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Forecast Horizons for Production Planning with Stochastic Demand
, 1997
"... Forecast horizons, i.e long enough planning horizons that ensure agreement of first period optimal production decisions of finite and infinite horizon problems regardless of changes in future demand, are shown to exist in the context of production planning under stochastic demand. The monotonicity o ..."
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Forecast horizons, i.e long enough planning horizons that ensure agreement of first period optimal production decisions of finite and infinite horizon problems regardless of changes in future demand, are shown to exist in the context of production planning under stochastic demand. The monotonicity
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
"... Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset and derivative pricing theories as well as trading and hedging strategies. In response to this, ..."
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Cited by 561 (45 self)
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volatility persistence. Meanwhile, when judged by standard forecast evaluation criteria, based on the squared or absolute returns over daily or longer forecast horizons, standard volatility models provide seemingly poor forecasts. The present paper demonstrates that, contrary to this contention
SOLUTION AND FORECAST HORIZONS FOR INFINITE HORIZON NONHOMOGENEOUS MARKOV DECISION PROCESSES
, 2005
"... address in this paper the challenge of solving a nonhomogeneous infinite horizon Markov Decision Process (MDP) problem. More precisely, we seek an algorithm that, when given a finite subset of the problem’s potentially infinite data set, delivers an optimal first period policy. Such an algorithm can ..."
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whenever that problem is wellposed. The algorithm proceeds by discovering in finite time a forecast horizon for which a optimal solution delivers an optimal first period policy to the infinite horizon problem. In particular, we show by construction the existence of a forecast horizon (and hence a solution
SOLUTION AND FORECAST HORIZONS FOR INFINITE HORIZON NONHOMOGENEOUS MARKOV DECISION PROCESSES
, 2005
"... We consider the problem of solving a nonhomogeneous infinite horizon Markov Decision Process (MDP) problem in the general case of potentially multiple optimal first period policies. More precisely, we seek an algorithm that, given a finite subset of the problem’s potentially infinite data set, deliv ..."
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Cited by 1 (1 self)
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an algorithm that is guaranteed to solve the corresponding nonhomogeneous MDP whenever the problem is wellposed. The algorithm proceeds by discovering, in finite time, a forecast horizon for which an optimal solution delivers an optimal first period policy to the infinite horizon problem. In particular, we
IDEA AND PERSPECT IVE The ecological forecast horizon, and examples of its uses and determinants
"... Forecasts of ecological dynamics in changing environments are increasingly important, and are available for a plethora of variables, such as species abundance and distribution, community structure and ecosystem processes. There is, however, a general absence of knowledge about how far into the futur ..."
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into the future, or other dimensions (space, temperature, phylogenetic distance), useful ecological forecasts can be made, and about how features of ecological systems relate to these distances. The ecological forecast horizon is the dimensional distance for which useful forecasts can be made. Five case studies
Empirical exchange rate models of the Seventies: do they fit out of sample?
 JOURNAL OF INTERNATIONAL ECONOMICS
, 1983
"... This study compares the outofsample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and tradeweighted dollar exch ..."
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Cited by 854 (12 self)
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This study compares the outofsample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and tradeweighted dollar
Stability of the Neumann Ray in a Dynamic LeontiefSystem with Finite Forecast Horizons", Review of Economic Studies
, 1982
"... This paper considers whether the dynamic stability of the steadystate growth path, deduced in various models under the assumption of perfect foresight, can be sustained if foresight is imperfect. Using a dynamic Leontief system as the framework and measuring the degrees of goodness of foresight by ..."
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Cited by 1 (0 self)
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by the length of the forecast horizon, the paper derives an affirmative answer. The result can also be interpreted as asserting that the Neumann ray serves as a turnpike for a rolling plan of a long planning horizon. 1.
Annals of Operations Research 40(1992)125151 125 FORECAST HORIZONS AND DYNAMIC FACIL ITY LOCATION PLANNING
"... We consider a dynamic facility location model in which the objective is to find a planning horizon, x * and a first period decision, XI*, such that XI * is a first period decision for at least one optimal policy for all problems with planning horizons equal to r longer than x*. In other words, we se ..."
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seek a planning horizon, "r*, such that conditions after x * do not influence the choice of the optimal initial decision, XI*. We call x * a forecast horizon and X ~ an optimal initial decision. For the dynamic uncapacitated fixed charge location problem, we show that simple conditions exist
1 Experts ’ adjustment to modelbased SKUlevel forecasts: Does the forecast horizon matter?
"... Experts (managers) may have domainspecific knowledge that is not included in a statistical model and that can improve shortrun and longrun forecasts of SKUlevel sales data. While onestepahead forecasts address the conditional mean of the variable, modelbased forecasts for longer horizons have ..."
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Experts (managers) may have domainspecific knowledge that is not included in a statistical model and that can improve shortrun and longrun forecasts of SKUlevel sales data. While onestepahead forecasts address the conditional mean of the variable, modelbased forecasts for longer horizons
©2007 INFORMS Solution and Forecast Horizons for InfiniteHorizon Nonhomogeneous Markov Decision Processes
, 2005
"... doi 10.1287/moor.1060.0224 ..."
Results 1  10
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