Real options valuation of forest plantation investments in Brazil

In this paper, we consider investments in eucalyptus plantations in Brazil. For such projects, we discuss real options valuation in the place conventional methods such as IRR or NPV, possibly with CAPM. Traditionally, real options valuation assumes complete markets and neglects market imperfections. Yet, market frictions, such as transaction costs, interest rate spreads, and restricted short positions, can play an important role. We extend real options valuation to allow incomplete and imperfect markets. The value is obtained as a competitive price, given markets of competing investment opportunities, such as real and financial assets. Under perfect and complete markets, such valuation method is consistent with conventional real options theory. Stochastic programming and standard software is used for valuation of eucalyptus plantations. We estimate the underlying interdependent diffusion processes of stock market, interest rates, exchange rates and pulpwood price, and derive novel expressions of stochastic integrals to be employed in scenario generation for discrete time stochastic programming.     

Optimal realignments of the teams in the National Football League

In the fall of 1995, the National Football League expanded for the first time since 1977, adding Carolina to the National Football Conference West division and Jacksonville to the American Football Conference Central division. However, this expansion, coupled with the departure of the Rams and the Raiders from Los Angeles, exacerbated an already inefficient alignment of the teams. This paper presents optimal realignments of the league's thirty teams based on the goal of minimizing total intradivisional travel. These realignments are both fairer and considerably less expensive for the teams than the 1995 alignment.     

On locally finite alternative division rings with valuation

We prove that a locally finite complete alternative division ring with valuation is a field, without using the celebrated theorem of Bruck and Kleinfeld, which classifies all division rings with IP.The author's research is supported by the National Fund for Scientific research (Belgium).     

The solution of the soccer “dream league” game

On January 5, 1996, Maariv, one of the two leading daily newspapers in Israel, announced “The Dream League” game. Every participant in this game was required to “purchase” from a pool of all the soccer players in the Israeli National League, a team which according to his judgment would be chosen as the best team at the end of the season. Purchasing the players was subject to a given budget and to several other constraints. After the soccer season was over, we were requested by Maariv to find the optimal “Dream Team”.The problem of finding the optimal team is shown to be a generalized version of the well-known knapsack problem. It is formulated as an integer program and solved to optimality by the software NAG. Evidently, the optimal Dream Team is much better (in terms of the total cumulative grade) than the actual winning team chosen by the readers of Maariv. A possible heuristic procedure for solving the game in larger settings is also discussed.     

A measure of competitiveness in leagues: a network approach

Many sports are played competitively in a league format. Final positions are based on the aggregations of the points won at each game. Issues of promotion, relegation and much else will depend on the position in the league. However, the results may also be seen to constitute a network of inter-team relations in which the links represent the degree to which a pair of teams have similar performance. This idea is taken as the basis for the construction of a systemic measure of competitiveness in the league. The basis for the model is the construction of a blockmodel on a network of binary relations. The method is illustrated by application to nine seasons of the English soccer Premier League.     

Stampacchia Generalized Vector Quasiequilibrium Problems and Vector Saddle Points

In this paper, Stampacchia generalized vector quasiequilibrium problem and generalized vector loose saddle points for set-valued mappings are introduced. By using the scalarization method and the fixed-point theorem, existence theorems are established.This work was supported by the National Natural Science Foundation of China and the Natural Science Foundation of Jiangxi Province, China. The author is grateful to Professor F. Giannessi and the referee for valuable comments and careful reading improving the original draft.Communicated by F. Giannessi     

A hybrid constraint programming and enumeration approach for solving NHL playoff qualification and elimination problems

Many sports fans invest a great deal of time into watching and analyzing the performance of their favorite team. However, the tools at their disposal are primarily heuristic or based on folk wisdom. We provide a concrete mechanism for calculating the minimum number of points needed to guarantee a playoff spot and the minimum number of points needed to possibly qualify for a playoff spot in the National Hockey League (NHL). Our approach uses a combination of constraint programming, enumeration, network flows and decomposition to solve the problem efficiently. The technique can successfully be applied to any team at any point of the season to determine how well a team must do to make the playoffs.     

New Type of Generalized Vector Quasiequilibrium Problem

In this paper, we introduce a new type of vector quasiequilibrium problem with set-valued mappings and moving cones. By using the scalarization method and fixed-point theorem, we obtain its existence theorem. As applications, we derive some existence theorems for vector variational inequalities and vector complementarity problems. This work was supported by the National Natural Science Foundation of China. The authors are grateful to Professor X.Q. Yang and the referees for valuable comments and suggestions improving the original draft.     

Duality theorem of nondifferentiable convex multiobjective programming

Necessary and sufficient conditions of Fritz John type for Pareto optimality of multiobjective programming problems are derived. This article suggests to establish a Wolfe-type duality theorem for nonlinear, nondifferentiable, convex multiobjective minimization problems. The vector Lagrangian and the generalized saddle point for Pareto optimality are studied. Some previously known results are shown to be special cases of the results described in this paper.This research was partly supported by the National Science Council, Taipei, ROC.The authors would like to thank the two referees for their valuable suggestions on the original draft.     

On the pricing of American options

The problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of Bensoussan [1]. We offer an approach which both simplifies and extends the results of existing theory on this topic.Research supported in part by the National Science Foundation under Grant No. NSF-DMS-84-16736 and by the Air Force Office of Scientific Research under Grant No. F49620-85-C-0144.     

