Deposits held at Federal Reserve Banks are an essential input to the business activity of most depository institutions in the United States. Managing these deposits is an important and complex inventory problem for tw...
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Deposits held at Federal Reserve Banks are an essential input to the business activity of most depository institutions in the United States. Managing these deposits is an important and complex inventory problem for two reasons. First, Federal Reserve regulations require that depository institutions hold certain amounts of such deposits at the Federal Reserve Banks to satisfy statutory reserve requirements against customers' transaction accounts (demand deposits and other checkable deposits). Second, some inventory of such deposits is essential for banks to operate one of their core lines of business: furnishing payment services to households and firms. Because the Federal Reserve does not pay interest on such deposits used to satisfy statutory reserve requirements, banks seek to minimize their inventory of such deposits. In 1994, the banking industry introduced a new inventory management tool for such deposits, the retail deposit sweep program, which avoids the statutory requirement by reclassifying transaction deposits as savings deposits. This is an interesting inventory problem for fungible items, where the conversion process is reversible. We examine two methods for operating such sweeps programs within the limits of Federal Reserve regulations, and we develop a stochastic dynamic programming model to implement one such method, the threshold method.
A method is developed to find sequences of expected utility maximizing decisions under risk aversion when random elements are time-dependent and additive separable utility of income is implausible. A Taylor-series app...
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A method is developed to find sequences of expected utility maximizing decisions under risk aversion when random elements are time-dependent and additive separable utility of income is implausible. A Taylor-series approximation to expected utility is used. In an application to marketing stored wheat, expected seasonal sales patterns, early fractional sales of total inventory for risk reduction, and negative skewness in resulting income distributions are noted. Sensitivity to the number of income distribution moments used to approximate expected utility is examined. Six moments produce a good approximation. Use of only mean and variance can give doubtful results.
In the framework of a stochastic dynamic programming model, the paper investigates the impact of water supply uncertainty and storage at farm level on adoption of efficient irrigation technologies under a flexible wat...
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In the framework of a stochastic dynamic programming model, the paper investigates the impact of water supply uncertainty and storage at farm level on adoption of efficient irrigation technologies under a flexible water price regime. We find that even a flexible water pricing cannot guarantee higher adoption of efficient irrigation technology in all cases. Results of the paper indicate that if a farmer invests in water storage capacity, then the value of efficient usage of water increases, and the rate of adoption of efficient irrigation technology will be higher. It establishes a complementarity relationship between investments in storage capacity and adoption of efficient irrigation technology. The relationship becomes stronger with increasing variance in water supply. In a situation without any option to store water at the farm level, we find a negative relationship between investment in efficient irrigation technology and water variability. However, numerical analysis results suggest that a risk averse farmer may invest more in efficient irrigation only if the variance in water supply is very high.
Consolidation in US agriculture has led to fewer, larger farms. In the case of dairy in the Northeastern US, higher concentrations of animals near large population centers pose water quality problems that can be attri...
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Consolidation in US agriculture has led to fewer, larger farms. In the case of dairy in the Northeastern US, higher concentrations of animals near large population centers pose water quality problems that can be attributed to excessive soil nutrient levels. While new environmental policies and regulations are being developed and implemented to help manage such problems, research to determine the efficacy of alternative dairy production systems is needed. The research reported in this paper makes use of stochastic dynamic programming to determine optimal stocking densities, milk production levels, and feed rations for a hypothetical dairy farm using management-intensive grazing. A key feature of the model is that financial disincentives are placed on excessive accumulation of phosphorus in the farm's soils. The results show that under optimal management the cost of reducing soil phosphorus to acceptable levels across all states of nature modeled is approximately $524 per hectare per year. The optimal farm management strategy is to rapidly reduce the size of the dairy herd (as opposed to feeding for a lower level of milk production per cow) until soil phosphorus levels are under control. (C) 2003 Elsevier Ltd. All rights reserved.
This paper presents a stochastic dynamic programming model for determining the optimal ordering policy for a perishable or potentially obsolete product so as to satisfy known time-varying demand over a specified plann...
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This paper presents a stochastic dynamic programming model for determining the optimal ordering policy for a perishable or potentially obsolete product so as to satisfy known time-varying demand over a specified planning horizon. We have considered random life time perishability where, at the end of each discrete period, the total remaining inventory either becomes worthless or remains usable for at least the next period. Two approximate solution methods are shown. The optimal and heuristic methods are compared on a large set of test problems and their performance as a function of various problem parameters is analyzed.
