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Stochastic intertemporal optimization: Long-term debt continuous time

Jerome L. Stein

in Stochastic Optimal Control, International Finance, and Debt Crises

Published in print:
2006
Published Online:
May 2006
ISBN:
9780199280575
eISBN:
9780191603501
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199280576.003.0003
Subject:
Economics and Finance, Financial Economics

This chapter answers the following technical questions: In a stochastic environment, where the return on capital and the interest rate are stochastic, what is an optimal (1) long-term debt, (2) ... More


TREE DECOMPOSITIONS OF GRAPHS

Rolf Niedermeier

in Invitation to Fixed-Parameter Algorithms

Published in print:
2006
Published Online:
September 2007
ISBN:
9780198566076
eISBN:
9780191713910
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198566076.003.0010
Subject:
Mathematics, Combinatorics / Graph Theory / Discrete Mathematics

This chapter provides an introduction to tree decomposition and treewidth, important concepts from modern graph theory. Treewidth is one of the best studied and most significant structural ... More


United States current account deficits: A stochastic optimal control analysis 1

Jerome L. Stein

in Stochastic Optimal Control, International Finance, and Debt Crises

Published in print:
2006
Published Online:
May 2006
ISBN:
9780199280575
eISBN:
9780191603501
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199280576.003.0009
Subject:
Economics and Finance, Financial Economics

For nearly a quarter of a century, the US has persistently run significant current account deficits that transformed it from the world’s largest net creditor to its largest debtor. The stochastic ... More


Finite‐Difference Methods for Continuous‐Time Dynamic Programming

Graham V. Candler

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0008
Subject:
Economics and Finance, Macro- and Monetary Economics

Introduces some of the methods and underlying ideas behind computational fluid dynamics—in particular, the use is discussed of finite‐difference methods for the simulation of dynamic economies. A ... More


Optimal Resource Allocations

Lars Peter Hansen and Thomas J. Sargent

in Recursive Models of Dynamic Linear Economies

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691042770
eISBN:
9781400848188
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691042770.003.0005
Subject:
Economics and Finance, History of Economic Thought

This chapter describes a planning problem that generates competitive equilibrium allocations and compares two methods for solving it. The first method uses state- and date-contingent Lagrange ... More


Probabilistic ancestral sequences based on the Markovian model of evolution: algorithms and applications

Gina M. Cannarozzi, Adrian Schneider, and Gaston H. Gonnet

in Ancestral Sequence Reconstruction

Published in print:
2007
Published Online:
September 2008
ISBN:
9780199299188
eISBN:
9780191714979
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199299188.003.0005
Subject:
Biology, Evolutionary Biology / Genetics

A probabilistic sequence (PS) is a sequence in which each position instead of having a single character (amino acid, nucleotide, or codon), has a vector describing the probability of each symbol ... More


Dynamic Optimization in Discrete Time

GREGORY C. CHOW

in Dynamic Economics: Optimization by the Lagrange Method

Published in print:
1997
Published Online:
October 2011
ISBN:
9780195101928
eISBN:
9780199855032
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195101928.003.0002
Subject:
Economics and Finance, Financial Economics

In dynamic economics, a set of equations are used to describe how state variables undergo dynamic evolution. This set of equations is used in maximizing a specific objective function that proves to ... More


Introduction: From Pipeline Economics to Computational Economics

Ramon Marimon and Andrew Scott

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0001
Subject:
Economics and Finance, Macro- and Monetary Economics

Starts by looking at the advances in macroeconomics that have been made since A. W. Phillips's 1958 Economica paper and his physical economic model (made of piping and valves) designed to teach ... More


Linear Quadratic Approximations: An Introduction

Javier Díaz‐Giménez

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0002
Subject:
Economics and Finance, Macro- and Monetary Economics

This is a brief introduction to dynamic programming and the method of using linear quadratic (LQ) approximations to the return function; the method is an approximation because it computes the ... More


Dynamic Consumption Theory

Fabio-Cesare Bagliano and Giuseppe Bertola

in Models for Dynamic Macroeconomics

Published in print:
2004
Published Online:
January 2005
ISBN:
9780199266821
eISBN:
9780191601606
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199266824.003.0001
Subject:
Economics and Finance, Macro- and Monetary Economics

Solves the basic version of the intertemporal consumption choice model under rational expectations. Discrete‐time dynamic optimization techniques are introduced and the theoretical relationships ... More


