lp modeling for asset liability management a survey of choices and simplifications dynamic linear programming lp models for asset liability management alm are quite powerful and flexible but face two challenges 1 many modeling choices not all consistent with one another or with finance theory and 2 solution difficulties due to the large number of scenarios obtained from standard interest rate models we first survey these modeling choices with a view to help researchers make self consistent choices next we review how the dynamic lp model for alm and the representation of uncertainty therein have been simplified in the past to motivate new or hybrid models emphasizing tractability to this end we review existing static lp models as extreme modeling simplifications and aggregation as a simplification of uncertainty

electricity demand estimates under increasing block rates using price variables calculated at observed consumption levels this study finds significant bias in ordinary least squares estimates of price elasticities of electricity demand the bias is most severe for specifications using observed average price the finding is important for future econometric work since this type of rate structure is becoming more common the evidence indicates that inappropriate use of ordinary least squares ols overestimates that rate structure premium effect on demand and may underestimate the marginal price elasticity the use of an instrumental variables technique applied to actual rate schedules proves consistent parameter estimates regardless of the rate structure 20 references 3 tables

can violence harm cooperation experimental evidence abstract in this paper we argue that natural resource conservation is jeopardised by the ability of users to resort to violence to appropriate resources when they become scarce we provide evidence from a lab experiment that participants interacting in a dynamic game of common pool resource extraction reduce their cooperation on efficient levels of resource extraction when given the possibility to appropriate the resource at some cost i e through conflict theoretically cooperation is achievable via the threat of punishment strategies which stop being subgame perfect in the presence of conflict accordingly we argue that the observed reduction of cooperation in the game s early stages in the lab is a consequence of participants correctly anticipating the use of appropriation when resources become scarce

technology invention and diffusion in residential energy consumption a stochastic frontier approach traditional large appliances absorb a large share of residential electricity consumption and represent important targets of energy policy strategies aimed at achieving energy security despite being characterized by rather mature technologies this group of appliances still offers large potential in terms of efficiency gains due to their pervasive diffusion in this paper we analyse the electricity consumption of a set of four traditional white goods in a panel of ten eu countries observed over 21 years 1990 2010 with the aim of disentangling the amount of technical efficiency from the overall energy saving the technical efficiency trend is modelled through a set of technology components representing both the invention and adoption process by the means of specific patents weighted by production and bilateral import flows which allows to overcome the rigid stochastic frontier framework in modelling the effect of technical change our results show that the derived energy demand and inefficiency trends are both related to changes in the amount of available technology embodied in energy efficient appliances the effect is significant both in its domestic and international components and suggests an active role of innovation and trade policies for achieving efficiency targets which directly impact the amount of electricity consumed by households

estimation and comparison of two simple models of equivalence scales for the cost of children in this paper two simple models of equivalence scales for the cost of children were presented estimated and their underlying assumptions were tested those attributed to engel and rothbarth the data are from the greek household expenditure survey undertaken in 1981 1982 and concern 1669 households it seems likely that the engel model probably overstates whilst the rothbarth model may understate the true cost of children excerpt

the irrigation demand for electricity this paper examines the regional differences in the irrigation demand for electricity the analysis is based upon the rural electric cooperatives statistics on the sale of power for irrigation a simultaneous equation system is developed to focus on both the short run utilization of electricity in irrigation and the long run determination of the number of irrigators using electricity the structural equations are estimated using pooled state level data for the period 1969 79 in light of the model s results the impacts of changes in relative energy prices on irrigation are examined there are substantial differences in the irrigation practices among regions in the united states farmers choose irrigation systems in response to climate factor prices and relative returns from agriculture irrigation accounted for over 14 of total energy use in crop production in 1974 and it is estimated that over 60 of all irrigation power equipment is electric fea usda and brantwood publications this note shows demand estimates for irrigation electricity in various regions unlike most electric utilities the rural electric cooperatives recs collect and publish information on the use of electricity for irrigation a study of the recs irrigation demand for electricity provides a perspective on regional differences in the irrigation demand for electricity and on the impact of changes in relative energy prices information on the factors that affect irrigation demand growth are needed by the cooperatives to plan for the capacity required to serve irrigation farmers this investigation joins others which deal with energy and irrigation sloggett and clark investigated the differences in irrigation techniques hexem and heady king et al mapp and dobbins and katzman and matlin applied linear programming models to irrigation analysis this study employs econometric modeling to estimate price elasticities and the pattern of interfuel substitution for the irrigation use of electricity the next section presents a simultaneous equation model for regional irrigation demand for electricity the empirical estimation using pooled state level data for the period 1969 79 is then described the final section discusses the potential impact of relative energy price changes on irrigation demand