An analysis of Chinese Super League partial results

Some of the history of soccer/world football in China is presented. Then consideration turns to the 2008 Chinese Super League. It has 16 teams. The results from the first half of the season, i.e. 15 rounds, are studied. The response of interest for a specific game is whether the home team won, tied or lost, who the home team was, and who the opponent was. The response is ordinal-valued. A generalized linear model is fit and then, given the remaining fixtures, used to predict the final standings of the season. Other explanatories, such as round number, are considered for inclusion in the model. Simulation is employed to estimate probabilities of interest. This work was supported by US National Science Foundation (Grant No. DMS-0707157)     

Optimal catalyst concentration profile for bifunctional catalysts

The optimal catalyst profile for a consecutive reaction scheme (where the first reaction is promoted by a catalyst of one type, and the second by a catalyst of a different type) is determined by use of the Pontryagin maximum principle. Solutions are obtained for nonlinear reaction rate expressions. The optimal concentration profile can be obtained by relatively simple numerical computation and does not necessitate the solving of a two-point boundary-value problem.Professor C. Crowe, McMaster University, suggested several inprovements to the original draft of this paper. This paper is published with the approval of the Director of the National Institute for Metallurgy.     

Valuations on PTR's induced by triangle buildings

A valuation v (in the sense of [10]) is defined on all coordinatizing planar ternary rings (R, T) of any projective plane which can be thought of as the spherical building at infinity of a triangle building. It is shown that (R, T) is complete with respect to v.The author's research was supported by the National Fund for Scientific Research (Belgium).     

平均值组合评价方法的优良性研究

综合评价方法广泛应用于教育、管理等很多领域.在一定程度上可以说综合评价的结果是决策的基础.因此选用好的综合评价方法非常重要.提出了一种新的综合评价方法:平均值组合评价方法.这种方法在一定程度上克服了单一综合评价方法的片面性.研究结果还表明所提的平均值组合评价方法在平方损失函数和兼容度两种标准下具有优良性.     

Generalized quadrangles with valuation

We show that the class of generalized quadranges with valuation (as defined in [13]) coincides with the class of the generalized quadrangles associated with the building at infinity of affine buildings of type (up to duality).Dedicated to Prof. Dr J. Tits on the occasion of his sixtieth birthdayThe author is Research Associate at the National Fund of Scientific Research (Belgium).     

基于清单计价的大型体育场馆项目计价研究与应用

大型体育场馆结构新颖复杂、造型独特,其工程计价没有相应的定额可套用,给工程计价带来很大的困难.以清单综合单价组成与确定为基础,从工程计价要素"消耗量"的构成与影响因素,"单价"的确定与影响因素出发,结合实际工程案例,探讨没有适用或类似定额项目的"消耗量"测定与"单价"确定的过程与方法,并提出大型体育场馆项目计价应遵循动态管理、简明实用原则,及独立第三方参与工程计价管理机制,为大型体育场馆项目计价提供思路.     

Extensions of Stochastic Optimization Results to Problems with System Failure Probability Functions

We derive an implementable algorithm for solving nonlinear stochastic optimization problems with failure probability constraints using sample average approximations. The paper extends prior results dealing with a failure probability expressed by a single measure to the case of failure probability expressed in terms of multiple performance measures. We also present a new formula for the failure probability gradient. A numerical example addressing the optimal design of a reinforced concrete highway bridge illustrates the algorithm. This work was sponsored by the Research Associateship Program, National Research Council. The authors are grateful for the valuable insight from Professors Alexander Shapiro, Evarist Gine, and Jon A. Wellner. The authors also thank Professor Tito Homem-de-Mello for commenting on an early draft of this paper.     

Ranking of Sports Teams via the AHP

This paper presents an application of the analytic hierarchy approach (AHP) to predict the ranking of the 16 soccer teams of the Israeli National League. Six criteria (attributes) were used for evaluating each team: the team's facility, the team's trainer, the players' level, the team's fans, the previous season's performance and the current performance. For each criterion a matrix of pairwise comparisons between teams was evaluated by a sports expert. The normalized eigenvector of each matrix scales the teams with regard to that criterion. The overall scaling is constructed by weighting the scales of all the criteria. The weight of the criteria are extracted from a judgemental matrix of pairwise comparisons between every two criteria. The normalized eigenvector of this matrix provides the criteria weights. Some comparisons to simpler ranking methods were made in order to validate the model.     

Modelling aesthetic variables in the valuation of paintings: an interval goal programming approach

The economic valuation of works of art is a decisive subject in the general field of valuation. Unlike in other areas of valuation, the explanatory power of the directly observable and quantifiable variables is very low, therefore, aesthetic criteria must be used to obtain valuation models with a greater explanatory power. Frequently, these aesthetic criteria are not always precise, and experts usually express them as an interval of values. This paper describes different valuation models that use the goal programming optimisation method to include explanatory variables of the closing price in the form of intervals of values. We have also modelled the possibility that an expert can determine the relevance of each observation in the formation of the valuation function depending on the degree of precision with which the variables have been defined.     

Stochastic programs with recourse: An upper bound and the related moment problem

The probability measureP ^O on multidimensional intervals in the extension of the Edmundson-Madansky upper bound for stochastically dependent random variables, derived recently in [7], is shown to be the uniquely determined extremal solution of a particular multivariate moment problem. A necessary and sufficient condition for the feasibility of this moment problem is derived, which is shown to coincide for the univariate moment problem with the simplex containing the moment space (see [15]).A first draft of this paper was written during the authors stay at the Mathematics Research Center, University of Wisconsin-Madison, during January 1986, with support by the National Science Foundation, Grant No. DCR-8502202; the generous support by these institutions is greatly appreciated.