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Arne Vogler and Florian Ziel
The present paper considers the problem of choosing among a collection of competing electricity price forecasting models to address a stochastic decision-making problem. We propose an event-based evaluation framework applicable to any optimization proble...
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Ting Zeng and Tianjian Yang
Behavioral factors (i.e., risk aversion and fairness concern) are considered for profit allocation in a closed-loop supply chain. This paper studies a two-echelon closed-loop supply chain (CLSC) consisting of a risk-neutral manufacturer, a risk-averse fa...
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Manoel Pereira,Alvaro Veiga
Pág. 167 - 195
This paper introduces an empirical version of the Esscher transform for nonparametric option pricing. Traditional parametric methods require the formulation of an explicit risk-neutral model and are operational only for a few probability distributions fo...
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Yang Liu, Yuanyuan Li, Lu Hu
Pág. 571 - 590
This paper examines commuters? departure time and route choices in the morning commute problem when travel time is described as a bounded distributional uncertainty set. The preferences towards risk and ambiguity are distinguished by adopting the ambigui...
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