Faculty AI Research

Several propositions concerning the effect of individual, product class, and task-related factors on information-acquisition strategies were formulated and tested. Marked differences were found for subjects at different socioeconomic levels. A new scheme for analyzing information-acquisition sequence data was developed and employed.

This paper considers two-person zero-sum sequential games with finite state and action spaces. We consider the pair of functional equations (f.e.) that arises in the undiscounted infinite stage model, and show that a certain class of successive approximation schemes is guaranteed to converge to a solution pair whenever an equilibrium policy with respect to the average return per unit time criterion (AEP) exists. Existence of the latter thus implies the existence of a solution to this pair of f.e. whereas the converse implication is shown only to hold under special circumstances.

This paper examines the hypothesis that the expected rate of return to speculation in the forward foreign exchange market is zero; that is, the logarithm of the forward exchange rate is the market's conditional expectation of the logarithm of the future spot rate. A new computationally tractable econometric methodology for examining restrictions on a k-step-ahead forecasting equation is employed. Using data sampled more finely than the forecast interval, we are able to reject the simple market efficiency hypothesis for exchange rates from the 1970s and the 1920s.

This article focuses on the formulation of a method to solve the joint consumption-portfolio problem. The formulation presented allows the author to distinguish between risk preferences and time preferences when determining optimal consumption and asset demand. Classic Fisherian two-period diagrammatics are generalized. Period-two risk preferences are assumed to be independent of first-period consumption. The set of consumption-portfolio optima is expanded consistently with utility maximization.

This paper presents a simple and computationally tractable method which recursively computes the stationary probabilities of the queue size in an M/G/1 queueing system with variable service rate. For each service two possible service types are available and the service rule is characterized by two switch-over levels. The computational approach discussed in this paper can be applied to a variety of queueing problems.

We consider a multiserver queueing system in which customers request service from a random number of identical servers. In contrast to batch arrival queues, customers cannot begin service until all required servers are available. Servers assigned to the same customer may free separately. For this model, we derive the steady-state distribution for waiting time, the distribution of busy servers, and other important measures. Sufficient conditions for the existence of a steady-state distribution are also obtained.

This paper assesses the ability of markets to convey information about firms to investors. The present system of disclosure rules has been restricted to historical data. Recently there have been proposals to bring predictive data—in particular, earnings forecasts—under the scope of a disclosure rule. Forecasts of future earnings are, at present, being provided by many corporate managements.

This paper considers undiscounted two-person, zero-sum sequential games with finite state and action spaces. Under conditions that guarantee the existence of stationary optimal strategies, we present two successive approximation methods for finding the optimal gain rate, a solution to the optimality equation, and for any ϵ > 0, ϵ-optimal policies for both players.

This paper establishes a rather complete optimality theory for the average cost semi-Markov decision model with a denumerable state space, compact metric action sets and unbounded one-step costs for the case where the underlying Markov chains have a single ergotic set.

This paper discusses the structural equations, forecasting properties, dynamic characteristics, and economic policy implications of a quarterly econometric model of U.S. livestock and feedgrain markets. Quarterly, semi-annual, and annual endogenous variables are incorporated by allowing individual structural equations to be estimated and to enter into the solution of the model with different periodicities. Commodity prices are determined by market equilibrium conditions rather than by autoregressive and other time-series techniques.

This paper considers undiscounted Markov decision problems. With no restriction (on either the periodicity or chain structure of the problem) we show that the value iteration method for finding maximal gain policies exhibits a geometric rate of convergence, whenever convergence occurs. In addition, we study the behaviour of the value-iteration operator; we give bounds for the number of steps needed for contraction, describe the ultimate behaviour of the convergence factor and give conditions for the existence of a uniform convergence rate.

Consumer information programs can be more effective if they are conceived within a marketing framework which views consumer information as a product to be marketed. A methodology is outlined which can assist consumer information program developers in identifying information needs from the consumer's point of view, rather than the policy maker's.

This paper is concerned with the effects of capital risk on optimal individual savings decisions in a simple two-period setting. We investigate the respective roles played by risk and time preferences in answering the following related questions: Q1: Will savings increase, remain constant or decrease in response to an increase in capital risk? Q2: Is optimal saving in the presence of capital risk greater than, equal to or less than optimal saving in the certainty case where the rate of return equals the mean (uncertain) return?

This paper studies economic policy toward feed grain and livestock markets by applying optimal control theory to a quarterly microeconometric model.

In this paper we consider a set of denumerable stochastic matrices where the paramter set is a compact metric space. We give a number of simultaneous recurrence conditions on the stochastic matrices and establish equivalences between these conditions. The results obtained generalize corresponding results in Markov chain theory to a considerable extent and have applications in stochastic control problems.

