nep-cmp New Economics Papers
on Computational Economics
Issue of 2006‒03‒11
six papers chosen by
Stan Miles
York University

  1. An efficient hybrid search algorithm for various optimization problems By M. VANHOUCKE
  2. Applying Markowitz's Critical Line Algorithm By Andras Niedermayer; Daniel Niedermayer
  3. A Comparison and Hybridization of Crossover Operators for the Nurse Scheduling Problem By B. MAENHOUT; M. VANHOUCKE
  4. Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation By Baroni, Michel; Barthélémy, Fabrice; Mokrane, Mahdi
  5. Effects of the Tax on Retail Sales of Some Fuels on a regional economy: a computable general equilibrium approach By Francisco Javier De Miguel; Manuel Alejandro Cardenete; Jesús Pérez
  6. Les modèles HJM et LMM revisités By Francois-Éric Racicot; Raymond Théoret

    Abstract: This paper describes a detailed study of a recursive search algorithm for different optimization problems. Although the algorithm has been originally developed for a project scheduling problem with financial objectives, we show that it can be extended to many other application areas and therefore, can serve as a sub-procedure for various optimization problems. The contribution of the paper is threefold. First, we present a hybrid recursive search procedure for the project scheduling problem with net present value maximization and compare it with state-of-the-art procedures by means of computational tests. Second, we show how the procedure can be adapted to two other application areas: project scheduling with work continuity minimization and the open pit mining problem. Last, we highlight some future research areas where this hybrid procedure might bring a promising contribution.
    Date: 2006–01
  2. By: Andras Niedermayer; Daniel Niedermayer
    Abstract: We provide a Matlab quadratic optimization tool based on Markowitz's citical line algorithm that significantly outperforms standard software packages and a recently developed operations research algorithm. As an illustration: For a 2000 asset universe our method needs less than a second to compute the whole frontier whereas the quickest competitor needs several hours. This paper can be considered as a didactic alternative to the critical line algorithm such as presented by Markowitz and treats all steps required by the algorithm explicitly. Finally, we present a benchmark of different optimization algorithms' performance
    Keywords: finance; portfolio selection; efficient frontier; critical line algorithm; quadratic optimization; numerical methods
    JEL: C15 C61 C63 G11
    Date: 2006–03
    Abstract: In this paper, we present a hybrid genetic algorithm for the well-known nurse scheduling problem (NSP). The NSP involves the construction of roster schedules for nursing staff in order to maximize the quality of the roster schedule and to minimize the violations of the minimal coverage requirements subject to various hard case-specific constraints. In literature, several genetic algorithms have been proposed in literature to solve the NSP under various assumptions. The contribution of this paper is twofold. First, we extensively compare the various crossover operators and test them on a standard dataset in a solitary approach. Second, we propose several options to hybridize the various crossover operators.
    Keywords: meta-heuristics; hybridization; nurse scheduling
    Date: 2006–01
  4. By: Baroni, Michel (ESSEC Business School); Barthélémy, Fabrice (THEMA, University of Cergy-Pontoise); Mokrane, Mahdi (IXIS-AEW Europe)
    Abstract: This paper considers the use of simulated cash flows to value assets in real estate investment. We motivate the use of Monte Carlo simulation methods for the measurement of complex cash generating assets such as real estate assets return distribution. Important simulation inputs, such as the physical real estate price volatility estimator, are provided by results on real estate indices for Paris derived in an article by Baroni, Barthélémy and Mokrane (2005). Based on a residential real estate portfolio example, simulated cash flows (i) provide more robust valuations than traditional DCF valuations, (ii) permit the user to estimate the portfolio’s price distribution for any time horizon, and (iii) permit easy Values-at-Risk (VaR) computations.
    Keywords: DCF; Monte-Carlo Simulations; Real Estate Indices; Real Estate Valuations
    JEL: C15 G12
    Date: 2006–02
  5. By: Francisco Javier De Miguel (Department of Applied Economics, Universidad de Extremadura); Manuel Alejandro Cardenete (Department of Economics, Universidad Pablo de Olavide); Jesús Pérez (Department of Applied Economics, Universidad de Extremadura)
    Abstract: This paper simulates the effects on the economy of Extremadura that are produced by a new tax on retail sales of some fuels. A computable general equilibrium model involving various labour market scenarios is employed as a modelling framework. Model parameters are obtained by calibration, using a social accounting matrix for Extremadura updated to the year 2000. Further, we also include an additional simulation in which a hypothetical regional tax rate, to finance environmental policies, is considered. This second simulation assumes constant fiscal revenues. The results of the first simulation show that the effects of this tax are modest. The simulation shows household welfare losses, decreasing activity levels and generalised price reductions, except in production sectors more directly linked to the oil products sector. In addition, we also observe that this hypothetical additional regional fuel tax rate would reinforce the effects produced by the national tax rate.
    Keywords: Tax on retail sales of some fuels, computable general equilibrium models, social accounting matrices, fiscal policy.
    JEL: C68 D58 R13
    Date: 2006–03
  6. By: Francois-Éric Racicot (Département des sciences administratives, Université du Québec (Outaouais) et LRSP); Raymond Théoret (Département de stratégie des affaires, Université du Québec (Montréal))
    Abstract: In this paper, we study the following models : Heath-Jarrow-Morton (1992) and Libor-Market- Model, also known as Brace-Gatarek-Musiela model (1997). We survey the extensions of these models and their representation in the Black and Scholes world. Our approach is pedagogical and is based on an exhaustive elaboration of the developments of these models. Finally, we discuss the evolution of these models towards the pricing of more complex structured derivatives, like TARN and we also briefly analyse more advanced versions like the SV Cheyette model.
    Keywords: derivatives; financial engineering; asset valuation; computational finance.
    JEL: G12 G13 G33
    Date: 2006–01–03

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