Md. Azizul Baten

A Cobb Douglas stochastic frontier model on measuring domestic bank efficiency in Malaysia.

Banking system plays an important role in the economic development of any country. Domestic banks, which are the main components of the banking system, have to be efficient; otherwise, they may create obstacle in the process of development in any economy. This study examines the technical efficiency of the Malaysian domestic banks listed in the Kuala Lumpur Stock Exchange (KLSE) market over the period 2005–2010. A parametric approach, Stochastic Frontier Approach (SFA), is used in this analysis. The findings show that Malaysian domestic banks have exhibited an average overall efficiency of 94 percent, implying that sample banks have wasted an average of 6 percent of their inputs. Among the banks, RHBCAP is found to be highly efficient with a score of 0.986 and PBBANK is noted to have the lowest efficiency with a score of 0.918. The results also show that the level of efficiency has increased during the period of study, and that the technical efficiency effect has fluctuated considerably over time.

Combating Obesity through Healthy Eating Behavior: A Call for System Dynamics Optimization.

Poor eating behavior has been identified as one of the core contributory factors of the childhood obesity epidemic. The consequences of obesity on numerous aspects of life are thoroughly explored in the existing literature. For instance, evidence shows that obesity is linked to incidences of diseases such as heart disease, type-2 diabetes, and some cancers, as well as psychosocial problems. To respond to the increasing trends in the UK, in 2008 the government set a target to reverse the prevalence of obesity (POB) back to 2000 levels by 2020. This paper will outline the application of system dynamics (SD) optimization to simulate the effect of changes in the eating behavior of British children (aged 2 to 15 years) on weight and obesity. This study also will identify how long it will take to achieve the government’s target. This paper proposed a simulation model called Intervention Childhood Obesity Dynamics (ICOD) by focusing the interrelations between various strands of knowledge in one complex human weight regulation system. The model offers distinct insights into the dynamics by capturing the complex interdependencies from the causal loop and feedback structure, with the intention to better understand how eating behaviors influence children’s weight, body mass index (BMI), and POB measurement. This study proposed a set of equations that are revised from the original (baseline) equations. The new functions are constructed using a RAMP function of linear decrement in portion size and number of meal variables from 2013 until 2020 in order to achieve the 2020 desired target. Findings from the optimization analysis revealed that the 2020 target won’t be achieved until 2026 at the earliest, six years late. Thus, the model suggested that a longer period may be needed to significantly reduce obesity in this population.

Stochastic Frontier Approach and Data Envelopment Analysis to Total Factor Productivity and Efficiency Measurement of Bangladeshi Rice

The objective of this paper is to apply the Translog Stochastic Frontier production model (SFA) and Data Envelopment Analysis (DEA) to estimate efficiencies over time and the Total Factor Productivity (TFP) growth rate for Bangladeshi rice crops (Aus, Aman and Boro) throughout the most recent data available comprising the period 1989–2008. Results indicate that technical efficiency was observed as higher for Boro among the three types of rice, but the overall technical efficiency of rice production was found around 50%. Although positive changes exist in TFP for the sample analyzed, the average growth rate of TFP for rice production was estimated at almost the same levels for both Translog SFA with half normal distribution and DEA. Estimated TFP from SFA is forecasted with ARIMA (2, 0, 0) model. ARIMA (1, 0, 0) model is used to forecast TFP of Aman from DEA estimation.

Stochastic Frontier Model Approach for Measuring Stock Market Efficiency with Different Distributions

The stock market is considered essential for economic growth and expected to contribute to improved productivity. An efficient pricing mechanism of the stock market can be a driving force for channeling savings into profitable investments and thus facilitating optimal allocation of capital. This study investigated the technical efficiency of selected groups of companies of Bangladesh Stock Market that is the Dhaka Stock Exchange (DSE) market, using the stochastic frontier production function approach. For this, the authors considered the Cobb-Douglas Stochastic frontier in which the technical inefficiency effects are defined by a model with two distributional assumptions. Truncated normal and half-normal distributions were used in the model and both time-variant and time-invariant inefficiency effects were estimated. The results reveal that technical efficiency decreased gradually over the reference period and that truncated normal distribution is preferable to half-normal distribution for technical inefficiency effects. The value of technical efficiency was high for the investment group and low for the bank group, as compared with other groups in the DSE market for both distributions in time- varying environment whereas it was high for the investment group but low for the ceramic group as compared with other groups in the DSE market for both distributions in time-invariant situation.

