The Introduction of Risk into a Programming Model

Freund, Rudolf J.

doi:10.2307/1911630

Cited by 492 publications

(194 citation statements)

References 7 publications

Supporting

Mentioning

189

Contrasting

Unclassified

Order By: Relevance

“…Note that there is a number of approaches to transform a stochastic program into a deterministic one. The Markowitz model was one of the first used in the agriculture production planning optimization under risk (Freund 1956). Markowitz formulated the portfolio problem as a choice of the mean and variance of the portfolio assets.…”

Section: Methodsmentioning

confidence: 99%

Crop plan optimization under risk on a farm level in the Czech Republic

Janová¹

2014

AGR ECON-CZECH

View full text Add to dashboard Cite

Th e precise agricultural operations research models claiming complex solutions and specialized software tools may appear too complicated to truly support the decision making process on the farm level. Th e specifi c balance between the simplifi cations made and the correspondence to the real problem must be found when building decision support for a local farmer. In this paper, a decision support model for agricultural production planning in the Czech Republic is developed covering both the randomness of parameters entering the problem and the complex crop succession requirements. Crucially, the model can be approached using software tools commonly available to farmers. Th e structure of the simplifi ed model is described in detail, its validity proved by the recently suggested simulation procedures and the general applicability of the model structuring for a local agriculture decision support is discussed.

show abstract

Section: Methodsmentioning

confidence: 99%

Crop plan optimization under risk on a farm level in the Czech Republic

Janová¹

2014

AGR ECON-CZECH

View full text Add to dashboard Cite

show abstract

“…A risk-averse decision maker favors the utility of a risk-free present value over a risky present value with identical expected value. Approaches similar to our model have been applied numerous times, for example in Freund (1956), Fridgen & Müller (2009), Hanink (1985, Zimmermann (2008), and Zimmermann, Katzmarzik, & Kundisch (2008).…”

Section: Assumption 3: the Decision Maker Is Assumed To Be Risk-aversmentioning

confidence: 99%

Using financial derivatives to hedge against market risks in IT outsourcing projects – a quantitative decision model

Buhl

Fridgen

König

2013

Journal of Decision Systems

View full text Add to dashboard Cite

Besides the project-inherent risk of an IT outsourcing project, related to the management of the project, other types of risk driven by the marketshave not yet been addressed until now. Although financial derivatives are well known as a powerful tool for hedging market risk, there are no approaches to utilize this tool for risk management in IT outsourcing projects. We show a way to address two types of market risk threatening outsourcing success: insolvency of the project counterpart and a slump in prices of the counterpart's stocks. This paper therefore provides a quantitative decision model to determine how much money should be spent on hedging these risks using financial derivatives. We discover that the lower the probability of damage the higher the degree of cheap hedging that should be applied. In contrast, other means of hedging should be considered when facing a rather high probability of damage, because financial hedging gets too expensive.

show abstract

“…D'autre part, nous supposons que les taux de rendement sont distribués selon une loi normale multivariée. Sous ces hypothèses, comme l'a démontré Freund (1956), le problème en (3) et (4) est équivalent à l'hypothèse de la moyenne-variance de la théorie du portefeuille, soit:…”

Section: Le Modèleunclassified

Évaluation de l’hypothèse de la moyenne-variance : une application au portefeuille des banques canadiennes

Lafrance

2009

View full text Add to dashboard Cite

Le but de cet article est d’évaluer la pertinence du modèle de la moyenne-variance comme schéma explicatif du portefeuille domestique des banques canadiennes. Le modèle théorique entraîne certaines restrictions que nous tentons de vérifier à l’aide d’un test de chi-carré dans le cas de sept banques à charte. Les résultats indiquent que le modèle postulé ne peut être accepté.In this paper we evaluate the mean-variance hypothesis (MVH) in the case ofthe domestic portfolios of seven Canadians banks. Following previous studies byParkin, Gray, Barrett and Courakis we test a particular version of the MVH byrestricting the objective function of the banks (presented as a negative exponentialutility function). The banks select their optimal portfolios by maximizing theirexpected utility of profit over a one period horizon. Optimal portfolios are revisedin each period. The MVH yields a number of properties which characterize theasset demands: homogeneity, additivity, symmetry and non-negativity of ownexpected rate effects.These properties are tested under the joint hypothesis that expected rates ofreturn are evaluated either by a rational expectations process or an ARIMAprocess. Chi-square tests of the overall restrictions as implied by the MVH areapplied to the data set which comprises the seven largest Canadian charteredbanks. The results indicate a strong rejection by the data of the conjectured model

show abstract

The Introduction of Risk into a Programming Model

Cited by 492 publications

References 7 publications

Crop plan optimization under risk on a farm level in the Czech Republic

Crop plan optimization under risk on a farm level in the Czech Republic

Using financial derivatives to hedge against market risks in IT outsourcing projects – a quantitative decision model

Évaluation de l’hypothèse de la moyenne-variance : une application au portefeuille des banques canadiennes

Contact Info

Product

Resources

About