Strategic Asset Allocation in Continuous Time

John Y. Campbell and Luis M. Viceira

in Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

Published in print:
2002
Published Online:
November 2003
ISBN:
9780198296942
eISBN:
9780191596049
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198296940.003.0005
Subject:
Economics and Finance, Financial Economics

Discusses solution methods for dynamic asset allocation problems in a continuous‐time framework, and uses them to explore optimal portfolio choice with time‐varying volatility and with parameter ... More


Economic Growth

GREGORY C. CHOW

in Dynamic Economics: Optimization by the Lagrange Method

Published in print:
1997
Published Online:
October 2011
ISBN:
9780195101928
eISBN:
9780199855032
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195101928.003.0003
Subject:
Economics and Finance, Financial Economics

Through dynamic programming, the Bellman equation could be set up from a simple optimal growth model that is subject to a constraint function which involves variables that denote consumption, capital ... More


Models of Investment

GREGORY C. CHOW

in Dynamic Economics: Optimization by the Lagrange Method

Published in print:
1997
Published Online:
October 2011
ISBN:
9780195101928
eISBN:
9780199855032
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195101928.003.0008
Subject:
Economics and Finance, Financial Economics

In models that represent the investment decision made by a firm, the decision is to be perceived as an option to invest. As such, the option cannot be reversed once it has been employed. By the ... More


Stochastic Optimal Control

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0019
Subject:
Economics and Finance, Financial Economics

This chapter analyses the stochastic optimal control problem. The problem considers an economic agent over a fixed time interval [0, T]. At time t = 0, the agent is endowed with initial wealth x0, ... More


Local versus Global Alignments

Burkhard Morgenstern

in Sequence Alignment: Methods, Models, Concepts, and Strategies

Published in print:
2009
Published Online:
March 2012
ISBN:
9780520256972
eISBN:
9780520943742
Item type:
chapter
Publisher:
University of California Press
DOI:
10.1525/california/9780520256972.003.0003
Subject:
Biology, Evolutionary Biology / Genetics

This chapter compares global and local alignment, discusses the alignment tools that combine both local and global procedures into single algorithms, and examines dynamic programming and its ... More


The Value Functional: Applications

Patrick L. Anderson

in The Economics of Business Valuation: Towards a Value Functional Approach

Published in print:
2013
Published Online:
September 2013
ISBN:
9780804758307
eISBN:
9780804783224
Item type:
chapter
Publisher:
Stanford University Press
DOI:
10.11126/stanford/9780804758307.003.0016
Subject:
Economics and Finance, Financial Economics

This chapter demonstrates practical uses of the value functional approach in the estimation of the value of operating businesses. It includes a detailed discussion of state and control variables, a ... More


Individual Optimality

Claus Munk

in Financial Asset Pricing Theory

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199585496
eISBN:
9780191751790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199585496.003.0006
Subject:
Economics and Finance, Econometrics

This chapter solves the optimal consumption and investment decisions of a rational individual in various settings. First, the simple one-period framework is considered, where straightforward ... More


Insights and Algorithms

Cristopher Moore and Stephan Mertens

in The Nature of Computation

Published in print:
2011
Published Online:
December 2013
ISBN:
9780199233212
eISBN:
9780191775079
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199233212.003.0003
Subject:
Physics, Theoretical, Computational, and Statistical Physics

There are many forms of mathematical insights, but only a few major strategies can be used to construct polynomial-time algorithms. These include divide and conquer, dynamic programming, greedy ... More


One-Player Dynamic Games

João P. Hespanha

in Noncooperative Game Theory: An Introduction for Engineers and Computer Scientists

Published in print:
2017
Published Online:
May 2018
ISBN:
9780691175218
eISBN:
9781400885442
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691175218.003.0015
Subject:
Mathematics, Logic / Computer Science / Mathematical Philosophy

This chapter focuses on one-player discrete time dynamic games, that is, the optimal control of a discrete time dynamical system. It first considers solution methods for one-player dynamic games, ... More


Investing for the Long Run

Andrew Ang

in Asset Management: A Systematic Approach to Factor Investing

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199959327
eISBN:
9780199382323
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199959327.003.0004
Subject:
Economics and Finance, Financial Economics

The foundation of long-term investing is to rebalance to fixed asset positions, which are determined in a one-period portfolio choice problem where the asset weights reflect the investor’s attitude ... More


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