dynamic models for fixed income portfolio management under uncertainty abstract we develop multi period dynamic models for fixed income portfolio management under uncertainty using multi stage stochastic programming with recourse the models integrate the prescriptive stochastic programs with descriptive monte carlo simulation models of the term structure of interest rates extensive validation experiments are carried out to establish the effectiveness of the models in hedging against uncertainty and to assess their performance vis a vis single period models an application to tracking the salomon brothers mortgage index is reported with very encouraging results results that establish the efficacy of the models in hedging against out of sample scenarios are also reported for an application from money management the multi period models outperform classical models based on portfolio immunization and single period models

on the effectiveness of scenario generation techniques in single period portfolio optimization in single period portfolio selection problems the expected value of both the risk measure and the portfolio return have to be estimated historical data realizations used as equally probable scenarios are frequently used to this aim several other parametric and non parametric methods can be applied when dealing with scenario generation techniques practitioners are mainly concerned on how reliable and effective such methods are when embedded into portfolio selection models in this paper we survey different techniques to generate scenarios for the rates of return we also compare the techniques by providing in sample and out of sample analysis of the portfolios obtained by using these techniques to generate the rates of return evidence on the computational burden required by the different techniques is also provided as reference model we use the worst conditional expectation model with transaction costs extensive computational results based on different historical data sets from london stock exchange market ftse are presented and some interesting financial conclusions are drawn

parameter estimation in stochastic scenario generation systems abstract scenario analysis offers an effective tool for addressing the stochastic elements in multi period financial planning models critical to any scenario generation process is the estimation of the input parameters of the underlying stochastic model for economic factors in this paper we propose a new approach for estimation known as the integrated parameter estimation ipe this approach combines the significant features of other well known estimation techniques within a non convex multiple objective optimization framework with the objective weights controlling the relative importance of the features we solve the non convex optimization problem using adaptive memory programming a variation of tabu search based on a short interest rate model using uk treasury rates from 1980 to 1995 the integrated approach compares favorably with maximum likelihood and the generalized method of moments we also evaluate performance with towers perrin s cap link scenario generation system

rural electrification its future in the usa abstract the us government has been involved in providing financial support for rural electrification for nearly 50 years this support combined with the creation of member owned electric cooperatives in 46 states led to a dramatic growth in the number of rural households receiving central station service through organizations such as the agency for international development and the world bank rural electric cooperatives have become established world wide this article provides a review of the political and economic climate which currently faces us cooperatives and compares this position with the rural electric systems in other countries the implications of the forecasts of the us cooperatives load growth developed from the oak ridge national laboratory rural electric energy demand ornl reed model are evaluated a short description of the econometric model which is estimated for five us regions using state level annual data from 1969 to 1979 is included the article concludes with an outline of the probable impact of several policy options on the growth of us cooperatives

intergroup conflict and intra group punishment in an experimental contest game we study how conflict in a contest game is influenced by rival parties being groups and by group members being able to punish each other our main motivation stems from the analysis of socio political conflict the relevant theoretical prediction in our setting is that conflict expenditures are independent of group size and independent of whether punishment is available or not we find first that our results contradict the independence of groupsize prediction conflict expenditures of groups are substantially larger than those of individuals and both are substantially above equilibrium towards the end of the experiment material losses in groups are 257 of the predicted level there is however substantial heterogeneity in the investment behaviour of individual group members second allowing group members to punish each other after individual contributions to the contest effort are revealed leads to even larger conflict expenditures now material losses are 869 of the equilibrium level and there is much less heterogeneity in individual group members investments these results contrast strongly with those from public goods experiments where punishment enhances efficiency and leads to higher material payoffs

