• Management Science and Financial Engineering
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• v.18 no.2
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• pp.1-4
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• 2012

We study optimal trading strategy of a market maker with stock inventory. Following Avellaneda and Stoikov (2008), we assume the stock price follows a normal distribution. However, we take a constant expected rate of the stock return and assume that the stock volatility is an inverse function of the stock price level. We show that the optimal bid-ask spread of the market maker is wider for a higher expected rate of stock returns.

• Asian-Australasian Journal of Animal Sciences
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• v.13 no.10
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• pp.1461-1466
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• 2000

The use of the dairy male calf for beef production has been found to be economically unprofitable during the past due to high cost of feeds and relatively low beef price. However, due to current shortage of domestic beef supply and rising beef price, this research aimed to assess feeding methods and costs and returns in raising dairy male calves for beef production under changing economic conditions. Two diets were compared: calves on an optimal feeding level were given milk replacer for 44 d and a concentrate (with ad lib. hay) to 150 kg bodyweight that contained 16% crude protein; those given a sub-optimal diet, more appropriate for smallholder farms, received milk replacer for 30 d and 14% CP concentrate. Twelve pairs of dairy male calves (average age 32 days) of Holstein-Friesian high grades were used, each pair having similar influencing factors such as weight, age, and genotype. Each animal was kept in a separate feeding stall until reaching the final weight of 150 kg. The results from this experiment showed that the differences of traits concerning growth performance and feed efficiency of the animals raised under the two feeding regimes were statistically nonsignificant. The optimal group was just slightly better, but the cost of production of the sub-optimal group was 24 percent lower (4,667 vs. 6,144 baht per animal) and the cost difference was highly significant. The results from this investigation showed that beef production from dairy male calves can be economically viable when sub-optimal feeding method is used and market beef price is at current level.

• Journal of Korean Institute of Industrial Engineers
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• v.23 no.3
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• pp.545-557
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• 1997

This paper deals with dynamic optimal pricing for new products by a firm which maximizes the discounted profit stream of it's own in a duopoly. The problem is constructed as differential games and dynamic optimization theory. Cost is assumed to decline as time goes on. A modified customer's choice model is formulated as a diffusion model and we solve a dynamic optimization problem by adopting the diffusion model. Since this paper focus on deriving real prices not showing a time trend, we formulate recursive form equations of costate variables(shadow price) and a simultaneous equation of price. Hence we derive a dynamic optimal pricing model for using in real market. In particular, we construct a dynamic optimal pricing model in the case that there are benefits from not only new subscribers but also previous subscribers. We analyze instant camera market in U.S.A(1976-1985) by utilizing the above model.

• Journal of the Korean Regional Science Association
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• v.13 no.2
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• pp.75-92
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• 1997

This paper is concerned with an estimation of optimal investment of road sector in 1996-2005. The main method is a Computable General Equilibrium (CGE) Model for Korea in which the optimal solution is derived in a recursively dynamic path. The model is composed of three main modules: the supply, the demand and the price. In this paper, the investment demand for the road is optimized with subject to national economic growth and price inflation. If the annual inflation level and the economic growth rate during 1996-2005 are set to 4.5%-5.0% and 6.0%-6.5% respectively, the optimal demand for the road investment is estimated as 155.1-180.1 trillion Won or 3.33%-3.89% of the GDP for ten years. It implies that the additional increase of the road investment by 0.61%-1.15% of the GDP is required for sustainable economic development, since the share of the road investment in the GDP of the latest 5 years has stayed around 2.27%. However, it is necessary to reduce construction investments on housing as well as to promote private financing of the road in order to maximize an efficiency of resource allocation.

• Journal of the military operations research society of Korea
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• v.14 no.1
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• pp.63-83
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• 1988

This study is concerned with the equilibrium bidding strategy and the optimal auction design of sequential auction with a reserve price and an entry fee. It is assumed that each bidder has a fixed reservation value and draws the reservation values of other bidders independently in the same distribution and may obtain at most one object to be sold. Under such assumptions, the sequential auction will be analyzed by the game theoretic approach. The purpose of this paper is, in the sequential auction, to find the equilibrium bidding strategy and to design the optimal auction under the equilibrium bidding strategy. The equilibrium bidding strategy and the optimal auction design are further analyzed with respect to change of the reserve price, the entry fee, and the number of bidders and objects. Specially, the auctioneer's expected revenue for each auction is obtained and analyzed.

