scholarly journals On an optimal extraction problem with regime switching

2018 ◽  
Vol 50 (3) ◽  
pp. 671-705 ◽  
Author(s):  
Giorgio Ferrari ◽  
Shuzhen Yang
Keyword(s):  
Optimal Control ◽  
Regime Switching ◽  
Spot Price ◽  
Discounted Cash Flow ◽  
State Process ◽  
Running Cost ◽  
The One ◽  
A Company ◽  
Skorokhod Reflection ◽  
The Value Function

AbstractIn this paper we study a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a natural resource from a reserve with finite capacity and sells it in the market at a spot price that evolves according to a Brownian motion with volatility modulated by a two-state Markov chain. In this setting, the company aims at finding the extraction rule that maximizes its expected discounted cash flow, net of the costs of extraction and maintenance of the reserve. We provide expressions for both the value function and the optimal control. On the one hand, if the running cost for the maintenance of the reserve is a convex function of the reserve level, the optimal extraction rule prescribes a Skorokhod reflection of the (optimally) controlled state process at a certain state and price-dependent threshold. On the other hand, in the presence of a concave running cost function, it is optimal to instantaneously deplete the reserve at the time at which the commodity's price exceeds an endogenously determined critical level. In both cases, the threshold triggering the optimal control is given in terms of the optimal stopping boundary of an auxiliary family of perpetual optimal selling problems with regime switching.

scholarly journals The Optimal Control of Government Stabilization Funds

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 1975
Author(s):  
Abel Cadenillas ◽  
Ricardo Huamán-Aguilar
Keyword(s):  
Optimal Control ◽  
Public Debt ◽  
Government Programs ◽  
Fund Manager ◽  
Running Cost ◽  
The Difference ◽  
The Government ◽  
The One ◽  
First Time

We study the optimal control of a government stabilization fund, which is a mechanism to save money during good economic times to be used in bad economic times. The objective of the fund manager is to keep the fund as close as possible to a predetermined target. Accordingly, we consider a running cost associated with the difference between the actual fiscal fund and the fund target. The fund manager exerts control over the fund by making deposits in or withdrawals from the fund. The withdrawals are used to pay public debt or to finance government programs. We obtain, for the first time in the literature, the optimal band for the government stabilization fund. Our results are of interest to practitioners. For instance, we find that the higher the volatility, the larger the size of the optimal band. In particular, each country and state should have its own optimal fund band, in contrast to the “one-size-fits-all” approach that is often used in practice.

An LQ Approach to Active Control of Vibrations in Helicopters

1996 ◽  
Vol 118 (3) ◽  
pp. 482-488 ◽  
Author(s):  
Sergio Bittanti ◽  
Fabrizio Lorito ◽  
Silvia Strada
Keyword(s):  
Optimal Control ◽  
Active Control ◽  
Linear Quadratic ◽  
Control Effort ◽  
Vibration Effect ◽  
Suitable Definition ◽  
Lq Optimal Control ◽  
The One ◽  
Definition Of ◽  
And Control

In this paper, Linear Quadratic (LQ) optimal control concepts are applied for the active control of vibrations in helicopters. The study is based on an identified dynamic model of the rotor. The vibration effect is captured by suitably augmenting the state vector of the rotor model. Then, Kalman filtering concepts can be used to obtain a real-time estimate of the vibration, which is then fed back to form a suitable compensation signal. This design rationale is derived here starting from a rigorous problem position in an optimal control context. Among other things, this calls for a suitable definition of the performance index, of nonstandard type. The application of these ideas to a test helicopter, by means of computer simulations, shows good performances both in terms of disturbance rejection effectiveness and control effort limitation. The performance of the obtained controller is compared with the one achievable by the so called Higher Harmonic Control (HHC) approach, well known within the helicopter community.

