Ayrıntılı Bilimsel Program ve Bildiri Özetleri - YAEM2010

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YAEM 2010 YÖNEYLEM ARAÞTIRMASI VE ENDÜSTRÝ MÜHENDÝSLÝGI 30. ULUSAL KONGRESÝ Optimal Myopic Allocation Decisions in the Presence of Portfolio Insurance Koray Deniz Þimþek Faculty of Management, Sabanci University, Istanbul In an economy with stochastically time-varying interest rates and stock market volatility, we determine what fraction a myopic investor should optimally allocate to investment strategies with convex exposure to stock market returns, more specifically to three types of portfolio insurance strategies. We test our model both in an expected utility framework and with a risk-adjusted return objective. Our conclusion is that typical investors should allocate a sizable fraction of their portfolio to such portfolio insurance strategies, and the associated utility/risk-adjusted return gains are significant. This result is robust with respect to various parametric assumptions, as well as the choice of the objective, the presence of market frictions and investment limits, and heterogeneous expectations on volatility estimates. A Dividend Optimization Problem under a Jump Diffusion Model Semih Sezer, Firdevs Ulus Sabanci University, Istanbul We consider a dividend optimization problem where the objective is to maximize the expected value of total dividends paid during the lifetime of a company. The capital process is assumed to be a jump- diffusion, and dividends are paid out continuously until the capital process hits a default barrier. At any time, the company may distribute dividends at full rate; however, this would bring the capital process closer to the ruin barrier. Hence, we need to find a strategy (from a given admissible set) that will resolve this trade-off optimally. Here, we show that the structure of the optimal policy depends on the parameters of the problem. We identify an optimal policy in each case, and we show how to compute the value function of the problem. 34
YAEM 2010 YÖNEYLEM ARAÞTIRMASI VE ENDÜSTRÝ MÜHENDÝSLÝGI 30. ULUSAL KONGRESÝ Ç2-05 Hizmet Bilimi, Yönetim ve Mühendislik 30 Haziran 2010 / 13:45 - 15:15 Oturum Salonu: MDBF L047 Oturum Düzenleyicisi: Jale Akyel ve Haluk Demirkan Oturum Baþkaný: Jale Akyel ve Haluk Demirkan Hizmet Bilimi, Yönetim & Mühendislik: Yeni Bir Disiplin ve Beceriler Jale Akyel IBM Türk Ltd. Þti. Istanbul Hizmet Bilimi, Yönetim ve Mühendislik gerek araþtýrma gerekse akademik alanda hýzla kabul gören çoklu disiplinleri (bilgi teknolojileri, iþletimsel araþtýrma, mühendislik, yönetim bilimleri, iþ stratejileri, sosyal ve kavramsal bilimler ve hukuk bilimi) bir arada tutan bir disiplindir. Küresel pazarlar hýzlý bir þekilde hizmet ekonomisine dönüþüyor. En çok iþgücü alanlarý da küresel ekonomide hizmet saðlayan sektörlerde ortaya çýkýyor. Hizmette inovasyon karlýlýðý koruyabilmek için önem kazanýyor. Hizmetin tanýmlanmasý, tasarýmý, geliþtirilmesi, pazarlanmasý ve saðlanmasý, etkin ve ölçeklenebilir olmasý için çeþitli metodolijilere ihtiyaç duyuluyor. Hizmet saðlayýcýlarýn lisans seviyesinde bile teknoloji, iþ ve organizasyonel konularda derinlemesine ve geniþ bakýþ ile bilgi sahibi olmalarý gerekiyor. Hizmet Bilimi tüm hizmet sektörlerinde verimlilik, kalite, öðrenme ve inovasyon hýzlarýný geliþtirmeyi ve desteklemeyi hedefler. Akýllý Dünya için Beceriler: Dünya, akýllý aygýtlarýn birbirleri ile baðlanarak, verilerin akýllý kullanýmý ile geliþtikçe, ekonomik, sosyal ve teknolojik yeni bakýþ ve eylemlere olan ihtiyaç da artýyor. Sistemlerimizi daha hýzlý yanýt verecek, daha verimli ve etkin, hýzlý ve akýllý kararlar alabilecek, dinamik esnek altyapýlara dönüþtürecek, çevre politikalarýný geliþtirecek yeni bakýþ ve eylemler için, yeni, farklý disiplin ve becerilere sahip kiþilerin iþbirliði içerisinde çalýþabilmesi gerekiyor. 35
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Ayrıntılı Bilimsel Program ve Bildiri Özetleri - YAEM2010

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