香港班dra.pdf

Expectation of the game
The expectation of betting $10 dollars is
Exp[ Bet on head with 10 dollars ]
= (20) Pr{ coin turn up head} + (-10) Pr{ turn up tail}
=20* - 10* = 5
So this is a winning investment.
But how much should we bet in successive investments?
Should we bet $100, $200 dollars or all our many $1000
dollars in the first investment?
A good risk manager would know how much to bet in
each instance and maximize long term profitability.
List Decisions
z Ship by truck (EPD)
z Try and ship by air from Logan (UE)
z Ship by air from Worcester (MAF/UE)
z Cancel orders and issue coupons
z Others?
List Uncertainties
z Storm hit Boston or not
z Logan close or remain open if storm hit
Boston
z Additional cost of shipping by EPD
z Additional cost of MAF
z Percentage of coupons that would
generate incremental demand
The Solved Tree
– 9,000= – 3×3,000
18,000=6×3,000
20,250
–15,000
21,000=7×3,000
D)
EP
k ( ×
ruc 24,000=8 3,000
T