Stochastic Optimization and Economic Models / Edition 1

by Jati Sengupta

Overview

This book presents the main applied aspects of shas­ tic optimization in economic models. Shastic processes and control theory are used under optimization to illustrate the various economic implications of optimal decision rules. Unlike econometrics which deals with estimation, this book emphasizes the decision-theoretic basis of uncertainty specified by the shastic point of view. Methods of ap­ plied shastic control using shastic processes have now reached an exciting phase, where several disciplines like systems engineering, operations research and natural reso- ces interact along with the conventional fields such as mathematical economics, finance and control systems. Our objective is to present a critical overview of this broad terrain from a multidisciplinary viewpoint. In this attempt we have at times stressed viewpoints other than the purely economic one. We believe that the economist would find it most profitable to learn from the other disciplines where shastic optimization has been successfully applied. It is in this spirit that we have discussed in some detail the following major areas: A. Portfolio models in ·:finance, B. Differential games under uncertainty, c. Self-tuning regulators, D. Models of renewable resources under uncertainty, and ix x PREFACE E. Nonparametric methods of efficiency measurement. Shastic processes are now increasingly used in economic models to understand the various adaptive behavior implicit in the formulation of expectation and its application in decision rules which are optimum in some sense.

Product Details

ISBN-13:	9789027723017
Publisher:	Springer Netherlands
Publication date:	08/31/1986
Series:	Theory and Decision Library B , #2
Edition description:	1986
Pages:	373
Product dimensions:	6.10(w) x 9.25(h) x 0.04(d)

Table of Contents

I. Econometric Models and Optimal Economic Policy.- II. Shastic Processes in Economic Models.- III. Recent Economic Models in Applied Optimal Control.- IV. Efficient Diversification in Optimal Portfolio Theory.- V. Portfolio Efficiency under Singularity and Orthogonality.- VI. Diversification and Robustness in Portfolio Investment: An Empirical Analysis.- VII. Efficiency Measurement in Nonmarket Systems Through Data Envelopment Analysis.- Author Index.