A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy

2019 ◽  
Vol 42 (1) ◽  
pp. 259-276
Author(s):  
José L. Vilar-Zanón ◽  
Olivia Peraita-Ezcurra
Author(s):  
Watheq Hayawi Laith

The decision making process is the essence of the administrative process and its means of achieving the goals of the service organizations or productivity because the decision contributes mainly to enable them to carry out their administrative activities efficiently and effectively. The assignment process is one of the most important problems affecting the organizations performance because to determine the administrative composition of the organization. The correct decision making to the assignment problem and the right person in the right place will increase the efficiency and effectiveness of the organization. The previous methods to solve these problems depend on a single criterion such as cost, profit, time and so on. In this paper, three models were formulated for the of multi-criteria assignment problem. The first model multiple objective for present assignment problem when the assignment matrix is square, while the second and third models are a non-square assignment problem. The second model is the number of rows is greater than the number of columns while the third model where the number of columns larger than the rows. The second model is applied to the assignment problem of unit managers in the college of Administration and Economics based on two criteria: deferring the employee's desire to leader of task and the other criterion of assignment cost and using goal programming method. The data were collected by questionnaire.


2004 ◽  
Vol 113 (1) ◽  
pp. 3-16 ◽  
Author(s):  
Bijan Esfandiari ◽  
Mir Bahador Aryanezhad ◽  
S. Amir Abrishamifar

2018 ◽  
pp. 97-102
Author(s):  
Ruben Gevorgyan ◽  
Narek Margaryan

In the following paper, we will define conditions, which need to be satisfied in order for the maximum entropy problem applied in European call options to have a solution in a general n-dimensional case. We will also find a minimum right boundary for the price range in order to have at least one risk neutral measure satisfying the option pricing formula. The results significantly reduce the computational time of optimization algorithms used in maximum entropy problem.


2021 ◽  
Vol 22 (2) ◽  
pp. 85
Author(s):  
Fitriani Utina ◽  
Lailany Yahya ◽  
Nurwan Nurwan

Nurse scheduling is one of the problems that often arise in hospital management systems. Head of ICU room and nurse to cooperate in making good nurse scheduling for the creation of optimal service. In this paper, we study a hospital nurse schedule design by considering the level of nurse education and the provision of holidays. Nurses with undergraduate education (S1) Nurses become leaders on every shift and are accompanied by nurses with diploma education (D3). The scheduling model in this study using the nonpreemptive goal programming method and LINGO 11.0 software. The preparation of the schedule of nurses assigned to this method can optimize the need for efficient nurses per shift based on education level. The data in the research was obtained by collecting administrative data at Aloei Saboe Gorontalo hospital. The data used are the published schedule by the head of the ICU room. In making a nurse schedule, there are limitations to consider such ashospital regulation. The results of the study obtained an optimal solution in the form of meeting all the desired obstacles. Computational results shows that nurse scheduling using the nonpreemptive goal programming method and LINGO 11.0 software better than the schedule created manually. Every shift is a maximum of one leader with an undergraduate education (S1) background and accompanied by a nurse with a diploma education (D3) background. Keywords: scheduling, goal programming, nonpreemptive goal programming.


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