Frauendorfer Karl

Karl Frauendorfer

Information about the author Karl Frauendorfer will soon be added to the site.
Found 8 papers in total
Stochastic programming tutorial for financial decision making: The saddle property of optimal profits
Stochastic programming tutorial for financial decision making: The saddle property of optimal profits
1996
The complexity of the interaction between time and uncertainty made finance models to...
Management of non-maturing deposits by multistage stochastic programming
Management of non-maturing deposits by multistage stochastic programming
2003
The management of non-maturing account positions in a bank's balance like savings and...
Solving sequences of refined multistage stochastic linear programs
Solving sequences of refined multistage stochastic linear programs
2003
Multistage stochastic programs with continuous underlying distributions involve the...
Term structure models in multistage stochastic programming: Estimation and approximation
Term structure models in multistage stochastic programming: Estimation and approximation
2000
This paper investigates some common interest rate models for scenario generation in...
Portfolio selection using multistage stochastic programming
Portfolio selection using multistage stochastic programming
1999
This paper shows how a mean-variance criterion can be applied to a multi-period...
Barycentric scenario trees in convex multistage stochastic programming
Barycentric scenario trees in convex multistage stochastic programming
1996
This work deals with the approximation of convex stochastic multistage programs...
A solution method for nonlinear convex stochastic optimization problems
A solution method for nonlinear convex stochastic optimization problems
1991
The paper considers nonlinear convex stochastic two-stage optimization problems with...
Solving SLP recourse problems with arbitrary multivariate distributions-The dependent case
Solving SLP recourse problems with arbitrary multivariate distributions-The dependent case
1988
Bounding the expectation of a convex function of a multivariate random variable is of...
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