residential electricity demand dynamics in turkey abstract this article provides fresh empirical evidences for the income and price elasticies of the residential energy demand both in the short run and long run for turkey over the period 1968 2005 using the bounds testing procedure to cointegration the computed elasticities of income and price are consistent with the previous studies and as expected the long run elasticities are greater than the short run elasticities an augmented form of granger causality analysis is implemented among residential electricity income price and urbanization in the long run causality runs interactively through the error correction term from income price and urbanization to residential energy but the short run causality tests are inconclusive the parameter stability of the short run as well as long run coefficients in the residential energy demand function are tested the results of these tests display a stable pattern

trust on the brink of armageddon the first strike game abstract we introduce the experimental first strike game two players accumulate earnings over many rounds in any round a player can deactivate the opponent this means that the opponent loses all earnings and faces severely reduced future payoffs it also means that the opponent can no longer deactivate the aggressor in later rounds thus deactivation is a hostile act but can serve as a self protection device we run four treatments to disentangle the effect of spite fear of spite and trust we find the absence of pure nastiness but nevertheless a strong fear of it mutual trust can considerably reduce hostility

the optimal portfolio problem with coherent risk measure constraints one of the basic problems of applied finance is the optimal selection of stocks with the aim of maximizing future returns and constraining risks by an appropriate measure here the problem is formulated by finding the portfolio that maximizes the expected return with risks constrained by the worst conditional expectation this model is a straightforward extension of the classic markovitz mean variance approach where the original risk measure variance is replaced by the worst conditional expectation the worst conditional expectation with a threshold a of a risk x in brief wcea x is a function that belongs to the class of coherent risk measures these are measures that satisfy a set of properties such as subadditivity and monotonicity that are introduced to prevent some of the drawbacks that affect some other common measures this paper shows that the optimal portfolio selection problem can be formulated as a linear programming instance but with an exponential number of constraints it can be solved efficiently by an appropriate generation constraint subroutine so that only a small number of inequalities are actually needed this method is applied to the optimal selection of stocks in the italian financial market and some computational results suggest that the optimal portfolios are better than the market index 2003 elsevier b v all rights reserved

a half century of returns on levered and unlevered portfolios of stocks bonds and bills with and without small stocks in two earlier papers grauer and hakansson 1982 grauer and hakansson 1984 we applied the multiperiod portfolio theory of mossin 1968 hakansson 1971 1974 leland 1972 ross 1974 and huberman and ross 1983 to the construction and rebalancing of portfolios composed of u s stocks corporate bonds government bonds and a risk free asset borrowing was ruled out in the first article while margin purchases were permitted in the second the probability distributions used were naively estimated from past realized returns in ibbotson this paper applies multiperiod portfolio theory to the construction and rebalancing of portfolios composed of u s stocks corporate bonds government bonds and a risk free asset with small stocks included as a separate investment vehicle probability assessments are based on the past joint empirical distribution our principal findings are 1 small stocks while totally ignored at times entered even the most riskaverse portfolios most of the time and 2 small stocks when chosen tended to replace common stocks except in the 1970s and early 1980s when they were primarily held in lieu of the risk free asset presented at the australian graduate school of management and at macquarie university both in sydney southern methodist university duke university the university of southern california the london graduate school of business and the annual meeting of the western financo association in scottsdale arizona the authors thank the participants of these seminars especially michael brennan and ehud ronn for helpful comments financial support from the social sciences and humanities research council of canada and the financial research foundation of canada is gratefully acknowledged the authors also wish to thank changwoo lee for research assistance and are greatly indebted to frederick shen for computational assistance

rural residential demand for electricity a simulateous equation partial adjustment model of rural electric cooperatives recs residential demand for electricity highlights the characteristics of rural energy demand and the tendency of rural customers to make greater short term adjustments to price changes the differences between rural and urban use patterns however are not consistent throughout the country the model also points to how changes in the number of households and per capita income can affect rural demand in planning for the future the cooperatives must identify and be aware of the unique features of their service areas not only in respect to regional characteristics but also in terms of the distinctive patterns or rural demand 17 references

