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	Provedor de dados AgEcon (6) Colegio de Postgraduados (1) Autor Hirschauer, Norbert (4) Musshoff, Oliver (4) Wilfling, Bernd (2) Alvarado Medellin, Pedro (1) Palavra-chave Stochastic processes (7) Uncertainty (4) C1 (2) C61 (2) E43 (2) F31 (2) F33 (2) Farm Management (2) Financial Economics (2) M11 (2) Optimization (2) Q12 (2) Risk and Uncertainty (2) Static distributions (2) Term structure (2) ARMA models (1) Amajac River (1) C52 (1) Crop Production/Industries (1) Disaggregation models (1) Mais... Tipo do documento Conference Paper or Presentation (2) Journal Article (2) Working or Discussion Paper (2) Tesis (1) Ano 2008 (1) 2007 (2) 2006 (1) 2004 (1) 2001 (2) País United States (6) Mexico (1) Idioma Inglês (4) Alemão (2) Espanhol (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 7 Primeira ... 1 ... Última Modelación estocástica de los escurrimientos de la cuenca del Río Amajac, Hidalgo, México Colegio de Postgraduados Alvarado Medellin, Pedro. En México, la Comisión Nacional Del Agua (CNA), es el organismo responsable de registrar y publicar los resultados de la medición de variables que se obtienen de la red de estaciones metereológicas e hidrométricas. En los últimos años, las redes se han reducido. En algunos ríos, la medición de los escurrimientos, la variable hidrológica más importante, se ha suspendido. En estos casos, la falta de datos históricos provoca que no se pueda realizar una planeación adecuada de los recursos hídricos a nivel local y regional. Por lo anterior, la modelación matemática, en particular con modelos de series de tiempo, se puede desarrollar para generar series sintéticas con la capacidad de reproducir las propiedades estadísticas de los registros históricos... Tipo: Tesis Palavras-chave: Modelos AR; Modelos de disgregación; Procesos estocásticos; Series de tiempo hidrológicas; Río Amajac; Doctorado; Hidrociencias; Amajac River; ARMA models; Disaggregation models; Hydrologic time series; Stochastic processes. Ano: 2007 URL: http://hdl.handle.net/10521/1533 Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes AgEcon Wilfling, Bernd. The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important prediction of the term structure of interest rates. This paper derives the term structure of differentials in a situation in which two open economies plan to enter a monetary union in the future. Two systems of floating exchange rates prior to the union are considered, namely a free-float and a managed-float regime. The volatility processes of arbitrary term differentials under the respective pre-switch arrangements are compared. The paper elaborates the singularity of extremely short-term (i.e. instantaneous) interest rates under extensive leaning-against-the-wind intervention... Tipo: Working or Discussion Paper Palavras-chave: Interest rate volatility; Term structure; Exchange rate arrangements; Intervention policy; Stochastic processes; Financial Economics; E43; F31; F33; C52. Ano: 2001 URL: http://purl.umn.edu/26277 Wie viel bringt eine verbesserte Produktionsprogrammplanung auf der Grundlage einer systematischen Auswertung empirischer Zeitreihen? – Die Bedeutung von Prognosemodellen bei der Optimierung unter Unsicherheit AgEcon Musshoff, Oliver; Hirschauer, Norbert. In this paper we examine whether there is room for improvement in farm program decisions through the integration of formal mathematical optimisation into the planning process. Probing the potential for improvement, we investigate the cases of four Brandenburg cash crop farms over the last six years. We find that their total gross margins could have been increased significantly through a more sophisticated program planning. However, we also find that the superiority of formalised planning approaches depends on the quality of the data. The superior formal planning approach includes, in contrast to farmers’ ad hoc planning, a systematic time series analysis of gross margins and a stochastic optimisation model. For each of the six years, the formal planning... Tipo: Journal Article Palavras-chave: Planning of the production program; Optimisation; Uncertainty; Static distributions; Stochastic processes; Farm Management; Risk and Uncertainty. Ano: 2006 URL: http://purl.umn.edu/97196 Improved Program Planning Approaches Generates Large Benefits in High Risk Crop Farming AgEcon Musshoff, Oliver; Hirschauer, Norbert. This paper examines whether there is room for the improvement of