Robert R Trippi

University of California, San Diego | UCSD · School of Global Strategy and Policy

Supervised by Leon S. White. Massachusetts Institute of Technology, Alfred P. Sloan School of Management. Thesis. 1968. M.S. Bibliography: leaf 67.

This note discusses several often overlooked properties of the constant-mix dynamic asset allocation rule. The mean- variance dominance of two-asset CM portfolios relative to buy-and-hold portfolios makes the inclusion of CM subportfolios a potentially useful tool for managing the levels of risk and return of larger portfolios.

The usual analysis of the deterministic economic order quantity problem seeks to minimize the average cost of inventory ordering and holding costs per unit time. An alternative approach described in this paper examines the present value of discounted costs over an infinite horizon. Differences in the solutions and implications of errors using the t...

Supervised by Wallace B.S. Crowston. Massachusetts Institute of Technology, Alfred P. Sloan School of Management. Thesis. 1972. Ph. D. Vita. Bibliography: leaves 137-144.

The performance of active portfolio methods critically depends on the forecasting ability of the security analyst. The Treynor-Black model provides an efficient way of implementing active investment strategy. Despite its potential benefits, the Treynor-Black model appears to have had little impact on the financial community, mainly because it has b...

We examine the effects of large price changes on volatility and the price of risk of two broad stock indices, the CRSP value-weighted index of NYSE and AMEX stocks and the TOPIX of the Tokyo Stock Exchange. Volatility generally rises after large price changes of either sign but usually revert to pre-jump levels within a week or two. In contrast, th...

In surveys, computer simulation nearly always tops lists of the most frequently used OR/MS methods, largely because of its great versatility. For example, where nonlinearities or path dependence exists, Monte Carlo simulation is the only practical means available for evaluating financial derivatives and asset allocation or switching policies. Teach...

Trading volume studies have traditionally emphasized the correlation between volume and price movements or between volume changes and the arrival of information. This article explores the relationship between volume and the heterogeneity of underlying asset volatility expectations implied by option prices. An index of aggregate trading volume of th...

From the Publisher:Neural networks are revolutionizing virtually every aspect of financial and investment decision making. Financial firms worldwide are employing neural networks to tackle difficult tasks involving intuitive judgement or requiring the detection of data patterns which elude conventional analytic techniques. Many observers believe ne...

The price movements of certain assets can be modeled by stochastic processes that combine continuous diffusion with discrete jumps. This paper compares values of options on assets with no jumps, jumps of fixed size, and jumps drawn from a log-normal distribution. It is shown that not only the magnitude but also the direction of the mis-pricing of t...

Neural networks are on the threshold of becoming assimilated into the mainstream of financial decision making. As a form of machine learning, this technology is especially attractive for developing trading systems which do not rely on human judgment. In this article we describe a neural network-based system for trading S&P 500 index futures that ha...

Parallel processing has moved in recent years from a largely theoretical issue to the commercial arena. Much of the interest in parallel architecture is related to its potential for complementing or replacing existing hardware in engineering and scientific computations. However, there are a number of OR/MS problems that can greatly benefit from the...

Getting the rules from a domain expert is often a time consuming and expensive part of building ES. Methods of ES development which do not require the intervention of a knowledge engineer are receiving increasing attention. This paper discusses modes of automated learning possible in conventional (rule-based), statistical and neural network impleme...

Expert System technologies can provide significant benefits if integrated with operations research (OR) applications, either by using free-standing systems or by integrating them into existing OR tools. This paper first distinguishes between physical and functional integration, and then focuses on aspects of the latter. Process and technique-orient...

Decisions about investment in commercial real estate projects are influenced by many factors, both quantitative and qualitative. With the aid of computerized decision support and expert systems, investors and developers are applying increasingly sophisticated forms of analyses to project screening, portfolio management, and other high-level decisio...

Parallel processing has moved in recent years from a largely theoretical issue to the commercial arena. This paper discusses parallel, multiple CPU architectures, including neural computers, and assesses their potential contribution to managerial decision making.

