Cargando…
Stochastic programming : applications in finance, energy, planning and logistics /
This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stoc...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; London :
World Scientific,
2012.
|
| Colección: | World Scientific series in finance ;
vol. 4. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 1. Introduction and summary
- 2. Longevity risk management for individual investors / Woo Chang Kim [and others]
- 3. Optimal stochastic programming-based personal financial planning with intermediate and long-term goals / Vittorio Moriggia, Giorgio Consigli and Gaetano Iaquinta
- 4. Intertemporal surplus management with jump risks / Mareen Benk
- 5. Jump-diffusion risk-sensitive benchmarked asset management / Mark Davis and Sebastien Lleo
- 6. Dynamic portfolio optimization under regime-based firm strength / Chanaka Edirisinghe and Xin Zhang
- 7. Options portfolio management as a chance constrained problem / Dmitry Golembiovsky and Anatoliy Abramov
- 8. Stochastic models for optimizing immunization strategies in fixed-income security portfolios under some sources of uncertainty / Larraitz Aranburu [and others]
- 9. Stochastic programming and optimization in horserace betting / William T. Ziemba
- 10. Multi-stage stochastic programming for natural gas infrastructure design with a production perspective / Lars Hellemo [and others]
- 11. A stochastic programming model for optimizing the production of farmed Atlantic salmon / Martin B. Haereid, Peter Schutz and Asgeir Tomasgard
- 12. Prioritizing network interdiction of nuclear smuggling / Dennis P. Michalopoulos, David P. Morton and J. Wesley Barnes
- 13. Sawmill production planning under uncertainty: modelling and solution approaches / Masoumeh Kazemi Zanjani, Mustapha Nourelfath and Daoud Ait-Kadi
- 14. An electricity procurement model With energy and peak charges / Andy Philpott and Geoff Pritchard
- 15. A stochastic game model applied to the Nordic electricity market / Stein-Erik Fleten and Tek Tjing Lie
- 16. Multi-lag benders decomposition for power generation planning with nonanticipativity constraints on the dispatch of LNG thermal plants / Andre L. Diniz and Maria E.P. Maceira
- 17. Stochastic second-order cone programming in mobile ad-hoc networks: sensitivity to input parameters / Francesca Maggioni [and others]
- 18. Stochastic frequency assignment problem / Wadie Benajam, Alexei Gaivoronski and Abdel Lisser.