Decision Making under Uncertainty with RISKOptimizer : A Step-to-Step Guide Using Palisade's RISKOptimizer for Excellence

by Winston, Wayne L.

• ISBN13: 9781893281011
• ISBN10: 1893281019
• Format: Paperback
• Copyright: 1999-06-01
• Publisher: Palisade Corp

Table of Contents

Introduction to RISKOptimizer: The Newsperson Problem	1	(17)
RISKOptimizer Settings and Icons	4	(9)
Normal Demand	13	(1)
Managing Risk	14	(3)
The Newsperson Problem with Control over Salvage Price	17	(6)
The Multiproduct Newsperson Problem	23	(4)
The Power Model-Fitting the Learning Curve	27	(8)
Controlling both Price and Order Quantity	31	(4)
The Newspaper Problem with Diversion	35	(4)
Yield Management	39	(4)
Optimal Ordering Policies for Style Goods	43	(8)
The Product Mix Problem	51	(6)
What If Resource Usage is Uncertain?	53	(4)
Agricultural Planning Under Uncertainty	57	(4)
Production Scheduling	61	(4)
Manpower Scheduling Under Uncertainty	65	(6)
Using a Cost Structure to Deal with Uncertainty	68	(3)
Job Shop Scheduling	71	(6)
Minimizing Total Lateness	75	(1)
Minimizing Maximum Lateness	75	(2)
Optimal Sampling	77	(4)
Periodic Review Inventory Model	81	(6)
Truck Loading	87	(4)
Determining Optimal Capacity for a New Product	91	(8)
Allowing Flexibility in the Capacity Decision	95	(4)
Capital Budgeting with Uncertain Resource Usage	99	(4)
The Miller-Orr Cash Management Model	103	(6)
Using RISKOptimizer and Solver to Determine Optimal Plant Capacities	109	(6)
Setting Up a Macro to Combine Solver and RISKOptimizer Sampling	111	(1)
Using RISKOptimizer to Find Optimal Plant Capacities	112	(3)
Modeling Managerial Flexibility	115	(8)
Setting Up the Macro	120	(1)
Using RISKOptimizer to find the Optimal Capacities	121	(2)
Capacity Planning for an Electric Utility	123	(6)
Setting Up the Solver Model	125	(2)
Setting Up the Macro	127	(1)
Using RISKOptimizer to find Optimal Plant Configuration	128	(1)
Retirement Planning	129	(10)
A More Conservative Approach	133	(1)
Reducing the Length of the Planning Horizon	134	(1)
Using Utility Theory to Incorporate Risk Aversion	134	(3)
Using RISKOptimizer to Maximize Expected Utility	137	(2)
Machine Replacement Models	139	(6)
Using RISKOptimizer to Optimize Audit Sampling	145	(8)
Stratified Sampling	148	(5)
The Risk Neutral Approach to Option Pricing	153	(4)
Option Definitions	153	(1)
Arbitrage Arguments and the Risk Neutral Approach	154	(1)
Example of Risk Neutral Approach	155	(2)
The Lognormal Model of Stock Prices	157	(6)
Risk Neutral Valuation	158	(1)
Historical Estimation of Mean and Volatility of Stock Return	158	(3)
Finding Mean and Variance of a Lognormal Random Variable	161	(1)
Confidence Intervals for a Lognormal Random Variable	162	(1)
Optimal Hedging of Dell Computer Investment	163	(10)
Estimating Volatility	163	(2)
Using Simulation to Price the Put	165	(3)
Value at Risk	168	(3)
Maximizing the Sharpe Ratio	171	(2)
Foreign Exchange Options and Hedging Foreign Exchange Risk	173	(8)
Hedging a Minor Currency with a Related Currency	177	(4)
Hedging with Futures	181	(10)
Pricing of Futures Contracts	181	(1)
An Overview of Hedging	182	(4)
Hedging Commodity Risk when Production is correlated with Price	186	(5)
Controlling VAR with Correlated Assets	191	(4)
An Introduction to Real Options: Modeling a Gold Mine Lease and Expansion	195	(6)
Valuing an Expansion Option	197	(4)
Modeling a Startup and Shutdown Option	201	(4)
Timing Market Entry	205	(6)
Test-Marketing a New Product	211	(8)
What about if Decision-Maker is Risk Averse?	219