Fuzzy optimal control with application to discounted profit advertising problem

A fuzzy optimal control model was formulated maximizing the expected discounted objective function subject to fuzzy differential equation for fuzzy control system. We proved that the value function of fuzzy optimal control problem satisfied the dynamic programming principle. The optimality equation in fuzzy optimal control was derived and an example was carried out to obtain the optimality conditions by using the optimality equation. As an application, we used the Bellmans principle of optimality to solve the fuzzy advertising model.

Relationship between Risk and Expected Returns: Evidence from the Dhaka Stock Exchange

Abstract In this study we examine a risk-return association within the Capital Asset Pricing Model (CAPM) structure in Dhaka Stock Exchange (DSE) market. The study also aims at exploring whether the CAPM is applicable in DSE. For this study we have been used monthly stock returns from 80 non-financial companies for the period of January 2005 to December 2009. In order to examine the risk-return trade off in a sample of individual stocks, we apply the usual two stages regression. From the CAPM empirical analysis for individual stocks, it is observed that intercept term is significantly different from zero and slope is not equal to the excess return on the market portfolio. But, the CAPMs prediction for the intercept is that it should equal zero and the slope should equal the excess returns on the market portfolio. So, the results of the study refute the above hypothesis and offer evidence against the CAPM. Thus, it can be concluded that CAPM is not a suitable indicator of asset prices in Bangladesh over the chosen sample period. The securities market line shows linearity which means that the CAPM linear relationship is enough to express the returns generating process. Moreover, the investors are rewarded for market risk but not for unique risk because unique risk shows insignificancy during the period.

Optimal production cycle time for inventory model with linear time dependent exponential distributed deterioration

We study an inventory system with linear time varying exponential distributed deterioration in which production and demand rates are constant.The mathematical model is developed to obtain the total cost per unit time of an inventory system.The inventory controlling systems in terms of first order differential equations are solved numerically.The optimal cycle time is derived and the results are applied to numerical problems.The effect of changes in the model parameters on decision variables and the average total cost of an inventory system are studied through numerical examples.

Efficiency in the Worst Production Situation Using Data Envelopment Analysis

Data envelopment analysis (DEA) measures relative efficiency among the decision making units (DMU) without considering noise in data. The least efficient DMU indicates that it is in the worst situation. In this paper, we measure efficiency of individual DMU whenever it losses the maximum output, and the efficiency of other DMUs is measured in the observed situation. This efficiency is the minimum efficiency of a DMU. The concept of stochastic data envelopment analysis (SDEA) is a DEA method which considers the noise in data which is proposed in this study. Using bounded Pareto distribution, we estimate the DEA efficiency from efficiency interval. Small value of shape parameter can estimate the efficiency more accurately using the Pareto distribution. Rank correlations were estimated between observed efficiencies and minimum efficiency as well as between observed and estimated efficiency. The correlations are indicating the effectiveness of this SDEA model.

Optimal Consumption in a Stochastic Ramsey Model with Cobb-Douglas Production Function

A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption. We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to transform the dimension of the state space by changing the variables. By the viscosity solution method, we established the existence of viscosity solution of the transformed Hamilton-Jacobi-Bellman equation associated with this model. Finally, the optimal consumption policy is derived from the optimality conditions in the HJB equation.

Optimal control of a continuous review production inventory system with Gamma distributed deterioration

This paper develops the production inventory models with and without Gamma distributed deteriorating items. The production system with inventory level dependent demand is considered here and the Pontryagin maximum principle is used to determine the optimal control, which is the production rate that minimizes the optimal inventory control model, while satisfying the system dynamics. The necessary optimality conditions associated with and without Gamma distributed deteriorating items are derived from the Hamiltonian functions. The optimal inventory levels and the optimal production rates are derived and numerical simulations are used to illustrate the theoretical results.