We study the asset allocation problem for a pension fund, which operates in a PAYG system and periodically revises its investment strategies. If the optimal amount of wealth invested in risky assets is always positive...
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We study the asset allocation problem for a pension fund, which operates in a PAYG system and periodically revises its investment strategies. If the optimal amount of wealth invested in risky assets is always positive, then during the management period the optimal portfolio is constantly riskier (less risky) than Merton's portfolio when the growth rate of workers is higher (lower) than the growth rate of pensioners. In particular, there exists a time when the risk exposure is a maximum (minimum). (c) 2005 Elsevier B.V. All rights reserved.
The paper presents a decision support program who takes into consideration the system which consists in the ten important reservoirs with the associated hydropower plants. This program enables the selection of the str...
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The paper presents a decision support program who takes into consideration the system which consists in the ten important reservoirs with the associated hydropower plants. This program enables the selection of the strategic operation policy for the next month, or for a certain number of oncoming months, depending on reservoirs levels at the beginning of the month, and on the average monthly anticipated affluent flows;it suggests the most suitable operation solution according to an optimization model of stochastic dynamic programming.
I review my career in marine science chronologically forward from the time that I decided to become a scientist to the present. Among other themes, I illustrate how much of my career was the result of recognizing good...
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I review my career in marine science chronologically forward from the time that I decided to become a scientist to the present. Among other themes, I illustrate how much of my career was the result of recognizing good opportunities rather than specific plans, the role that search problems have played in my career, and the power of mathematical methods to allow us to find commonalities in systems appears totally different. I discuss in detail my involvement in the International Court of Justice between Australia and Japan concerning special permit whaling in the Antarctic and conclude with my current activities-showing that surprises can happen at any point in a career.
Informed conservation and management of wildlife require sufficient monitoring to understand population dynamics and to direct conservation actions. Because resources available for monitoring are limited, conservation...
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Informed conservation and management of wildlife require sufficient monitoring to understand population dynamics and to direct conservation actions. Because resources available for monitoring are limited, conservation practitioners must strive to make monitoring as cost-effective as possible. Our focus was on assessing the value of monitoring to the adaptive harvest management (AHM) programme for pink-footed geese Anser brachyrhynchus. We conducted a retrospective analysis to assess the costs and benefits of a capture-mark-resight (CMR) programme, a productivity survey and biannual population censuses. Using all available data, we fit an integrated population model (IPM) and assumed that inference derived from it represented the benchmark against which reduced monitoring was to be judged. We then fit IPMs to reduced sets of monitoring data and compared their estimates of demographic parameters and expected management performance against the benchmark IPM. Costs and the precision and accuracy of key demographic parameters decreased with the elimination of monitoring data. Eliminating the CMR programme, while maintaining other monitoring instruments, resulted in the greatest cost savings, usually with small effects on inferential reliability. Productivity surveys were also expensive and some reduction in survey effort may be warranted. The biannual censuses were inexpensive and generally increased inferential reliability. The expected performance of AHM strategies was surprisingly robust to a loss of monitoring data. We attribute this result to explicit consideration of parametric uncertainty in harvest-strategy optimization and the fact that a broad range of population sizes is acceptable to stakeholders. Synthesis and applications. Our study suggests that existing or potential monitoring instruments for wildlife populations should be scrutinized as to their cost-effectiveness for improving biological inference and management performance. Using Svalbard pink-footed g
Most optimal foraging models assume that the foraging behaviour of small birds depends on a single state variable, their energy reserves in the form of stored fat. Here, we include a second state variable-the contents...
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Most optimal foraging models assume that the foraging behaviour of small birds depends on a single state variable, their energy reserves in the form of stored fat. Here, we include a second state variable-the contents of the bird's gut to investigate how a bird should optimise its gut size to minimise its long-term mortality, depending on the availability of food, the size of meal and the bird's digestive constraints. Our results show that (1) the current level of fat is never less important than gut contents in determining the bird's survival;(2) there exists a unique optimal gut size, which is determined by a trade-off between the energetic gains and costs of maintaining a large digestive system;(3) the optimal gut size increases as the bird's digestive cycle becomes slower, allowing the bird to store undigested food;(4) the critical environmental factor for determining the optimal gut size is the mass of food found in a successful foraging effort ("meal size"). We find that when the environment is harsh, it is optimal for the bird to maintain a gut that is larger than the size of a meal. However, the optimal size of the gut in rich environments exactly matches the meal size (i.e. the mass of food that the optimal gut can carry is exactly the mass of food that can be obtained in a successful foraging attempt). (C) 2018 Published by Elsevier Ltd.
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