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Now showing items 21-29 of 29
Risk management for mathematical optimization under uncertainty
(2016)
We present a general multistage stochastic mixed 0-1 problem where the uncertainty appears everywhere in the objective function, constraints matrix and right-hand-side. The uncertainty is represented by a scenario tree ...
Conditional beta pricing models: A nonparametric approach
(2010)
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances ...
Generating cluster submodels from a multistage stochastic mixed integer optimization model using break stage
(2013-07)
We present a scheme to generate clusters submodels with stage ordering from a (symmetric or a
nonsymmetric one) multistage stochastic mixed integer optimization model using break stage. We
consider a stochastic model ...
Measuring the Effect of the Real Estate Bubble: a House Price Index for Bilbao
(2011-11)
A spatio-temporal model is proposed aimed at producing an index of housing prices. A hedonic model with geographically varying coefficients is coupled with a non parametric estimation of the trend, whence a price index is derived.
Landscape valuation through discrete choice experiments: Current practice and future research reflections
(2012)
The Discrete Choice Experiments (DCEs) are a fast growing landscape valuation technique. This paper describes some recent applications implemented in this field and
identifies their attributes, levels, payment vehicles, ...
The management of Natura 2000 Network sites: a discrete choice experiment approach
(2011)
One of the main problems that public institutions face in the management of protected areas, such as the European Natura 2000 network, is how to design and implement sustainable management plans accounting both for the ...
Selecting random parameters in discrete choice experiment for environmental valuation: A simulation experiment
(2010)
This paper examines the various tests commonly used to select random parameters in choice modelling. The most common procedures for selecting random parameters are: the Lagrange Multiplier test as proposed by McFadden and ...
Time-Varying Beta Estimators in the Mexican Emerging Market
(2011)
This paper compares the performance of three different time-varying betas that have never
previously been compared: the rolling OLS estimator, a nonparametric estimator and an
estimator based on GARCH models. The study ...
Comparing the performance of different approaches to deal with attribute non-attendance in discrete choice experiments: a simulation experiment
(2010)
There is a growing body of literature acknowledging that respondents to DCE often use simplifying strategies, like ignoring one or several attributes to provide with their choices. Two main approaches have appeared to ...