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Business, general

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The generalized Stein - Rubinstein covariance formula and its application to estimate real systematic risk

Article Abstract:

Research on Stein and Rubenstein's covariance formula is described. The formula was generalized to include cases where both variables are functions of multivariate normal random variables. Implicit functions of multivariate normal random variables or nonpolynomials of multivariate normal random variables can be solved with the formula. The research included an application of the formula to the estimation of real systematic risk.

Author: Wei, K.C. John, Lee, Cheng F.
Publisher: Institute for Operations Research and the Management Sciences
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1988
Risk management, Multivariate analysis, Analysis of variance

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A sequential lot sizing heuristic with optimal average performance

Article Abstract:

Research on lot size demand in the present and the future is described. The typical demand is presumed to look like a sequence of independent identically distributed random numbers. A sequential lot sizing rule with optimal average performance has been devised. The situation when the decision rule is used to look forward one period is analyzed.

Author: Axsater, Sven
Publisher: Institute for Operations Research and the Management Sciences
Publication Name: Management Science
Subject: Business, general
ISSN: 0025-1909
Year: 1988
Organizational research, Planning, Production planning, Heuristic programming

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Subjects list: Research, Management science, Analysis
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