|
on Computational Economics |
|
Issue of 2008‒01‒05
thirteen papers chosen by |
| By: | Doreen Krüger (Friedrich-Schiller-Universität Jena, Fakultät für Wirtschaftswissenschaften, Lehrstuhl für Betriebswirtschaftliche Entscheidungsanalyse); Armin Scholl (Friedrich-Schiller-Universität Jena, Fakultät für Wirtschaftswissenschaften, Lehrstuhl für Betriebswirtschaftliche Entscheidungsanalyse) |
| Abstract: | We consider the problem of scheduling multiple projects subject to joint resource constraints. Most approaches proposed in the literature are based on the assumption that resources can be transferred from one project to the other without any expense in time or cost. In many real-world settings this assumption is not realistic. For example, cranes have to be transported to another location and reinstalled there. We generalise the multi-project scheduling problem by addition- ally including transfer times and cost. In order to consider this aspect, resource transfers are classified and new resource roles in project scheduling are introduced. We define the modified multi-project scheduling problem with transfer times (RCMPSPTT), formulate a basic and an extended integer linear programme with transfer times. Eventually, it is supplemented by cost considerations and introduced as resource constrained multi-project scheduling problem with transfer times and cost (RCMPSPTTC). A final computational analysis evaluates the presented models. |
| Keywords: | project scheduling, combinatorial optimization, mathematical model, transfer times, transfer cost, resource flow |
| Date: | 2007–12–20 |
| URL: | http://d.repec.org/n?u=RePEc:jen:jenjbe:2007-28&r=cmp |
| By: | Maarten van Rooij; Arjen Siegmann; Peter Vlaar |
| Abstract: | Market valuation is becoming more and more popular, both in accounting and regulation, as well as in academic circles. For pension funds and their participants, the knowledge that market-valued pension liabilities can indeed be transferred to a third party, if necessary, is a great virtue. Using a simulation model, this paper demonstrates the implicit costs and benefits of using market valuation for a typical Dutch pension fund, which offers a guaranteed average pay nominal pension with conditional indexation. The impact turns out to be fairly small, if fixed discount rates are still used for conditional rights. However, if market valuation is used for both unconditional and conditional rights, contribution volatility increases significantly. A remedy is to increase the duration of assets considerably. It is not clear, though, whether this option is available for large pension funds given the limited supply of long-term bonds. |
| Keywords: | defined benefit pension funds; fair value versus actuarial discounting; Monte Carlo simulation; asset and liability management; pension liabilities; conditional indexation |
| JEL: | G23 C15 C59 J18 |
| Date: | 2007–12 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:159&r=cmp |
| By: | Caro, Felipe; Gallien, Jeremie |
| Abstract: | Working in collaboration with Spain-based retailer Zara, we address the problem of dis- tributing over time a limited amount of inventory across all the stores in a fast-fashion retail network. Challenges speci¯c to that environment include very short product life-cycles, and store policies whereby a reference is removed from display whenever one of its key sizes stocks out. We ¯rst formulate and analyze a stochastic model predicting the sales of a reference in a single store during a replenishment period as a function of demand forecasts, the inventory of each size initially available and the store inventory management policy just stated. Secondly, we formulate a mixed-integer program embedding a piece-wise linear approximation of the ¯rst model applied to every store in the network and allowing to compute store shipment quantities maximizing overall predicted sales, subject to inventory availability and other constraints. We report the implementation of this optimization model by Zara to support its inventory distribu- tion process, and the ensuing controlled ¯eld experiment performed to assess the impact of that model relative to the prior procedure used to determine weekly shipment quantities. The results of that experiment suggest that the new allocation process tested increases sales, reduces tran- shipments, and increases the proportion of time that an important category of Zara's products spends on display. |
| Date: | 2007–12–07 |
| URL: | http://d.repec.org/n?u=RePEc:mit:sloanp:39810&r=cmp |
| By: | James Alm (Andrew Young School of Policy Studies, Georgia State University); Pablo Saavedra; Edward Sennoga |
| Abstract: | Individuals in most all countries face a wide range of direct taxes on their income, especially variants of the individual income tax and payroll taxes. For the income tax, attempts are often made to reduce the compliance and administrative costs of the tax by using “presumptive” or “simplified” methods, in which the tax liability is determined indirectly from some simple indicators that are more easily measured than the “true” tax base itself. However, when a “simplified” income tax is combined with other direct taxes on individuals, the ways in which these taxes interact, their combined effects on revenues, resource allocation, and income distribution, and the appropriate design of the overall system of these taxes remain unresolved – and unexplored – issues. This paper examines these issues, focusing on the experience of Ukraine . A simple computable general equilibrium model is used to quantify many of the effects of the “system” of simplified, income, and payroll taxes. |