Expert systems technology is being productively utilized by Operations Research/Management Science professionals, both as a stand-alone consultant or assistant, and integrated with other computer-based tools used by OR practitioners for the solution of complex or unique problems. In addition, there is an increasing appearance of some ES component i...

Some of the current parallel-processing architectures are discussed, and management-science-type problems amenable to solution using coarse-grained multiple-instruction, multiple-data parallel computers are identified. Applications of neural computing in management science are also discussed. It is shown that the real promise of parallelism is not...

Adjustments to the discount rate are commonly made in the capital budgeting process, as a means to compensate for uncertainty about future income streams. If the investment project's income level is relatively certain but its duration is a random variable, then a discount rate adjustment may be facilely derived, which has an explicit and intuitive...

Managers of portfolios of sizeable income-producing properties face a series of significant short and long-range planning problems. Many of these can best be addressed by a DSS specifically designed for their needs. This article examines industry factors, design goals, and functions of a system used to improve major real property asset acquisition,...

To ensure the maximum financial performance of organizations in rapidly changing environments-the coordination between strategic management objectives and information systems capabilities is of fundamental importance. This article proposes a conceptual framework for linking these 2 elements and suggests 10 hypotheses regarding this subject that mer...

This article develops an empirical model for estimating the relationship between selling price and length of time on market for a unique, large-ticket item. The model provides valuable information in the form of probability statements concerning the length of time to sale at any given price for a capital asset having a well-defined set of character...

This paper discusses a frequency based, nonparametric measure of internal test consistency, referred to herein as coefficient alphaτ, which allows facile measurement of the significance of differences in internal consistency between tests, administrations, or scoring methods. It also permits analysis of psychological tests containing items with dis...

A model is developed that integrates capital investment decisions with output and pricing decisions for a situation of growing demand. Conditions are derived for the model that permit application of a general approach for determining the optimal sequence and timing of investments in a continuous-time framework. The behavior of optimal pricing and o...

This article develops and empirically determines a consistency index measuring the degree of loyalty that consumers show in their choice of transportation mode for different kinds of trips. Socio-economic-demographic, travel behavior, and attitudinal variables are examined as possible explanatory factors influencing the loyalty measure.

A number of common economic problems can be reduced to a search for a permutation which minimizes some function. Analytic solutions are available for unconstrained problems of this nature when certain conditions are satisfied. This article outlines a simple tree-search strategy for solving ordering problems in which some permutations are excluded d...

The multi-asset investment renewal problem is characterized by two types of costs: transaction costs incurred when any renewal takes place at a point in time, and investment costs which are associated with renewing individual assets. A discrete-time version of this renewal scheduling problem is formulated as an integer program that, due to its stru...

This note presents a model for allocation of inspection resources to points within a discrete manufacturing process at minimum cost. An integer programming formulation is developed having identical structure to a warehouse (factory) location problem which has been the focus of a number of investigations.

A mathematical model and on-line computational system have been developed to solve a problem involving placement of inspectors in a multi-stage sequential production process. The model possesses sufficient generality to produce interesting results, yet admits to solution by an efficient algorithm for problems of realistic size. Illustrative computa...

A framework is developed for analyzing the likelihood of acceptance of an investment project proposal when objectives are uncertain. The foundation is a utility model of top management's choice process, modified if need be through a Bayesian approach which takes into account any apparent inconsistency in the history of past proposal acceptances and...

This paper reports on a computer-based system for military personnel assignment. Transportation costs, job skill requirements and individual skills and preferences are manipulated to produce three measures of assignment costs. The weighted combination of these measures is the total cost of each assignment. An algorithm based on the Ford-Fulkerson n...

The optimum decision-state function for a recursion relation having separable one-stage returns fixed-charge linear in the decision variable is examined. The function, examined in the context of a dynamic capital investment problem, is shown to have slope -1 wherever the decision variable is positive. A simple method of determining any positive val...

Dr. Trippi received his PhD from the Massachusetts Institute of Technology. He is a member of thefaculty of the School of Business Administration at San Diego State University and a general partner in the consulting firm of Associated Business Consultants. He has authored other articles on investment planning and related subjects appearing in such...

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