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on Computational Economics |
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Issue of 2011‒05‒30
eight papers chosen by |
| By: | Jan Baldeaux |
| Abstract: | This paper discusses the exact simulation of the stock price process underlying the 3/2 model. Using a result derived by Craddock and Lennox using Lie Symmetry Analysis, we adapt the Broadie-Kaya algorithm for the simulation of affine processes to the 3/2 model. We also discuss variance reduction techniques and find that conditional Monte Carlo techniques combined with quasi-Monte Carlo point sets result in significant variance reductions. |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1105.3297&r=cmp |
| By: | Takashashi, Y.; Nijkamp, P. |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:vuarem:2011-1&r=cmp |
| By: | Alena Otto (Graduate School Human Behaviour in Social and Economic Change (GSBC)); Christian Otto (School of Economics and Business Administration, Friedrich-Schiller-University Jena); Armin Scholl (School of Economics and Business Administration, Friedrich-Schiller-University Jena) |
| Abstract: | Assembly line balancing is a well-known and extensively researched decision problem which arises when assembly line production systems are designed and operated. A large variety of real-world problem variations and elaborate solution methods were developed and presented in the academic literature in the past 60 years. Nevertheless, computational experiments examining and comparing the performance of solution procedures were mostly based on very limited data sets unsystematically collected from the literature and from some real-world cases. In particular, the precedence graphs used as the basis of former tests are limited in number and characteristics. As a consequence, former performance analyses suffer from a lack of systematics and statistical evidence. In this article, we propose SALPBGen, a new instance generator for the simple assembly line balancing problem (SALBP) which can be applied to any other assembly line balancing problem, too. It is able to systematically create instances with very diverse structures under full control of the experiment's designer. In particular, based on our analysis of real-world problems from automotive and related industries, typical substructures of the precedence graph like chains, bottlenecks and modules can be generated and combined as required based on a detailed analysis of graph structures and structure measures like the order strength. We also present a collection of new challenging benchmark data sets which are suited for comprehensive statistical tests in comparative studies of solution methods for SALBP and generalized problems as well. Researchers are invited to participate in a challenge to solve these new problem instances. |
| Keywords: | manufacturing, benchmark data set, assembly line balancing, precedence graph, structure analysis, complexity measures |
| Date: | 2011–05–23 |
| URL: | http://d.repec.org/n?u=RePEc:jen:jenjbe:2011-05&r=cmp |
| By: | Francesco Cesarone; Andrea Scozzari; Fabio Tardella |
| Abstract: | Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean Absolute Deviation (LAMAD) and of the Limited Asset Conditional Value-at-Risk (LACVaR) models, where the assets are limited with the introduction of quantity and cardinality constraints. We propose a completely new approach for solving the LAM model, based on reformulation as a Standard Quadratic Program and on some recent theoretical results. With this approach we obtain optimal solutions both for some well-known financial data sets used by several other authors, and for some unsolved large size portfolio problems. We also test our method on five new data sets involving real-world capital market indices from major stock markets. Our computational experience shows that, rather unexpectedly, it is easier to solve the quadratic LAM model with our algorithm, than to solve the linear LACVaR and LAMAD models with CPLEX, one of the best commercial codes for mixed integer linear programming (MILP) problems. Finally, on the new data sets we have also compared, using out-of-sample analysis, the performance of the portfolios obtained by the Limited Asset models with the performance provided by the unconstrained models and with that of the official capital market indices. |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1105.3594&r=cmp |
| By: | Rosas, Juan (Francisco) |
