Bücher der Reihe Lecture Notes in Economics and Mathematical Systems

5th Werner Kern Award for Productivity Research 2005Kanban control systems bear a great potential to significantly improve operations. We propose an innovative construction-kit approach that enables us to build stochastic analytical models of a large class of single- and multi-product kanban systems.

The CASPT 2000 is the continuation of aseries of international workshops and conferences presenting recent research and progress in computer-aided scheduling in public transport.Previous workshops and conferences were held in * Chicago (1975), * Leeds (1980), * Montreal (1983 and 1990), * Hamburg (1987), * Lisbon (1993) and * Cambridge, Mass.

This book proposes an integrated approach to patent risk and capital budgeting in pharmaceutical research and development (R and D), developing an option-based view (OBV) of imperfect patent protection, which draws upon contingent-claims analysis, stochastic game theory, as well as novel numerical methods.

During the development of modern probability theory in the 17th cen tury it was commonly held that the attractiveness of a gamble offering the payoffs :1:17 *** ,:l: with probabilities Pl, .

This book has been written as a doctoral dissertation at the Department of Economics at the University of Konstanz. I am indebted to my supervisor Winfried Pohlmeier for providing a stimulating and pleasant research en- ronment and his continuous support during my doctoral studies. I strongly bene?tted from inspiring discussions with him, his valuable advices and he- ful comments regarding the contents and the exposition of this book. I am grateful to Luc Bauwens for refereeing my work as a second super- sor. Moreover, I wish to thank him for o?ering me the possibility of a research visit at the Center of Operations Research and Econometrics (CORE) at the Universit¿ e Catholique de Louvain. Important parts of this book have been conceived during this period. Similarly, I am grateful to Tony Hall who invited me for a research visit at the University of Technology, Sydney, and provided me access to an excellent database from the Australian Stock Exchange. I would like to thank him for his valuable support and the permission to use this data for empirical studies in this book. I wish to thank my colleagues at the University of Konstanz Frank G- hard,DieterHess,JoachimInkmann,MarkusJochmann,StefanKlotz,Sandra Lechner and Ingmar Nolte who o?ered me advice, inspiration, friendship and successfulco-operations.Moreover,Iamgratefultothestudentresearchass- tantsat the Chair of Econometrics at the University of Konstanz, particularly Magdalena Ramada Sarasola, Danielle Tucker and Nadine Warmuth who did a lot of editing work.

The integration of product recovery into regular production processes enables new opportunities for cost savings. In case of a dynamic planning situation, for instance when dealing with seasonality or the product life cycle, new motives for keeping stock arise.

The text presents a quick (but by no means "dirty") road to the tools required for advanced finance in continuous time, including option pricing by martingale methods, term structure models in a HJM-framework and the Libor market model.

In preparing this workshop we selected two main approaches (as reflected In the title of this book) that have been proposed In the last ten years to deal with the causes of long term fluctuations, namely the **technologlcal"' (or neo SchumpeterlanLapproach and the "'social"' approsch.

We can distinguish between games which focus on strategic elements like games with incomplete information (see, for example, P'ng (1983), Samuelson (1982) and Schweizer (1989" and decision-theoretic models neglecting strategic elements (see, for example, Landes (1971) and Gould (1973".

The first article, which comprises Chapter 1, provides a general introduction to the topic of dynamic and differential game theory, discusses various noncooperative equilibrium solution concepts, includ ing Nash, Stackelberg, and Consistent Conjectural Variations equilibria, and a number of issues such as feedback and time-consistency.

In this association, the individual activities of the project correspond to the arcs, the so-called proj ect events (beginning or termination of activities) correspond to the nodes, and the durations of the activities correspond to the weights of the respective arcs of the directed graph.

This book is written for those seeking a decision theory appropriate for use in serious choices such as insurance. It employs stages of knowledge ahead to track satisfactions and dissatisfactions. From experimental and questionnaire data, people take into account such stages of knowledge ahead satisfactions and dissatisfactions.

My recent books, Capital and Knowledge (Zhang, 1999) and A TheoryofInternational Trade (Zhang, 2000) show how separate economic theories such as the Marxian economics, the Keynesian economics, the general equilibrium theory, the neoclassical growth theory, and the neoclassical trade theory can be examined within a single theoretical framework.

In our daily life, almost every family owns a portfolio of assets. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented.

During my time at the Institute for Operations Research of the University of St. Gallen (lfU-HSG) I had the opportunity to participate in the project "RiskLab" which provides a very profitable link between finance practice and academics.

While this ideal form of diversification can not be implemented due to the imperfection of capital markets, one can design a typical Pay-As-You-Go system in such a way that it allows for the same intertemporal consumption allocations as the first-best solution.

The USV models postulate a correlation between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a deterministic correlation structure between bond prices of different terms.

Specifically, we will be consid ering n-person games in which there is a set of feasible alternatives, any one of which can be the outcome of bargaining if it is agreed to by all the bargainers.

There is convergent consensus among scientists that many social, economic and ?nancial phenomena can be described by a network of agents and their inter- tions.

The authors have written a rigorous yet elementary and self-contained book to present, in a unified framework, generalized convex functions. The book also includes numerous exercises and two appendices which list the findings consulted.

Most of the existing portfolio selection models are based on the probability theory. By using fuzzy mathematical approaches, quan- tative analysis, qualitative analysis, the experts' knowledge and the investors' subjective opinions can be better integrated into a portfolio selection model.

Valuing portfolios of options embedded in investment decisions is arguably one of the most important and challenging problems in real options and corporate ?nance in general.

This book proposes capacity options as a flexible alternative air cargo contract type, and illustrates how capacity can be priced through option contracts. Finally, the author shows how capacity-option contracts integrate into the context of air cargo revenue management.

As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters.

Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.

Provides an overview of research done in optimization and related areas, such as optimal control, calculus of variations, and game theory. This work addresses abstract issues of optimization theory and is also concerned with the modeling and computer resolution of specific optimization problems arising in industry and applied sciences.

This book will be of interest to all those interested in the foundations of collective social and economic behaviour and in particular, to those concerned with the dynamics of market behaviour and recent applications of physics to economics.

This book investigates bargaining between two agents. Which particular concept is implemented in a given society is also a matter of bargaining, and it is of special philosophical interest to investigate which bargain will be struck in an ideal society in which individual talents and resources are not yet known.

The first attempts to develop a utility theory for choice situations under risk were undertaken by Cramer (1728) and Bernoulli (1738). 199-201) proposed that the expected monetary value has to be replaced by the expected utility ("moral expectation") as the relevant criterion for decision making under risk.

This book is on applications of game theory. The second chapter deals with discrete search games where both players act simultaneously: the games of protection of a channel from infiltration of a submarine, the submarine versus helicopter game, the matrix search games and others.