repec.org/n?u=RePEc:cwl:cwldpp:1504&r=cmp |
| By: | Donald J. Brown (Cowles Foundation, Yale University); Ravi Kannan (Computer Science, Yale University) |
| Abstract: | We propose two algorithms for deciding if systems of Walrasian inequalities are solvable. These algorithms may serve as nonparametric tests for multiple calibration of applied general equilibrium models or they can be used to compute counterfactual equilibria in applied general equilibrium models defined by systems of Walrasian inequalities. |
| Keywords: | Applied general equilibrium analysis, Walrasian inequalities, Calibration |
| JEL: | C63 C68 D51 D58 |
| Date: | 2005–04 |
| URL: | http://d.repec.org/n?u=RePEc:cwl:cwldpp:1508&r=cmp |
| By: | Gernot Klepper (Kiel Institute for World Economics); Sonja Peterson (Kiel Institute for World Economics) |
| Abstract: | The objective of this paper is to assess the likely allocation effects of the current cli-mate protection strategy as it is laid out in the National Allocation Plans (NAPs) for the European Emissions Trading Scheme (ETS). The multi-regional, multi-sectoral CGE-model DART is used to simulate the effects of the current policies in the year 2012 when the Kyoto targets need to be met. Different scenarios are simulated in order to highlight the effects of the grandfathering of permits to energy-intensive installations, the use of the project-based mechanisms (CDM and JI), and the restriction imposed by the supplementarity criterion. |
| Keywords: | Kyoto targets, EU, EU emissions trading scheme, National allocation plans, CDM and JI, Computable general equilibrium model, DART |
| JEL: | D58 F18 Q48 Q54 |
| Date: | 2005–04 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2005.55&r=cmp |
| By: | Elisa Luciano; Wim Schoutens |
| Abstract: | In this paper, we propose a multivariate model for nancial assets which incorporates jumps, skewness, kurtosis and stochastic volatility, and discuss its applications in the context of equity and credit risk. In the former case we describe the stochastic behavior of a series of stocks or indexes, in the latter we apply the model in a multi- rm, value-based default model. Starting from a independent Brownian world, we will introduce jumps and other deviations from normality, as well as non-Gaussian dependence, by the simple but very strong technique of stochastic time-changing. We work out the details in the case of a Gamma time-change, thus obtaining a multivariate Variance Gamma (VG) setting. We are able to characterize the model from an analytical point of view, by writing down the joint distribution function of the assets at any point in time and by studying their association via the copula technique. The model is also computationally friendly, since numerical results require a modest amount of time and the number of parameters grows linearly with the number of assets. The main feature of the model however is the fact that - opposite to other, non jointly Gaussian settings - its risk neutral dependence can be calibrated from univariate derivative prices. Examples from the equity and credit market show the goodness of fit attained. |
| Date: | 2005–04 |
| URL: | http://d.repec.org/n?u=RePEc:icr:wpmath:6-2005&r=cmp |
| By: | Raphaël Desmet (Federal Planning Bureau, Brussels); Alain Jousten (Université of Liège, CEPR and IZA Bonn); Sergio Perelman (University of Liège) |
| Abstract: | The pool of early retirees is characterized by a large heterogeneity along several criteria. The present paper focuses on the key distinction between those in forced early retirement and those who retire early by individual choice. We start by estimating a retirement probit model for older workers in Belgium. Based on these estimates, we then perform micro-simulations relating to a hypothetical actuarial reform of a pension system, i.e., a reform imposing on average actuarial neutrality with respect to the time of retirement. We explore two scenarios, one where the entire population is subjected to the actuarial system, and one where a duly screened sub-sample of the unemployed is shielded against these actuarial adjustment factors, a group we call the truly unemployed. We evaluate the impact on the average retirement age, the pension budgets as well as indicators of redistribution within the group of the elderly. We find that the extra budgetary gain of exposing this subgroup to the full-blown reform is modest, while the distributional cost is rather high. Our results thus comfort the idea that the budgetary cost of a focused unemployment system are moderate, and that returning the unemployment insurance to its primary role might be a desirable strategy. |
| Keywords: | retirement, older worker, inequality |
| JEL: | H31 I3 J14 |
| Date: | 2005–04 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp1571&r=cmp |
| By: | D. DEBELS; M. VANHOUCKE |
| Abstract: | In the last few decades the resource-constrained project scheduling problem has become a popular problem type in operations research. However, due to its strongly NP-hard status, the effectiveness of exact optimisation procedures is restricted to relatively small instances. In this paper we present a new genetic algorithm (GA) for this problem, able to provide near-optimal heuristic solutions. This GA procedure has been extended by a so-called decomposition-based heuristic (DBH) which iteratively solves subparts of the project. We present computational experiments on two datasets. The first benchmark set is used to illustrate the contribution of both the GA and the DBH. The second set is used to compare the results with current state-of-the-art heuristics, and to show that the procedure is capable of producing consistently good results for challenging instances of the resource-constrained project scheduling problem. We illustrate that GA is currently the best performing RCPSP meta-heuristic, and that the DBH further improves the performance of the GA |
| Keywords: | project scheduling; genetic algorithms; decomposition |
| Date: | 2005–02 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:05/293&r=cmp |