estimation of residential electricity demand in hong kong under electricity charge subsidies abstract over the past decade the hong kong hk government provided electricity charges subsidies for residential accounts to alleviate the burden of inflation and later the burden of economic downturn in this study we estimate an econometric model of residential electricity demand and test the existence of a stable long run relationship for the period 1980 2016 while accounting for the relief measures set out by the hk government since 2008 empirical results suggest that there exists a long run relationship among residential electricity consumption electricity price income per capita and weather variables temperature or cooling degree days in the absence of electricity charge subsidies the demand is found to be both price and income inelastic on the other hand hk s residential electricity consumers are unresponsive to price and income changes when electricity subsidies are in place following its new carbon reduction plan hk is gradually phasing out coal for electricity generation to replace it mainly with natural gas our results suggest that new residential electricity charge subsidies can lessen the effectiveness of6 climate policies aimed at reducing electricity consumption through increases in the electricity price

electricity demand in a developing country paraguay this study analyzes the residential and commercial demand for electricity in ten regions in paraguay for 1970 1977 models that are both linear and nonlinear in the parameters are estimated the nonlinear model takes advantage of prior information on the nature of the appliances being utilized and simultaneously deals with the demand discontinuities caused by appliance indivisibility three dynamic equations including a novel cumulative adjustment model all indicate rapid adjustment to desired appliance stock levels finally the multiproduct surplus loss obtained from an estimated demand equation is used to measure the welfare cost of power outages 15 references

short and long run elasticities in us residential electricity demand a co integration approach abstract co integration techniques show promise in the analysis of short and long run effects of economic variables on energy use we use these techniques to develop an error correction model of annual us residential electricity demand we construct equipment stock indices and estimate the model for 1949 1993 our analysis suggests a structural shift in consumption during the 1960s we discuss reasons for this shift report the short and long run elasticities provide forecasts for 1994 1995 and compare the model s forecasts with other published forecasts

discretized reality and spurious profits in stochastic programming models for asset liability management in the literature on stochastic programming models for practical portfolio investment problems relatively little attention has been devoted to the question how the necessarily approximate description of the asset price uncertainty in these models influences the optimal solution in this paper we will show that it is important that asset prices in such a description are arbitrage free descriptions which have been suggested in the literature are often inconsistent with observed market prices and or use sampling to obtain a set of scenarios about the future we will show that this effectively introduces arbitrage opportunities in the optimization model for an investor who cannot exploit arbitrage opportunities directly because of market imperfections and trading restrictions we will illustrate that the presence of such arbitrage opportunities may cause substantial biases in the optimal investment strategy

formulation of the russell yasuda kasai financial planning model this paper describes the formulation of the russell yasuda kasai financial planning model including the motivation for the model the presentation complements the discussion of the technical details of the financial modeling process and the managerial impact of its use to help allocate the firm s assets over time discussed in carin o et al 1994 1998 respectively the multistage stochastic linear program incorporates yasuda kasai s asset and liability mix over a five year horizon followed by an infinite horizon steady state end effects period the objective is to maximize expected long run profits less expected penalty costs from constraint violations over the infinite horizon scenarios are used to represent the uncertain parameter distributions the constraints represent the institutional cash flow legal tax and other limitations on the asset and liability mix over time

dynamic asset allocation for varied financial markets under regime switching framework asset allocation among diverse financial markets is essential for investors especially under situations such as the financial crisis of 2008 portfolio optimization is the most developed method to examine the optimal decision for asset allocation we employ the hidden markov model to identify regimes in varied financial markets a regime switching model gives multiple distributions and this information can convert the static mean variance model into an optimization problem under uncertainty which is the case for unobservable market regimes we construct a stochastic program to optimize portfolios under the regime switching framework and use scenario generation to mathematically formulate the optimization problem in addition we build a simple example for a pension fund and examine the behavior of the optimal solution over time by using a rolling horizon simulation we conclude that the regime information helps portfolios avoid risk during left tail events

