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Úlohy stochastického programování s lineární kompensací: Aplikace na problematiku dvou manažérů
Kaňková, Vlasta
Stochastic programming problems with recourse are a composition of two (outer and inner) optimization problems. A solution of the outer problem depends on the "underlying" probability measure while a solution of the inner problem depends on the solution of the outer problem and on the random element realization. Evidently, a position and optimal behaviour of two managers can (in many cases) be described by this type of the model in which an optimal behaviour of the main manager is determined by the outer problem while the optimal behaviour of the second manager is described by the inner problem. We focus on an investigation of the inner problem.
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Stabilita úloh stochastického programování s lineární kompenzací
Kaňková, Vlasta
Stochastic programming problems with recourse is a composition of inner and outer optimization problems. A solution of the outer problem depends on the "underlying" probability measure, a solution of inner problem depends on the solution of the outer problem and on the random element realization. Consequently (in the case of the optimal solution of the outer problem) the optimal value and the solution of the inner problem depend also on the probability measure. The aim is to investigate this dependence.
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Model malé otevřené ekonomiky a možnost komplexnějšího dynamického chování
Kodera, J. ; Sladký, Karel ; Vošvrda, Miloslav
The purpose of this paper is study a three-equation dynamic model. The first equation describes commodity market. The second one demonstrates the dynamics of money market and the third equation is the interest rate parity. The task is to investigate the conditions of more complex behaviour of the model and its dependence on the money stock. The more complex dynamic behaviour, i.e., limit cycle, could appear by adding nonlinear perturbations in the investment demand function.
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Ekonomické procesy a empirická data
Kaňková, Vlasta
Optimizatiom problems depending on a completely unknown probability measure are considered. In particular, there are considered optimization problems with objective functions in a form mathematical expectation of functions depednding on a random parameter. In such situations, usually, an empirical measure replaced the theoretical one. The aim of the paper is to discuss corresponding estimates of the optimal value and optimal solution based on the independent as well as on some types od dependent data.
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Heterogeneous agent models
Vošvrda, Miloslav ; Vácha, Lukáš
The Efficient Markets Hypothesis provides a theoretical basis for trading rules. Fundamentalists rely on their model employing fundamental information basis to forecasting of the next price period. The traders determine whether current conditions call for the acquisition of fundamental information in a forward looking manners, rather than relying on past performance.
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Stochastic optimization problems and dependent data
Kaňková, Vlasta
It is well-known that empirical estimates are usually employed when it is necessary to solve a stochastic decision problem depending on a completely unknown probability measure. The aim of this paper is to recall and summarize some rather new results achieved for dependent data that correspond rather often to economic activities.
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Extended Kalecki-Kaldor model revisited
Kodera, Jan ; Sladký, Karel ; Vošvrda, Miloslav
This contribution is devoted to an extended Kalecki-Kaldor model. Differential equations for the development of the real product (output) and capital stock of the economy are formulated for a given value of the inflation rate. A dynamical model of money market is considered either the LM model or the Fisherian model. Stability and robustness are analysed for the complete model.
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