targets

Managing Operational and Financing Decisions to Meet Consumption Targets

  • Lucy Gongtao Chen
  • Zhuoyu Long
  • Melvyn Sim
    • Categories Applications - OR and Management Sciences, Dynamic Programming Tags , , ,

    We study dynamic operational decision problems where risky cash flows are being resolved over a finite planning horizon. Financing decisions via lending and borrowing are available to smooth out consumptions over time with the goal of achieving some prescribed consumption targets. Our target-oriented decision criterion is based on the aggregation of Aumann and Serrano (2008) … Read more

    Satisficing measures for analysis of risky positions

  • David B. Brown
  • Melvyn Sim
    • Categories Finance and Economics Tags , , , , , ,

    In this work we introduce a class of measures for evaluating the quality of financial positions based on their ability to achieve desired financial goals. In the spirit of Simon (1959), we call these measures satisficing measures and show that they are dual to classes of risk measures. This approach has the advantage that aspiration … Read more