| Abstract: | We introduce a world fertilizers model that is capable of producing fertilizer demand projections by crop, by country, by macronutrients, and by year. For each crop, the most relevant countries in terms of production, consumption, or trade are explicitly modeled. The remaining countries are modeled, for each crop, within a regional aggregate. The nutrient coverage includes nitrogen (N), phosphorous (P), and potassium (K). In this report we present the data and procedures used to set up the model as well as the assumptions made. The fertilizer model interacts with the yield equations of the FAPRI-ISU model (Food and Agricultural Policy Research Institute at Iowa State University), and by means of a set of production elasticities, projects each nutrient’s application rate per hectare for each commodity and each country covered by the FAPRI-ISU model. Then, the application rates and the areas projected by FAPRI-ISU are used to obtain projections of fertilizer demand from agriculture on a global scale. With this fertilizer module, policies that directly affect fertilizer markets, such as input taxes or subsidies, quantity use restrictions, and trade restrictions, can now be explicitly formulated and evaluated. The effects of these policies on global agricultural markets and on greenhouse gas emissions can be evaluated with the FAPRI-ISU model and the Greenhouse Gas in Agriculture Simulation Model (GreenAgSiM). Also, any other policy affecting commodity markets such as input and output price shocks, biofuels mandates, and land-use change can now be evaluated with regard to its impacts on the world fertilizer markets. |
| Keywords: | agriculture; fertilizer; nitrogen; phosphorous; policy analysis; potassium; projections. |
| JEL: | Q10 Q11 Q18 |
| Date: | 2011–04–26 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genres:33816&r=cmp |
| By: | Andrea Klimešová (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic); Tomáš Václavík (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic) |
| Abstract: | Motivated by the changing nature of the natural gas industry in the European Union driven by the liberalization process, we focus on pricing of gas swing options. These options are embedded in typical gas sales agreements in the form of offtake flexibility concerning volume and time. The gas swing option is actually a set of several American puts on a spread between prices of two or more energy commodities. This fact together with the fact that the energy markets are fundamentally different from traditional financial security markets is important for our choice of valuation technique. Due to the specific features of the energy markets, the existing analytic approximations for spread option pricing are hardly applicable to our framework. That is why we employ Monte Carlo methods to model the spot price dynamics of the underlying commodities. The price of an arbitrarily chosen gas swing option is then computed in accordance with the concept of risk-neutral expectations. Finally, our result is compared with the real payoff from the option realized at time of the option execution and the maximum ex-post payoff the buyer could generate in case he knew the future, discounting to the original time of the option pricing. |
| Keywords: | energy markets, gas sales agreement, gas swing option, Monte Carlo simulations, spread option pricing |
| JEL: | C63 G12 G13 |
| Date: | 2011–07 |
| URL: | http://d.repec.org/n?u=RePEc:fau:wpaper:wp2011_15&r=cmp |
| By: | Rania Antonopoulos; and Kijong Kim |
| Abstract: | This paper demonstrates the strong impacts that public job creation in social care provisioning has on employment creation. Furthermore, it shows that mobilizing underutilized domestic labor resources and targeting them to bridge gaps in community-based services yield strong pro-poor income growth patterns that extend throughout the economy. Social care provision also contributes to promoting gender equality, as women—especially from low-income households-constitute a major workforce in the care sector. We present the ex-ante policy simulation results from two country case studies: South Africa and the United States. Both social accounting matrix–based multiplier analysis and propensity ranking–based microsimulation provide evidence of the pro-poor impacts of the social care expansion. |
| Keywords: | Social Care; Job Creation; Gender Equality; Pro-Poor Growth |
| JEL: | C15 C67 D33 E24 J48 |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:lev:wrkpap:wp_671&r=cmp |
| By: | Niels Vermeer; Wouter Vermeulen |
| Abstract: | <p>This paper models external benefits of the transformation of an inner city industrial site into a residential area in an urban general equilibrium framework</p><p>Does brownfield redevelopment warrant government support?</p><p>We model external benefits of the transformation of an inner city industrial site into a residential area in an urban general equilibrium framework, focussing on the removal of a local nuisance, the exploitation of agglomeration economies and preservation of open space at the urban fringe. These benefits are compared to the value of transformed land, which accrues to the developer.</p><p>A numerical application indicates that local nuisance and agglomeration effects may push social returns significantly beyond these private returns. However, depending on the price elasticity of local housing demand, the amount of preserved greenfield land may be small and it only generates additional benefits to the extent that direct land use policies fail to internalize its value as open space.</p> |
| JEL: | R13 R21 R52 |
| Date: | 2011–05 |
| URL: | http://d.repec.org/n?u=RePEc:cpb:discus:178&r=cmp |