farm program decisions through the incorporation of mathematical optimization in the practical planning process. Probing the potential for improvement, we investigate the cases of four German cash crop farms over the last six years. The formal planning approach includes a systematic time series analysis of farmspecific single gross margins and a stochastic optimization model. In order to avoid solutions that simply exceed the farmer’'s risk tolerance, the apparently accepted variance of the observed program’'s total gross margin which represents an observable reflection of the individual farmer'’s risk attitude is used as an upper bound in the optimization. For each of the 24 planning... Tipo: Conference Paper or Presentation Palavras-chave: Production program planning; Optimization; Uncertainty; Static distributions; Stochastic processes; Crop Production/Industries; C1; C61; M11; Q12. Ano: 2007 URL: http://purl.umn.edu/10442 The Convergence of International Interest Rates Prior to Monetary Union AgEcon Wilfling, Bernd. The process of international interest rate convergence for arbitrary terms (represented by the term structure of interest rate differentials) is derived in a model of a small open economy which faces a purely time-contingent exchange rate regime switch from flexible to fixed rates. Special attention is paid to a situation in which financial markets deem a delay in the regime switch beyond the publicly announced fixing date possible. The closed-form solution of the term structure allows us to analyze the volatility of interest rate differentials thus providing a useful tool for interest-rate-sensitive security valuation and other risk management applications. Furthermore, the model demonstrates that the economy under consideration has to pay for the... Tipo: Working or Discussion Paper Palavras-chave: Exchange rate regime switches; Interest rates; Term structure; Stochastic processes; Uncertainty; Financial Economics; E43; F31; F33. Ano: 2001 URL: http://purl.umn.edu/26165 Sophisticated Program Planning Approaches Generate Large Benefits in High Risk Crop Farming AgEcon Musshoff, Oliver; Hirschauer, Norbert. Agricultural production relies to a great extent on biological processes in natural environments. In addition to volatile prices, it is thus heavily exposed to risks caused by the variability of natural conditions such as rainfall, temperature and pests. With a view to the apparently lacking support of risky farm production program decisions through formal planning models, the objective of this paper is to examine whether, and eventually by how much, farmers’ “intuitive” program decisions can be improved through formal statistical analyses and stochastic optimization models. In this performance comparison, we use the results of the formal planning approach that are generated in a quasi ex-ante analysis as a normative benchmark for the empirically observed... Tipo: Conference Paper or Presentation Palavras-chave: Stochastic optimization; Stochastic processes; Production risk; Program planning; Time series analysis; C1; C61; M11; Q12. Ano: 2008 URL: http://purl.umn.edu/36865 Optimierung unter Unsicherheit mit Hilfe stochastischer Simulation und Genetischer Algorithmen – dargestellt anhand der Optimierung des Produktionsprogramms eines Brandenburger Marktfruchtbetriebes AgEcon Musshoff, Oliver; Hirschauer, Norbert. Optimization has been recognized as a powerful tool in teaching and research for a long time. In spite of its well known problem solving capacity, some methodological obstacles have persisted over the years. The main problem is that stochastic variables and their correlations cannot be adequately accounted for within traditional optimization procedures. In this paper, we develop a methodological mix of stochastic simulation and a heuristic optimization procedure which has become known as genetic algorithms. The simulation part of the mix allows for the consideration of complex information such as stochastic processes; the genetic algorithms-part ensures that the method remains manageable in terms of required time and resources. We demonstrate the decision... Tipo: Journal Article Palavras-chave: Optimization; Optimal production program; Stochastic simulation; Genetic algorithms; Uncertainty; Stochastic processes; Farm Management; Risk and Uncertainty. Ano: 2004 URL: http://purl.umn.edu/97454 Registros recuperados: 7 Primeira ... 1 ... Última

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