scholarly journals A procedure for the introduction of leanness into a company

2021 ◽  
Author(s):  
Davorin Cimermančič ◽  
Janez Kušar ◽  
Tomaž Berlec
Keyword(s):  
Negative Impact ◽  
General Procedure ◽  
Portfolio Analysis ◽  
The Other ◽  
Business Operations ◽  
Step Procedure ◽  
The One ◽  
A Company

AbstractChanging a traditional company into a lean one is a very complex and time-consuming process that needs to be addressed in an appropriate way, otherwise the project of introduction of leanness into a company may fail on the one hand and even have a negative impact on business operations of the company on the other. When introducing a change, a step-by-step procedure leading to a progress may be of great help. The paper outlines a general procedure of leanness, an important part of which is a lean agent. A portfolio analysis is also used as a measure of leanness or as an indicator of the desired direction. The applied working methods were mainly active workshops and interviews with employees. The procedure has been tested on an example of a Slovene company; first, the existing situation is outlined, then the leanness steps taken according to the procedure and the final result after the first transition of the procedure.

scholarly journals Economic Evaluation of Wind Power Projects in a Mix of Free and Regulated Market Environments in Brazil

Energies ◽  
2021 ◽  
Vol 14 (11) ◽  
pp. 3325
Author(s):  
Vanderson Aparecido Delapedra-Silva ◽  
Paula Ferreira ◽  
Jorge Cunha ◽  
Herbert Kimura
Keyword(s):  
Electricity Market ◽  
Free Market ◽  
Market Price ◽  
Investment Project ◽  
Spot Price ◽  
Market Uncertainty ◽  
Discounted Cash Flow ◽  
Expected Return ◽  
Price Expectation ◽  
Free Market Price

The electricity market in Brazil is basically organized under two parts: the regulated market, where energy is traded through auctions, and the free market, where market participants freely negotiate the price and quantity of electricity. Although revenues obtained in the regulated market tend to be lower than in the free market, the auctions’ results show that investors still value the lesser degree of uncertainty associated with the regulated market. However, a growing interest in the free market by investors is recognized since the price of electricity tends to be higher. Therefore, this study investigates four free market price scenarios to assess the expected return for investors, using the traditional discounted cash flow approach complemented with Monte Carlo simulation to address market uncertainty. The study breaks new ground by capturing the weekly price fluctuations and including the price elasticity of demand of the free market. The results seem to indicate that the disclosure of the ceiling and floor price limits for the spot price can signal important information about the agents’ price expectation in the free market and can be used for investment project evaluation.

scholarly journals Optimal Portfolios for Financial Markets with Wishart Volatility

2013 ◽  
Vol 50 (4) ◽  
pp. 1025-1043 ◽  
Author(s):  
Nicole Bäuerle ◽  
Zejing Li
Keyword(s):  
Value Function ◽  
Numerical Study ◽  
Heston Model ◽  
Hard Part ◽  
Control Approach ◽  
Portfolio Strategy ◽  
Hamilton Jacobi Bellman ◽  
The One ◽  
Hedging Demand ◽  
The Value Function

We consider a multi asset financial market with stochastic volatility modeled by a Wishart process. This is an extension of the one-dimensional Heston model. Within this framework we study the problem of maximizing the expected utility of terminal wealth for power and logarithmic utility. We apply the usual stochastic control approach and obtain, explicitly, the optimal portfolio strategy and the value function in some parameter settings. In particular, we do this when the drift of the assets is a linear function of the volatility matrix. In this case the affine structure of the model can be exploited. In some cases we obtain a Feynman-Kac representation of the candidate value function. Though the approach we use is quite standard, the hard part is to identify when the solution of the Hamilton-Jacobi-Bellman equation is finite. This involves a couple of matrix analytic arguments. In a numerical study we discuss the influence of the investors' risk aversion on the hedging demand.