a bank asset and liability management model in managing its assets and liabilities in light of uncertainties in cash flows cost of funds and return on investments a bank must determine its optimal trade off between risk return and liquidity in this paper we develop a multiperiod stochastic linear programming model alm that includes the essential institutional legal financial and bank related policy considerations and their uncertainties yet is computationally tractable for realistically sized problems a version of the model was developed for the vancouver city savings credit union for a 5 year planning period the results indicate that alm is theoretically and operationally superior to a corresponding deterministic linear programming model and that the effort required for the implementation of alm and its computational requirements are comparable to those of the deterministic model moreover the qualitative and quantitative characteristics of the solutions are sensitive to the model s stochastic elements such as the asymmetry of cash flow distributions we also compare alm with the stochastic decision tree sdt model developed by s p bradley and d b crane alm is computationally more tractable on realistically sized problems than sdt and simulation results indicate that alm generates superior policies

spite and preemptive retaliation after tournaments abstract we investigated money burning after tournaments first we show that substantial money burning was triggered if participants perceived a situation as competitive second we investigated to which extent aggression between former contestants was motivated by preemptive retaliation or spite to disentangle both motives we introduced a credible and visible self binding signal contrary to previous studies we found that aggression against a defenceless subject played an important role preemptive retaliation proved to be another dominant motive we conclude that voluntary self binding signals may have the potential to mitigate but not eliminate antisocial behavior after a competition because it seems to be driven by spite to a large extent our results help us to better understand and eventually mitigate destructive behavior in work environments

stochastic network programming for financial planning problems several financial planning problems are posed as dynamic generalized network models with stochastic parameters examples include asset allocation for portfolio selection international cash management and programmed trading arbitrage despite the large size of the resulting stochastic programs the network structure can be exploited within the solution strategy giving rise to efficient implementations empirical results are presented indicating the benefits of the stochastic network approach for the asset allocation case

electricity consumption in g7 countries a panel cointegration analysis of residential demand elasticities this article applies recently developed panel unit root and panel cointegration techniques to estimate the long run and short run income and price elasticities for residential demand for electricity in g7 countries the panel results indicate that in the long run residential demand for electricity is price elastic and income inelastic the study concludes that from an environmental perspective there is potential to use pricing policies in the g7 countries to curtail residential electricity demand and thus curb carbon emissions in the long run

solving long term financial planning problems via global optimization abstract a significant multi stage financial planning problem is posed as a stochastic program with decision rules the decision rule called dynamically balanced requires the purchase and sale of assets at each time stage so as to keep constant asset proportions in the portfolio composition it leads to a nonconvex objective function we show that the rule performs well as compared with other dynamic investment strategies we specialize a global optimization algorithm for this problem class guaranteeing finite e optimal convergence computational results demonstrate the procedure s efficiency on a real world financial planning problem the tests confirm that local optimizers are prone to erroneously underestimate the efficient frontier the concepts can be readily extended for other classes of long term investment strategies

the moral costs of nastiness we introduce two variants of the one shot joy of destruction minigame mini jod two players are endowed with the same amount of money they simultaneously decide whether or not to reduce the payoff of the other player at an own cost in one treatment there was a probability that nature would destroy the opponent s money anyway we test whether this feature reduces the moral costs of being nasty and find that destruction rates rise significantly despite the absence of strategic reasons

electricity consumption and metropolitan economic performance in guangzhou 1950 2013 abstract this study analyzes the relationship between electricity consumption and metropolitan economic growth for guangzhou china using 64 years of annual frequency data the capital stock is used as a control variable because of its role in mediating the relationship between energy utilization and economic output empirical results indicate unidirectional granger causality from electricity consumption to metropolitan economic performance in the short run this is consistent with the argument that dependable electricity infrastructure and service can play a vital role in facilitating economic growth implications for conservation efforts and regional development are discussed

scenario generation and stochastic programming models for asset liability management in this paper we develop and test scenario generation methods for asset liability management models we propose a multi stage stochastic programming model for a dutch pension fund both randomly sampled event trees and event trees fitting the mean and the covariance of the return distribution are used for generating the coefficients of the stochastic program in order to investigate the performance of the model and the scenario generation procedures we conduct rolling horizon simulations the average cost and the risk of the stochastic programming policy are compared to the results of a simple fixed mix model we compare the average switching behavior of the optimal investment policies our results show that the performance of the multi stage stochastic program could be improved drastically by choosing an appropriate scenario generation method

