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A forward algorithm for a generalized wheat trading model

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Abstract

In this paper the well known “wheat trading” problem is generalized to allow for general non-linear holding cost functions. A forward algorithm in the spirit of the Modigliani-Hohn and Arrow-Karlin algorithms is given. Furthermore the conditions for the existence of weak decision and forecast horizons are relaxed. In particular, it is shown that the price may on some intervals exceed the price shield introduced by Sethi and Thompson without violating the optimality of the solution in the first interval.

Zusammenfassung

In dieser Arbeit wird das bekannte „Weizenhandels“-Problem auf den Fall nichtlinearer Lagerhaltungskosten verallgemeinert und mit Hilfe eines Vorwärtsalgorithmus' im Stile der Modigliani-Hohn und Arrow-Karlin-Algorithmen gelöst. Weiters werden die Bedingungen für die Existenz von schwachen Entscheidungs- und Prognosehorizonten gelockert. Dabei wird gezeigt, daß der Preispfad auch auf ganzen Intervallen den von Sethi-Thompson eingeführten PreisSchild überschreiten darf, ohne die Optimalität der Lösung im ersten Intervall zu verletzen.

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Author information

Authors and Affiliations

  1. Inst. f. Econometrics & OR, Techn. Univ. Vienna, Argentinierstr. 8, A-1040, Wien, Austria

    R. F. Hartl

Authors
  1. R. F. Hartl

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Additional information

This research was supported by a grant S 3204 on “Dynamics of the Firm.” from Fonds zur Förderung der wissenschaftlichen Forschung.

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