The first is an approximate approach based on an equivalent annual cost measure, and the second is a procedure for systematic improvement of the approximate solution. The method for improvement is ...

Guoming Lai, François Margot, Nicola Secomandi, An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation, Operations Research, Vol. 58, No.

Previous approaches have been based on the assumption of normality and so the approximate approach defended by Jorion (1996, 2001) and Chappell and Dowd (1999) may need refinement. We also carry out ...

Is maximum likelihood suitable for factor models in large cross-sections of time series? We answer this question from both an asymptotic and an empirical perspective. We show that estimates of the ...