• Journal of the military operations research society of Korea
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• v.13 no.2
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• pp.63-83
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• 1987

This study is concerned with the equilibrium bidding strategy and the optimal auction design of sequential auction with a reserve price and an entry fee. It is assumed that each bidder has a fixed reservation value and draws the reservation values of other bidders independently in the same distribution and may obtain at most one object to be sold. Under such assumptions, the sequential auction will be analyzed by the game theoretic approach. The purpose of this paper is, in the sequential auction, to find the equilibrium bidding strategy and to design the optimal auction under the equilibrium bidding strategy. The equilibrium bidding strategy and the optimal auction design are further analyzed with respect to change of the reserve price, the entry fee, and the number of bidders and objects. Specially, the auctioneer's expected revenue for each auction is obtained and analyzed.

• Journal of the Korea Society of Computer and Information
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• v.28 no.2
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• pp.201-207
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• 2023

In this paper, we propose an optimal model for mid to long-term price prediction of agricultural products using LGBM, MLP, LSTM, and GRU to compare and analyze the three strategies of the Multi-Step Time Series. The proposed model is designed to find the optimal combination between the models by selecting methods from various angles. Prior agricultural product price prediction studies have mainly adopted traditional econometric models such as ARIMA and LSTM-type models. In contrast, agricultural product price prediction studies related to Multi-Step Time Series were minimal. In this study, the experiment was conducted by dividing it into two periods according to the degree of volatility of agricultural product prices. As a result of the mid-to-long-term price prediction of three strategies, namely direct, hybrid, and multiple outputs, the hybrid approach showed relatively superior performance. This study academically and practically contributes to mid-to-long term daily price prediction by proposing an effective alternative.

• Journal of the Korean Operations Research and Management Science Society
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• v.25 no.2
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• pp.23-31
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• 2000

Many studies in marketing and economics have attempted to model price and sales path under the dynamic diffusion process. Most of these models have been based on a fixed product lifetime. The current business climate requiring intensive development of new products however affects the diffusion of new products and their lifetime. Many products have not enjoyed the expected life cycle at the launching stage due to intense technical development competitive reactions, and financial problems. Most diffusion models however have not taken account of the lifetime uncertainty of new product. If the products do not last over the planning horizon set by those models. the optimal price derived from them could be futile. Therefore we had better take such lifetime uncertainty into consideration when developing diffusion models, In this paper we study the impact of uncertain product lifetime on its optimal pricing path in non-competitive market. We develop an optimal pricing model under uncertain product lifetimes and conduct a simulation study to investigate their effects on the optimal pricing and corresponding sales paths. The simulation study provides some interesting findings on optimal pricing policy under uncertain product lifetime. This study could be a stepping stone for the further extended study of optimal pricing strategy with uncertain product lifetime.

• International Area Studies Review
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• v.13 no.2
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• pp.66-88
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• 2009

This paper studies optimal discretionary monetary policy in the presence of uncertainty in the housing sector. In particular, we allow two possible regimes regarding the evolution of housing price inflation and the effects of housing price inflation on the aggregate demand. Estimation results with the US data confirm the presence of two distinctive regimes, one 'normal' and the other more akin to the housing price 'bubble' state. The optimal policy is 'asymmetric' in that the optimal responses in the 'normal' regime require the central bank to lean against the wind to inflationary pressure from CPI and housing inflation, while the central bank is recommended to accommodate it in the other regime.

• Environmental and Resource Economics Review
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• v.19 no.4
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• pp.829-852
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• 2010

The investment in Clean Development Mechanism (CDM) projects is increasing rapidly as the first implementation period began in 2008. This paper examines on the optimal level of primary Certified Emission Reduction (CER) price, subsidiary original projects investment cost and expected issues CER per year, using UNFCCC CDM Project Design Document (PDD) data. Real option model is developed to incorporate a case where the investment is irreversible and underlying asset price is uncertainty. This study employs Real option approach which allow the optimal level regard as economic feasibility of CER price has analyzed with NPV (Net Present Value) and Black-Scholes call option(Real option) value. Finally, CER supply curve and price elasticity of supply are estimated.