integrated simulation and optimization models for tracking indices of fixed income securities increasing performance pressures on fixed income managers have led to a search for new and creative ways to add to portfolio returns the largest pension plan sponsors insurance companies foundations and money management firms are using indexed portfolios as their fixed income assets management strategies since the late 1970s tracking a fixed income index is a difficult task due to transaction costs portfolio size and diversification restrictions liquidity requirements bid ask spreads etc this paper develops an integrated simulation and optimization approach for tracking fixed income indices the model was implemented at metropolitan life insurance company we introduce a simulation model for generating scenarios of holding period returns of the securities in the index then we develop optimization models to select a portfolio that tracks the index the models penalize downside deviations of the portfolio return from the index the developed framework is used to track the salomon brothers mortgag

perception of price when price information is costly evidence from residential electricity demand a bstract residential electricity consumption is an example of a good for which it is costly to determine marginal price since price changes with the quantity purchased according to multistep block rate schedules this paper investigates the effect of the price information problem on consumers price perceptions an alternative hypothesis of average price perception is tested against the marginal price postulate which assumes wellinformed consumers the model which includes a price perception variable allows the estimation of the price to which consumers actually respond the empirical results support the hypothesis that consumers respond to average price perceived from the electricity bill

residential electricity consumption in seattle abstract recent empirical research for different regions of the united states indicates that residential electricity may be an inferior good whose consumption is negatively correlated with income that is a provocative result that runs counter to what many earlier econometric studies indicate given that it makes sense to examine how electricity consumption behaves in different regional service areas even if residential electricity is an inferior good whose usage declines as income rises there is no guarantee that this will be the case across all service areas this study examines residential electricity consumption for seattle washington the largest metropolitan economy in the northwestern region of the united states results from a dynamic error correction modeling approach indicate that residential electricity consumption reacts in statistically significant manners to changes in real price real income and cold weather in the short run residential electricity is a normal good in this metropolitan economy in the long run residential electricity appears to be an inferior good in seattle all else equal whenever real per capita income growth exceeds 1 2 per capita residential electricity usage declines in seattle

modeling of financial supply chain the research work on supply chain management has primarily focused on the study of materials flow and very little work has been done on the study of upstream flow of money in this paper we study the flow of money in a supply chain from the viewpoint of a supply chain partner who receives money from the downstream partners and makes payments to the upstream partners the objective is to schedule all payments within the constraints of the receipt of the money a penalty is to be paid if payments are not made within the specified time any unused money in a given period can be invested to earn an interest the problem is computationally complex and non intuitive because of its dynamic nature the incoming and outgoing monetary flows never stop and are sometimes unpredictable for tractability purposes we first develop an integer programming model to represent the static problem where monetary in flows and out flows are known before hand we demonstrate that even the static problem is np complete first we develop a heuristic to solve this static problem next the insights derived from the static problem analysis are used to develop two heuristics to solve the various level of dynamism of the problem the performances of all these heuristics are measured and presented

anarchy in the laboratory and the role of the state abstract a recent literature on the economics of conflict provides conditions under which groups of individuals divide up between producers and predators an anarchic equilibrium as well as conditions under which a government agent is empowered to make collective action choices that can completely deter predation we test these theoretical predictions in a laboratory experiment in the absence of a government agent groups of subjects choose actions consistent with the anarchic equilibrium the introduction of a government agent charged with maximizing the consumption of producers enables subjects to achieve nearly perfect coordination on the pareto superior equilibrium where all individuals choose to be producers

theory of constant proportion portfolio insurance abstract we study constant proportion portfolio insurance cppi a dynamic strategy that maintains the portfolio s risk exposure a constant multiple of the excess of wealth over a floor up to a borrowing limit we use this simple rule to investigate how transaction costs and borrowing constraints affect portfolio insurance type strategies absent transaction costs cppi is equivalent to investing in perpetual american call options and is optimal for a piecewise hara utility function with a minimum consumption constraint as the multiple increases the payoffs under cppi approach those of a stop loss strategy the expected holding period return is not monotonic in the multiple and a higher expected return can be obtained under cppi than with a stop loss strategy

