Misplaced inventory is prevalent in retail stores and may lead to the overall poor performance of the supply chain. We explore the impact of misplaced inventory on a two-level supply chain, which consists of a risk-neutral supplier and a risk-averse retailer. The supplier decides the wholesale price to maximize her profit, whereas the retailer decides the order quantity to maximize his utility....

This paper analyzes the dynamic incentives for technology adoption under a transferable permits system, which allows for strategic trading on the permit market. Initially, firms can invest both in low– emitting production technologies and trade permits. In the model, technology adoption and allowance price are generated endogenously and are inter–dependent. It is shown that the non–cooperative ...

This paper addresses the question of whether the findings of behavioral economics imply that techniques used in cost-benefit analysis should be modified. The findings of behavioral economics considered include the status-quo effect, loss-aversion, overconfidence and hyperbolic discounting. These behavioral phenomena do indeed imply that concepts from cost-benefit analysis such as consumer surpl...

This paper analyzes the dynamic incentives for technology adoption under a transferable permits system, which allows for strategic trading on the permit market. Initially, firms can both invest in low– emitting production technologies and trade permits. In the model, technology adoption and allowance prices are generated endogenously and are inter–dependent. It is shown that the non–cooperative...

Risk assessment is concerned with discovering threat paths between potential attackers and critical assets, and is generally carried out during a system’s design and then at fixed intervals during its operational life. However, the currency of such analysis is rapidly eroded by system changes; in dynamic systems these include the need to support ad-hoc collaboration, and dynamic connectivity be...

Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously absent from portfolio optimization problems in the financial and automation literature. This paper will show how Kelly's Criterion can be incorporated into standard portfolio optimization models. ...

A method of training multilayer perceptrons (MLPs) to reach a global or nearly global minimum of the standard mean squared error (MSE) criterion is proposed. It has been found that the region in the weight space that does not have a local minimum of the normalized riskaverting error (NRAE) criterion expands strictly to the entire weight space as the risk-sensitivity index increases to infinity....

We extend the basic idea of Schwarz (1978) and develop a generalized Bayesian information criterion for regression model selection. The new criterion relaxes the usually strong distributional assumption associated with Schwarz’s BIC by adopting a Wilcoxon-type dispersion function and appropriately adjusting the penalty term. We establish that the Wilcoxon-type generalized BIC preserves the cons...

Abstract In this paper we introduce a new criterion in order to measure the variance and covariance risks in financial markets. In an asset allocation framework with stochastic (co)variances, we consider the possibility to invest also in variance swaps, that are assets which span the volatility as well as the co-volatility risks. We provide explicit solutions for the portfolio optimization prob...

Weber, Shafir, and Blais (2004) advocate use of the coefficient of variation (CV) as a measure of risk sensitivity and apply CV in a meta-analysis of data for risky choices by humans and animals. We critically re-examine the CV measure as either a normative or descriptive criterion for decision under risk. CV fails as a normative criterion because it violates first order stochastic dominance. W...