1,721,006 research outputs found
Cycles Optimization: the Equivalent Annuity and the Net Present Value Approach
No full textThe paper discusses the use of a generalized version of the equivalent annuity principle, which takes into account
interest rate #uctuations over time. When dealing with applications over a sequence of cycles, e.g. plant replacement ones,
the equivalent annuity is usually de"ned with reference to each single cycle or to the whole sequence. First, we study the
correspondence between net present values and equivalent annuities as de"ned above in optimization problems. We
show that only the second de"nition is appropriate for optimization, whenever the length of the cycle is a choice variable.
However, also the second is not necessarily correct, when the horizon is "nite. Then, we discuss the corresponding
problems of optimality, both with an in"nite and a "nite sequence of cycles. Applications to a simple plant replacement
problem are illustrated: they show how di!erent the optimal decisions can be from the equivalent annuity ones
Finite Change Comparative Statics for Risk-Coherent Inventories
No full textThis work introduces a comprehensive approach to the sensitivity analysis (SA) of risk-coherent inventory models. We address the issues posed by i) the piecewise-defined nature of risk-coherent objective functions and ii) by the need of multiple model evaluations. The solutions of these issues is found by introducing the extended finite change sensitivity indices (FCSI's). We obtain properties and invariance conditions for the sensitivity of risk-coherent optimization problems. An inventory management case study involving risk-neutral and conditional value-at-risk (CVaR) objective function illustrates our methodology. Three SA settings are formulated to obtain managerial insights. Numerical findings show that risk-neutral decision-makers are more exposed to variations in exogenous variables than CVaR decision-makers
Moment calculations for piecewise-defined functions: an application to stochastic optimization with coherent risk measures
No full textThis work introduces a new analytical approach to the formulation of optimization problems with piecewise-defined (PD) objective functions. First, we introduce a new definition of multivariate PD functions and derive formal results for their continuity and differentiability. Then, we obtain closed-form expressions for the calculation of their moments. We apply these findings to three classes of optimization problems involving coherent risk measures. The method enables one to obtain insights on problem structure and on sensitivity to imprecision at the problem formulation stage, eliminating reliance on ad-hoc post-optimality numerical calculations. © 2008 Springer Science+Business Media, LLC
Sensitivity Analysis in Investment Project Evaluation
No full textThis paper discusses the sensitivity analysis of valuation equations used in investment decisions. Since financial
decision are commonly supported via a point value of some criterion of economic relevance (net present value,
economic value added, internal rate of return, etc.), we focus on local sensitivity analysis. In particular, we present the
differential importance measure (DIM) and discuss its relation to elasticity and other local sensitivity analysis
techniques in the context of discounted cash flow valuation models. We present general results of the net present value
and internal rate of return sensitivity on changes in the cash flows. Specific results are obtained for a valuation model of
projects under severe survival risk used in the industry sector of power generation
Finite Change Comparative Statics for Risk Coherent Inventories
No full textApplicazione analisi di sensibilità per salti finiti a modelli di gestione delle scorte con misure coerenti di rischi
Global Sensitivity Analysis in Inventory Management
No full textThis paper deals with the sensitivity analysis (SA) of inventory management models when uncertainty in the input
parameters is given full consideration. We make use of Sobol’ function and variance decomposition method for
determining the most influential parameters on the model output. We first illustrate the method by means of an analytical
example. We provide the expression of the global importance of demand, holding costs, order costs of the Harris economic
order quantity (EOQ) formula. We then present the global SA of the inventory management model developed by Luciano
and Peccati [1999. Capital structure and inventory management: the temporary sale problem. International Journal of
Production Economics 59, 169–178] for the economic order quantity estimation in the context of the temporary sale
problem. We show that by performing global SA in parallel to the modeling process an analyst derives insights not only on
the EOQ structure when its expression is not analytically known, but also on the relevance of modeling choices, as the
inclusion of financing policies and special orders
Optimal resource allocation with minimum activation levels and fixed costs
No full textWe intend to analyze a problem of optimal resource allocation with both minimum and maximum activation levels and fixed costs. The problem is shown to be NP-hard. We study the consequent MILP problem and propose a dynamic programming algorithm which exploits an efficient pruning procedure. We present an application to a portfolio optimization problem in project financing. A project financing firm partially funds different projects, using external funding sources for the partial coverage of the financial requirements of each project. © 2001 Elsevier Science B.V
Financial Management in Inventory Problems: Risk Averse vs Risk Neutral Policies
No full textIn thiswork,wediscusstheeffectofriskmeasureselectioninthedeterminationof
inventorypolicies.Weconsideraninventorysystemcharacterizedbythelossfunction
of Lucianoetal.[2003.VaRasariskmeasureformulti-periodstaticinventorymodels.
International JournalofProductionEconomics81–82,375–384].Wederivethe
optimization problemsfacedbyriskneutral,quadraticutility,mean-absoluteandCVaR
decision makers.Resultsshowthatwhiletheglobalnatureoftheoptimalpolicyis
assuredforriskcoherentandriskneutraldecisionmakers,theconvexityofthe
quadraticutilityproblemdependsonthestochasticpropertiesofdemand.We
investigatetheeconomicandstochasticdeterminantsofthedifferentpolicies.This
allows ustoestablishtheconditionsunderwhicheachtypeofdecisionmakeris
indifferenttoimprecisioninthedistributionfamilies.Finally,wediscussthenumerical
impactofthechoiceoftheriskmeasurebymeansofamulti-iteminventory. The
introduction ofanapproachbasedonSavageScoresallowsustoofferaquantitative
measurementofthesimilarity/discrepancyofpoliciesreflectingdifferentriskattitudes
Multiattribute Utility and Intertemporal Choices: the role of certainty equivalent manifold
No full textA generalization of one dimensional Expected Utility Model is proposed considering a vector utility function. The risk aversion is studied and a measure for it is provided. The multidimensional model is moreover applied to problems of intertemporal choices
Some basic problems in inventory theory: The financial perspective
No full textThe analysis of the standard EOQ problem from a financial perspective is proposed. The case of mixed financing (equity and debt) is considered and the results are compared with those stemming from the Average cost approach. It is shown that no prediction about the result can be made. We solve completely the problem of finding the best financing policy. As the financial framework suggests to consider an infinity of inventory cycles, we investigate the effects on the solution of a more realistic finite truncation of the chain. We show that the finite chain solution is always smaller than the infinite chain one
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