comparison of alternative utility functions in portfolio selection problems this paper examines the effect of alternative utility functions and parameter values on the optimal composition of a risky investment portfolio normally distributed assets are the setting for the theoretical and empirical analyses the results agree well with the available theory and imply utility functions and parameter values that are appropriate for investors with particular risk bearing attitudes the results give strong empirical support to the proposition that utility functions having different functional forms and parameter values but similar absolute risk aversion indices have similar optimal portfolios these results suggest that over horizons up to one year one can safely substitute convenient surrogate utility functions for other utility functions for reasons of tractability or otherwise the results also provide guidance regarding the significance of the magnitude and change of particular numerical values of the risk aversion index moreover theoretical exact results are obtained using rubinstein s measure of global risk aversion

a stochastic programming model for money management abstract portfolio managers in the new fixed income securities have to cope with various forms of uncertainty in addition to the usual interest rate changes uncertainy in the timing and amount of cashflows changes in the default and other risk premia and so on complicate the portfolio manager s problem we develop here a multi period dynamic portfolio optimization model to address this problem the model specifies a sequence of investment decisions over time that maximize the expected utility of return at the end of the planning horizon the model is a two stage stochastic program with recourse the dynamics of interest rates cashflow uncertainty and liquidity default and other risk premia are explicitly modeled through postulated scenarios simulation procedures are developed to generate these scenarios the optimization models are then integrated with the simulation procedures extensive validation experiments are carried out to establish the effectiveness of the model in dealing with uncertainty in particular the model is compared against the popular portfolio immunization strategy and against a portfolio based on mean absolute deviation optimization

the economics of rural electrification projects abstract this paper focuses on the economics of rural electrification and project selection the broad criteria for preliminary screening of re projects are described in relation to national policy objectives the economic justification is the key step in the project processing cycle and depends on the present discounted value of benefits exceeding costs a comprehensive analytical model for identifying benefits is presented and the practical problems of evaluating them are described finally the paper contains the detailed economic evaluation of an re project in malaysia

forecast of electricity consumption in cyprus up to the year 2030 the potential impact of climate change abstract this paper provides a forecast of electricity consumption in cyprus up to the year 2030 based on econometric analysis of energy use as a function of macroeconomic variables prices and weather conditions if past trends continue electricity use is expected to triple in the coming 20 25 years with the residential and commercial sectors increasing their already high shares in total consumption besides this reference scenario it was attempted to assess the impact of climate change on electricity use according to official projections the average temperature in the eastern mediterranean is expected to rise by about 1 c by the year 2030 using our econometrically estimated model we calculated that electricity consumption in cyprus may be about 2 9 higher in 2030 than in the reference scenario this might lead to a welfare loss of 15 million euros in 2020 and 45 million euros in 2030 for the entire period 2008 2030 the present value of costs may exceed 200 million euros all expressed in constant euros of 2007 moreover we assessed the additional peak electricity load requirements in the future because of climate change extra load may amount to 65 75 megawatts mw in the year 2020 and 85 95 mw in 2030

an empirical analysis of electricity consumption in cyprus abstract the paper presents the first empirical analysis of electricity consumption in cyprus using annual data from 1960 to 2004 we have examined electricity use in the residential and the services sectors which are the fastest growing electricity consumers in the island and its interaction with income prices and the weather the analysis was performed with the aid of time series analysis techniques such as unit root tests with and without a structural break in levels cointegration tests vector error correction models granger causality tests and impulse response functions results show long term elasticities of electricity use above unity for income and of the order of 0 3 to 0 4 for prices in the short term electricity consumption is rather inelastic mostly affected by weather fluctuations granger causality tests confirm exogeneity of electricity prices and bidirectional causality between residential electricity consumption and private income the commercial sector is less elastic and reverts faster to equilibrium than the residential sector despite the relatively small sample size results reported here are quite robust and can be used for forecasts and policy analyses

bank asset and liability management under uncertainty abstract this study presents a multiperiod stochastic linear simple recourse model for asset and liability management in banking the model determines the portfolio of assets and liabilities over the planning horizon given a set of deterministic rates of returns of investments and costs of borrowings and a set of random outstanding deposit levels liquidity and total reserve requirements with a given discrete probability distribution the intention is to develop an optimization tool to assure sustained profitability and good management of risks while balancing sources and uses of funds to meet legal and policy requirements and satisfy withdrawal requests of depositors on time and in full effects of changes in bank policies and banking regulations environmental factors potential risks additional decision alternatives and constraints can be handled and evaluated by the model therefore it can be used both for planning and analysis the model is verified using a turkish sample bank s data over the period 1987 1990 and several sensitivity anallyes are reported as the model takes into account the stochastic behaviour of crucial uncontrollable variables the results of the model can be deemed more realistic compared with the deterministic model

