Details

Autor(en) / Beteiligte

• Kottas, John F.
• Lau, Hon-Shiang

Titel

On stochastic management modeling with dependent variables

Ist Teil von

• European journal of operational research, 1979-01, Vol.3 (4), p.308-315

Ort / Verlag

Amsterdam: Elsevier B.V

Erscheinungsjahr

1979

Quelle

Elsevier Journal Backfiles on ScienceDirect (DFG Nationallizenzen)

Beschreibungen/Notizen

• This paper presents an integrated framework for handling dependent random variables in a large class of stochastic management models, a class that includes stochastic break-even analysis and stochastic present-value analysis. We first demonstrate that the common approach of modeling dependent random variables is usually surprisingly inadequate, and a general “functional approach” is presented as a practical modeling alternative. Adopting this modeling approach, we then present a procedure for deriving the stochastic characteristics of the model's objective variable. In the context of stochastic breakeven analysis, this means determining the probabilities of achieving various profit levels and the expected utility of the stochastic profit. The procedure allows the model's random variables to assume diverse distribution and dependency forms, and the simplicity and reliability of the procedure is demonstrated by a numerical example.