| Keywords: | Income Tax, payroll Tax, Ukraine, individual tax, presumptive method |
| Date: | 2007–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:ays:ispwps:paper0711&r=cmp |
| By: | Wang-Sheng Lee (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne) |
| Abstract: | This paper shows how some simple modifications to the classical Heckscher-Ohlin model in international trade can be made so that it can be used to analyse the impact of immigration on wages. In particular, this is accomplished by constructing a model in which countries have very different endowments of factors, reside in different diversification cones and specialise in production. In such a model, it is not necessary that factor prices are equalised across countries. Based on simulation results of this modified Heckscher-Ohlin model, it is found that the actual immigrant flow in the U.S. from 1979 to 1995 is unlikely to be a major contributor to the observed high-skill/low-skill wage gap increase over the period. This paper shows how some simple modifications to the classical Heckscher-Ohlin model in international trade can be made so that it can be used to analyse the impact of immigration on wages. In particular, this is accomplished by constructing a model in which countries have very different endowments of factors, reside in different diversification cones and specialise in production. In such a model, it is not necessary that factor prices are equalised across countries. Based on simulation results of this modified Heckscher-Ohlin model, it is found that the actual immigrant flow in the U.S. from 1979 to 1995 is unlikely to be a major contributor to the observed high-skill/low-skill wage gap increase over the period. |
| Keywords: | Immigration, Heckscher-Ohlin, multi-cone, general equilibrium. |
| Date: | 2007–03 |
| URL: | http://d.repec.org/n?u=RePEc:iae:iaewps:wp2007n07&r=cmp |
| By: | Viktor Steiner; Katharina Wrohlich |
| Abstract: | We analyze the effects of three alternative proposals to reform the taxation of families relative to the current German system of joint taxation of couples and child allowances: a French-type family splitting and two full family splitting proposals. The empirical analysis of the effects of these proposals on the income distribution and on work incentives is based on a behavioral micro-simulation model which integrates an empirical household labor supply model into a detailed tax-benefit model based on the German Socio Economic Panel. Our simulation results show that, under each reform, the lion’s share of the reduction in taxes would accrue to families with children in the upper part of the income distribution, and that expected labor supply effects are small for all analyzed family tax splitting reforms, both in absolute terms and relative to the implied fiscal costs. If budgetary balance were financed by a lump-sum reduction of the child benefit, our results suggest that none of the reforms would be elfareimproving. |
| Keywords: | Household Taxation, Income Distribution, Work Incentives, Microsimulation |
| JEL: | H24 H31 J22 |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwsop:diw_sp44&r=cmp |
| By: | Abul Naga Ramses; Kolodziejczyk Christophe; Muller Tobias |
| Abstract: | Taking a benchmark scenario, the current situation in Switzerland, and using a microsimulation technique, we compare the effectiveness of various income maintenance schemes for reducing inequality and poverty. A full negative income tax allowance designed to eliminate poverty, is shown to reduce income inequality most drastically. An integrated federal linear tax rate of 62% is required to make it viable. Aggregate work hours are reduced by approximately 10% and average disposable income falls by 9.3% under such circumstances. A participation income restricted to adults in employment and covering 50% of subsistence costs is however shown to result in an unambiguous social welfare improvement over the current situation in Switzerland. |
| Keywords: | income maintenance, negative income tax, microsimulation, income redistribution |
| JEL: | I38 H22 H31 |
| Date: | 2007–07 |
| URL: | http://d.repec.org/n?u=RePEc:gen:geneem:2007.03&r=cmp |
| By: | Guyonne Kalb (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne); Wang-Sheng Lee (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne) |
| Abstract: | Based on labour supply parameter estimates and childcare demand parameters for the Australian population in 2002, this paper illustrates how an extended childcare subsidy proposed by the Taskforce on Care Costs in October 2006 can be evaluated using a microsimulation model. First, the cost to the government is predicted assuming unchanged labour supply behaviour. Then the labour supply effects of the TOCC proposal are predicted for single parents and couple families separately, including a revised cost/benefit analysis which takes the labour supply responses into account. |
| Date: | 2007–04 |
| URL: | http://d.repec.org/n?u=RePEc:iae:iaewps:wp2007n14&r=cmp |
| By: | Philippe D Karam; Dennis P. J. Botman; Douglas Laxton; David Rose |
