Countries select particular exchange rate arrangements for a variety of reasons. For example, the ability to conduct an independent monetary policy is often cited as the main advantage of having a floating exchange rate regime. Conversely, countries sometimes tie their exchange rate to that of a larger country—foregoing the ability to conduct independent monetary policies—to benefit from the re...

In this paper, we consider the robust portfolio selection problem for an insurer in the sense of maximizing the exponential utility of his wealth. This special robust investment problem, where underwriting results and a risk-free asset are considered, differs from ordinary robust portfolio selection problems. The insurer has the option of investing in a risk-free asset and multiple risky assets...

In this paper, we examine the dynamics of a supply chain that has the option of using two suppliers ± one reliable, and the other unreliable. We characterize the unreliable supplier with long lead-time mean and variance. Although the use of the unreliable supplier might potentially warrant higher inventory and transportation costs, it is attractive because of the willingness of the supplier to ...

In recent decades, the forest industry has been growingly expanded due to economic conditions, climate changes, environmental and energy policies, intense demand changes. Thus, appropriate planning is required improve this industry. To achieve economic, social goals, a supply chain network designed based on multi-period multi-product Mixed-Integer Non-Linear Programming (MINLP) model in which o...

Abstract In this paper, Markov chain and dynamic programming were used to represent a suitable pattern for tax relief and tax evasion decrease based on tax earnings in Iran from 2005 to 2009. Results, by applying this model, showed that tax evasion were 6714 billion Rials**. With 4% relief to tax payers and by calculating present value of the received tax, it was reduced to 3108 billion Rials. ...

Supplier selection problem is an important issue in supply chain management and includes both tangible and intangible factors. Within the effect of the intangible factors, decision making in supplier selection problem includes a high degree of fuzziness and uncertainties in practice. In academic research to handle this uncertainty and vagueness, Fuzzy Set Theory is used as an effective tool. Th...

We use cross-sectional information on the prices of G10 currency options to calibrate a non-Gaussian model of pricing kernel dynamics and construct estimates of conditional currency risk premia. We find that the mean historical returns to short dollar and carry factors (HMLFX ) are statistically indistinguishable from their option-implied counterparts, which are free from peso problems. Skewnes...