A global portrait of the phase plane for a fishery model is obtained for any acceptable values of the parameters. Three different structures of the phase plane are recovered. The first predicts an eventual collapse of the fishery. The second predicts an unstable limit cycle and an eventual stability of solutions which start inside the limit cycle. The last structure predicts two possible stable equilibria, one with high catch rate, and the other with no catch. Each structure corresponds to a different domain in the parameter space.

This paper investigates the solutions to the functional equations that arise inter alia in Undiscounted Markov Renewal Programming. We show that the solution set is a connected, though possibly nonconvex set whose members are unique up to the n* constants, characterize n* and show that some of these n* degrees of freedom are locally rather than globally independent.

This paper is concerned with the properties of the value-iteration operator which arises in undiscounted Markov decision problems. We give both necessary and sufficient conditions for this operator to reduce to a contraction operator, in which case it is easy to show that the value-iteration method exhibits a uniform geometric convergence rate.

For problems involving choices over "certain x uncertain" consumption pairs, it is almost universally assumed that the decision maker's preferences can be represented by an expected TPC (two-period cardinal) utility function.

An example for undiscounted multichain Markov Renewal Programming shows that policies may exist such that the Policy Iteration Algorithm (PIA) can converge to these policies for some (but not all) choices of the additive constants in the relative values, and as a consequence that the PIA may cycle if the relative values are improperly determined.

This paper is concerned with the optimality equation for the average costs in a denumerable state semi-Markov decision model. It will be shown that under each of a number of recurrency conditions on the transition probability matrices associated with the stationary policies, the optimality equation has a bounded solution. This solution indeed yields a stationary policy which is optimal for a strong version of the average cost optimality criterion.

The purpose of this paper is to investigate relationships among three types of preferences and their associated utility representations in a two-period context.

Discusses how point-scoring systems used by credit grantors to weigh credit applications may be objective, but also enable creditors to discriminate arbitrarily against individuals. Advantages of using the point-scoring approach in screening credit applicants; Retailers' value allocation for two consumer characteristics.

This paper considers non-cooperative N-person stochastic games with a countable state space and compact metric action spaces. We concentrate upon the average return per unit time criterion for which the existence of an equilibrium policy is established under a number of recurrency conditions with respect to the transition probability matrices associated with the stationary policies.

Gillies showed that the core of a game depends only on the vital coalitions. We show that the essential coalitions--which include the vital coalitions--determine the nucleolus if the core is not empty.

This paper considers undiscounted Markov Decision Problems. For the general multichain case, we obtain necessary and sufficient conditions which guarantee that the maximal total expected reward for a planning horizon of n epochs minus n times the long run average expected reward has a finite limit as n approaches infinity for each initial state and each final reward vector. In addition, we obtain a characterization of the chain and periodicity structure of the set of one-step and J-step maximal gain policies.

This paper develops optimal portfolio choice and market equilibrium when investors behave according to a generalized lexicographic safety-first rule. We show that the mutual fund separation property holds for the optimal portfolio choice of a risk-averse safety-first investor. We also derive an explicit valuation formula for the equilibrium value of assets.

This paper provides a new approach for solving a wide class of Markov decision problems including problems in which the space is general and the system can be continuously controlled. The optimality criterion is the long-run average cost per unit time. We decompose the decision processes into a common underlying stochastic process and a sequence of interventions so that the decision processes can be embedded upon a reduced set of states.

In a preceding paper we have introduced a new approach for solving a wide class of Markov decision problems in which the state-space may be general and the system may be continuously controlled. The criterion is the average cost. This paper discusses two applications of this approach. The first application concerns a house-selling problem in which a constructor builds houses which may be sold at any stage of the construction and potential customers make offers depending on the stage of the construction.

Examines the impact of message to direct mail response on sales. Discussions on the Bales interaction process analysis; Analysis of variance; Correlation between the intention to purchase to attitude towards the magazine.

Examines the quantity-setting behavior under price uncertainty. Probability of loss; Use of the monotonicity property of distributions; Changes in fixed costs, price, and taxes.

Reprinted in Fred Lane, (ed.), <em>Current Issues in Public Administration</em> (New York: St. Martin's Press, 1978), pp. 288- 301.

This paper is presented within the context of two streams of research which can be identified in the current literature of empirical accounting research. Both of these research areas deal with changes in accounting methods. The first deals with the motivation for changes in accounting methods, and the second area, attempts are made to discover the consequences of accounting changes in terms of the reaction of capital markets to the output of the accounting process.