| Abstract: | Researchers in policymaking institutions have expended significant effort to develop a new generation of macro models with more rigorous microfoundations. This paper provides a summary of the applications of two of these models. The Global Economy Model is a quarterly model that features a large assortment of nominal and real rigidities, which are necessary to create plausible short-run dynamics. However, because this model is based on a representative-agent paradigm, its Ricardian features make it unsuitable to study many fiscal policy issues. The Global Fiscal Model, which is an annual model that uses an overlappinggenerations structure, has been designed to analyze the longer-term consequences of alternative fiscal policies. |
| Keywords: | Working Paper , Fiscal policy , Economic models , Monetary policy , |
| Date: | 2007–08–17 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:07/200&r=cmp |
| By: | Hakim Akeb (Université de Picardie Jules Verne); Mhand Hifi (Centre d'Economie de la Sorbonne) |
| Abstract: | In this paper, we study the constrained circular cutting problem whose objective is to cut a set of circular pieces into a rectangular plate R of dimensions L × W. Each piece's type i, i = 1, …, m is caracterized by its radius r(i) and its demand b(i). This problem is solved using an adaptive algorithm that combines beam search and various Hill-Climbing strategies. Decisions at each node of the truncated tree are based on the so-called best local position. The computational results show, on a set of problem instances of the literature, the effectiveness of the proposed algorithm. |
| Keywords: | Approximate algorithms, beam search, best local position, cutting stock, Hill-Climbing. |
| JEL: | C44 C61 C63 |
| Date: | 2007–11 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:b07052&r=cmp |
| By: | Kritzman, Mark; Page, Sébastien; Myrgren, Simon |
| Abstract: | Institutional investors usually employ mean-variance analysis to determine optimal portfolio weights. Almost immediately upon implementation, however, the portfolio€ٳ weights become sub-optimal as changes in asset prices cause the portfolio to drift away from the optimal targets. In an idealized world without transaction costs investors would rebalance continually to the optimal weights. In the presence of transaction costs investors must balance the cost of sub-optimality with the cost of restoring the optimal weights. We apply a quadratic heuristic to address the asset weight drift problem, and we compare it to a dynamic programming solution as well as to standard industry heuristics. Our tests reveal that the quadratic heuristic provides solutions that are remarkably close to the dynamic programming solutions for those cases in which dynamic programming is feasible and far superior to solutions based on standard industry heuristics. In the case of five assets, in fact, it performs better than dynamic programming due to approximations required to implement the dynamic programming algorithm. Moreover, unlike the dynamic programming solution, the quadratic heuristic is scalable to as many as several hundreds assets. |
| Keywords: | finance, portfolio, |
| Date: | 2007–04–13 |
| URL: | http://d.repec.org/n?u=RePEc:mit:sloanp:37153&r=cmp |
| By: | Jokivuolle, Esa (Bank of Finland Research); Kilponen , Juha (Bank of Finland Research); Kuusi, Tero (Helsinki School of Economics) |
| Abstract: | We suggest a complementary tool for financial stability analysis based on stochastic simulation of a dynamic stochastic general equilibrium model (DSGE) of the macro economy. The paper relates to financial stability research in which financial aggregates crucial to financial stability are modelled as functions of macroeconomic variables. In these models, stress tests for eg banking sector loan losses can be generated by considering adverse scenarios of macro variables. A DSGE model provides a systematic way of generating coherent macro scenarios which can be given a rigorous economic interpretation. The approach is illustrated using a DSGE model of the Finnish economy and a simple model of Finnish banking sector loan losses. |
| Keywords: | DSGE models; financial stability; loan losses; stress testing |
| JEL: | E13 E37 G21 G28 |
| Date: | 2007–12–19 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:bofrdp:2007_026&r=cmp |
| By: | Alexander Meyer-Gohde |
| Abstract: | A solution method is derived in this paper for solving a system of linear rationalexpectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of a Generalized Schur Decomposition familiar elsewhere in the literature and a simple system of linear equations when lagged expectations are present to the infinite MA representation. Execution is faster, applicability more general, and use more straightforward than with existing algorithms. Current methods of truncating lagged expectations are shown to not generally be innocuous and the use of such methods are rendered obsolete by the tremendous gains in computational efficiency of the method here which allows for a solution to floating-point accuracy in a fraction of the time required by standard methods. The associated computational application of the method provides impulse responses to anticipated and unanticipated innovations, simulations, and frequency-domain and simulated moments. |
| Keywords: | Lagged expectations; linear rational expectations models; block tridiagonal; Generalized Schur Form; QZ decomposition; LAPACK |
| JEL: | C32 C63 |
| Date: | 2007–12 |
| URL: | http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2007-069&r=cmp |