Quintiles IPO

2017 ◽  
pp. 1-24
Author(s):  
David P. Stowell ◽  
Vishwas Setia
Keyword(s):  
Private Equity ◽  
Life Sciences ◽  
List Type ◽  
Publicly Traded ◽  
Discounted Cash Flow ◽  
Investment Bank ◽  
Strategy Process ◽  
Firm Owners ◽  
A Company

Quintiles Transnational Holdings Inc., the largest global provider of biopharmaceutical development and commercial outsourcing services, grew its revenue at a CAGR of 7.3% and EBITDA at 13.9% between 2008 and 2012.The case is set in December 2012–April 2013, when the majority of the firm was owned by founder Dennis Gillings and four private equity firms (Bain Capital, TPG Capital, 3i Capital and Temasek Life Sciences) after it was taken private in a management-led buyout in 2003 and a subsequent buyout in 2008. Five years after the second buyout, the private equity firm owners were looking to monetize their positions and considered different strategic alternatives: M&A sale to strategic or financial buyers, IPO, or capital restructuring through special dividends.Students will step into the role of an associate at the lead investment bank working with Quintiles. They must consider the case information and determine an IPO strategy, process, potential conflicts, and valuation.After reading and analyzing the case, students will be able to: Apply valuation techniques (discounted cash flow (DCF) and publicly traded comparables) in pricing an IPO Analyze the roles of different parties involved in the transaction Discuss the process of a company filing for an IPO Evaluate different strategic alternatives available to a private equity—backed company Address conflict of interest in management—led buyouts

scholarly journals On the optimal control force applied to tuned mass dampers for multi-degree-of-freedom systems

2004 ◽  
Vol 26 (1) ◽  
pp. 1-10
Author(s):  
Nguyen Dong Anh ◽  
Nguyen Chi Sang
Keyword(s):  
Optimal Control ◽  
Numerical Study ◽  
Degree Of Freedom ◽  
Control Force ◽  
Linear Quadratic ◽  
Tuned Mass Dampers ◽  
Coloured Noise ◽  
Optimal Theory ◽  
The One ◽  
Better Than

The design of active TMD for multi-degree-of-freedom systems subjected to second order coloured noise excitation is considered using the linear quadratic optimal theory. A detailed numerical study is carried out for a 2-DOF system. It is shown that the effectiveness of active TMD is better than the one of passive TMD.

scholarly journals Developing Soft Skills among Potential Employees: A Theoretical Review on Best International Practices

2021 ◽  
Vol 12 (2) ◽  
Author(s):  
Oleksandr Malykhin ◽  
Nataliia Oleksandrivna Aristova ◽  
Liudmyla Kalinina ◽  
Tetyana Opaliuk
Keyword(s):  
Professional Development ◽  
Theoretical Analysis ◽  
Soft Skills ◽  
The Other ◽  
Skills Development ◽  
Common Language ◽  
The Common ◽  
The One ◽  
A Company ◽  
Selection Of

The present paper addresses the issue of determining the best international practices for developing soft skills among students of different specialties through carrying out a theoretical review. Basing on literature on present-day theory the authors make an attempt to explain soft skills dichotomies, summarize existing approaches to classifying soft skills, consolidate and document best international practices for soft skills development among potential employees of different specialties including bachelor students, master students, doctoral and postdoctoral students. The data obtained in the theoretical analysis reveal that the possible ambiguities in the interpretation of the concept of “soft skills” are caused, on the one hand, by the dichotomic perception of their nature by present-day researchers and educators and, on the other hand, by the absence of the common language which makes it difficult to provide a more unified definition most satisfactory to all concerned. The authors are convinced that soft skills have a cross-cutting nature and regard them as personal and interpersonal meta-qualities and meta-abilities that are vital to any potential employee who is going to make positive contributions not only to his/her professional development but to the development of a company he/she is going to work for. The results of the conducted theoretical review clearly indicate that the absence of the unified understanding of the concept of “soft skills” is reflected in the existence of different approaches to classifying soft skills, let alone, the selection of didactic tools for developing soft skills among potential employees.

Sign in / Sign up

Export Citation Format

Share Document