Article ID: | iaor19991370 |
Country: | Netherlands |
Volume: | 96 |
Issue: | 2 |
Start Page Number: | 417 |
End Page Number: | 427 |
Publication Date: | Jan 1997 |
Journal: | European Journal of Operational Research |
Authors: | Chun Young Hak |
Keywords: | programming: dynamic |
In many decision situations such as hiring a secretary, selling an asset, or seeking a job, the value of each offer, applicant, or choice is assumed to be an independent, identically distributed random variable. In this paper, we consider a special case where the observations are auto-correlated as in the random walk model for stock prices. For a given random walk process of