estimating residential demand for electricity in the united states 1965 2006 abstract this paper examines the residential demand for electricity in the us economy as a function of the per capita income the price of electricity the price of oil for heating purposes the weather conditions and the stock of occupied housing over the period 1965 2006 this paper has two novelties first the occupied stock of houses as a proxy for the stock of electrical appliances and second the identification of a possible equilibrium relationship among the variables is ascertained through the recently advanced ardl approach to cointegration our empirical findings give support to a stable long run relationship implying also short run and long run elasticities whose size and sign are comparable to other similar studies

optimal departures from marginal cost pricing focuses on departures from marginal cost pricing optimal allocation or resources level of tax revenue that will be collected by the government theorems developed for resource allocation ebsco

philippine electric demand and equivalence scales the literature on residential electricity demand in developing countries is small based principally on latin american experience and with the exception of westley 24 25 employs highly aggregated data price elasticities are generally found to be less than u s elasticities 26 39 one explanation by westley is that energy substitution possibilites may be more limited in latin american countries he further suggests that since the household budget share of electricity is smaller in these countries the slutsky equation would imply an own price elasticity closer to the compensated elasticity and less influenced by income elasticity as a refinement westley also suggests that substitute fuels are more available in rural versus urban settings and that as a result price elasticity may be larger empirically however he found no difference 25 257 261 26 125 income elasticity findings on the other hand are varied pindyck s 17 evidence and inferences are that these elasticities are larger in developing than developed countries and in both cases decline with per capita income bemdt and samaniego 3 find results for mexico that agree in the first part with pindyck in fact when electric system connection rates are considered they suggest that their findings show an income elasticity greater than one 2

average and marginal price changes and the demand for electricity an econometric study the empirical literature on the demand for electricity has hitherto failed to adequately deal with increasing block pricing while it is desirable in principle to include the entire price schedule in the demand function the convention has been to include as an argument either an average or a marginal price yet use of either to the exclusion of the other one leads inter alia to biased estimates of own price elasticity with this in mind a residential demand function is estimated employing both average and marginal price while a number of interesting results emerge it is significant that the coefficient on marginal price is right that is the expected inverse relationship between the quantity of electricity demanded and the marginal price it obtains on the other hand the positive sign on average price is troubling because average price is in this case exactly the same concept as the intra marginal payment a change in average price is exactly the same concept as a change in real income t

nontraditional partial adjustment models and their use in estimating the residential demand for electricity in costa rica the present study attempts to augment our very limited knowledge of electricity demand in the developing world by analyzing residential electricity consumption in a middle income level latin american country costa rica while a number of econometric investigations of the determinants of residential electricity demand have been carried out in developed countries using good data and a reasonably complete set of variables few comparable studies are available for the developing world in latin america the only two of which we are aware are berndt and samaniego 1984 and westley 1984a the former studies household electricity consumption in mexico an upper income level latin state the latter analyzes residential and commercial electricity demand in a lower income latin american country paraguay this paper is organized as follows the balance of this introduction summarizes the major issues and results then section ii discusses variables iii presents the basic econometric results and iv examines the issue of dynamic adjustment and discusses the need for more flexible partial adjustment pa models appendix a derives the linear appliance price index appendix b supplements the discussion of dynamic adjustment in section iv and appendix c derives the flexible pa models from cost minimization principles price and income elasticities

arms races and conflict experimental evidence we study escalation and aggression in an experimental first strike game in which two participants play multiple rounds of a money earning task in each round both players can spend money to accumulate weapons the player with more weapons can spend money to strike against the other player which almost totally eliminates the victim s earnings potential and removes their capacity to strike weapons can serve as a means of deterrence in four treatments we find that deterrence is strengthened if weapon stocking cannot be observed that a balance of power is effective in maintaining peace and that mutually beneficial trade decreases the risk of confrontation but not necessarily the likelihood of costly arms races