Stochastic Models
Mostrando 1-12 de 268 artigos, teses e dissertações.
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1. Testing the consumption-based CAPM using the stochastic discount factor
Abstract This article investigates the problem of optimal intertemporal consumption in the CCAPM setup from a new empirical perspective. The econometric analysis is based on use of the equality between the stochastic discount factor (SDF) and the marginal rate of intertemporal substitution of consumption, which in the CCAPM is equivalent to the Euler equatio
Revista Brasileira de Economia. Publicado em: 2022
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2. Governance and financial efficiency of Brazilian credit unions
Abstract Purpose This paper aims to evaluate the relation between governance and financial efficiency of credit unions in Brazil. The study shows how poor financial efficiency in credit unions may result from undesirable configurations in executive management and other variables related to governance. Design/methodology/approach The study develops an innov
RAUSP Manag. J.. Publicado em: 2020-09
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3. THE EM ALGORITHM FOR STANDARD STOCHASTIC FRONTIER MODELS
ABSTRACT The Expectation-Maximization (EM) algorithm is developed for the stochastic frontier models most used in practice with cross-section data. The resulting algorithms can be easily programmed into a computer and are shown to be worthy alternatives to general-purpose optimization routines currently used. The algorithms for the half normal and the expone
Pesqui. Oper.. Publicado em: 02/12/2019
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4. Direct sequencing of blocks in stochastic models with multi-mines and multi-destinations
Abstract Mining Scheduling is the one that maximizes profit from mining over time. By means of computational methods, the deposit is discretized in blocks and algorithms are used to consummate this objective. The methods that are widely known nowadays for mining scheduling optimization of a discrete block model were based on graph theory, and among those mos
REM, Int. Eng. J.. Publicado em: 16/09/2019
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5. Geração de Curvas IDFs para Cenários Projetados na Cidade de Porto Alegre/RS
Resumo O aumento na frequência de eventos extremos associados às alterações climáticas podem modificar as curvas IDFs existentes. A metodologia para definição de curvas IDF considerando cenários futuros consistiu em calibrar o modelo estocástico para gerar séries sintéticas diárias de precipitação com base em dados observados do município de P
Rev. bras. meteorol.. Publicado em: 05/08/2019
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6. A stochastic approach for measuring the uncertainty of claims reserves
RESUMO Este trabalho visa a obter métricas para a quantificação da variabilidade das provisões técnicas de sinistros, fazendo uso de modelos determinísticos e estocásticos. Em suma, tudo o que os métodos tradicionais não fornecem (medidas de variabilidade e de insuficiência de capital) são de fundamental importância para uma gestão atuarial efic
Rev. contab. finanç.. Publicado em: 27/06/2019
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7. Lessons and perspectives for applications of stochastic models in biological and cancer research
The effects of randomness, an unavoidable feature of intracellular environments, are observed at higher hierarchical levels of living matter organization, such as cells, tissues, and organisms. Additionally, the many compounds interacting as a well-orchestrated network of reactions increase the difficulties of assessing these systems using only experiments.
Clinics. Publicado em: 21/09/2018
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8. Temporal assessment of microbial communities in soils of two contrasting mangroves
ABSTRACT Variations in microbial communities promoted by alterations in environmental conditions are reflected in similarities/differences both at taxonomic and functional levels. Here we used a natural gradient within mangroves from seashore to upland, to contrast the natural variability in bacteria, cyanobacteria and diazotroph assemblages in a pristine ar
Braz. J. Microbiol.. Publicado em: 2018-03
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9. PERIODIC REVIEW SYSTEM FOR INVENTORY REPLENISHMENT CONTROL FOR A TWO-ECHELON LOGISTICS NETWORK UNDER DEMAND UNCERTAINTY: A TWO-STAGE STOCHASTIC PROGRAMING APPROACH
ABSTRACT Here, we propose a novel methodology for replenishment and control systems for inventories of two-echelon logistics networks using a two-stage stochastic programming, considering periodic review and uncertain demands. In addition, to achieve better customer services, we introduce a variable rationing rule to address quantities of the item in short.
Pesqui. Oper.. Publicado em: 2017-08
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10. Modeling Bayesian Networks from a conceptual framework for occupational risk analysis
Abstract Occupational risk is the possibility that some element included in a particular work environment can cause damage to someone’s health. Thereby, the risk is understood as the product of probability and consequences. In this sense, risk analysis through probabilistic stochastic techniques, such as Bayesian networks (BN), becomes an important tool to
Prod.. Publicado em: 20/07/2017
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11. A COMPARATIVE STUDY OF STOCHASTIC QUADRATIC PROGRAMMING AND OPTIMAL CONTROL MODEL IN PRODUCTION-INVENTORY SYSTEM WITH STOCHASTIC DEMAND
ABSTRACT This study compares the optimal control model and stochastic quadratic programming (SQP) model of a production-inventory system. A single product, without shortage in the case of a periodic-review policy with stochastic demand and deterioration rate as a function of time, is discussed. The items are subjected to deterioration via storage and the inv
Pesqui. Oper.. Publicado em: 2017-01
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12. USE OF STOCHASTIC VOLATILITY MODELS IN THE VARIABILITY OF PASSENGERS AND CARGO TRANSPORT IN SOME AIRPORTS IN SÃO PAULO STATE, BRAZIL
ABSTRACT The proposed study is related to the identification of important factors that determine the feasibility of regional airport hubs in São Paulo State, Brazil. This way, new perspectives are created to map airports in this region based on economic criteria of operations and volumes. The study is based on statistical data analysis of time series relate
Pesqui. Oper.. Publicado em: 2017-01