Keyword: programming: probabilistic

Found 475 papers in total
Option pricing bounds with standard risk aversion preferences
Option pricing bounds with standard risk aversion preferences
2001,
For a theoretical valuation of a financial option, various models have been proposed...
From data to model and back to data: A bond portfolio management problem
From data to model and back to data: A bond portfolio management problem
2001,
The bond portfolio management problem is formulated as a multiperiod stochastic...
Scenario generation and stochastic programming models for asset liability management
Scenario generation and stochastic programming models for asset liability management
2001,
In this paper, we develop and test scenario generation methods for asset liability...
Analyzing legal regulations in the Norwegian life insurance business using a multistage asset–liability management model
Analyzing legal regulations in the Norwegian life insurance business using a multistage asset–liability management model
2001,
The legal regulations for the life insurance business in Norway have recently been,...
Multi-period stochastic programming models using simulation paths for strategic asset allocation
Multi-period stochastic programming models using simulation paths for strategic asset allocation
2001,
This paper discusses optimal dynamic investment policies for investors, who make...
A single-period model for conjunctive use of ground and surface water under severe overdrafts and water deficit
A single-period model for conjunctive use of ground and surface water under severe overdrafts and water deficit
2001,
We develop a model for a multi-reservoir system, where the inflow to the main...
Stochastic nonstationary optimization for finding universal portfolios
Stochastic nonstationary optimization for finding universal portfolios
2000,
We apply ideas from stochastic optimization for defining universal portfolios....
A stochastic programming model for currency option hedging
A stochastic programming model for currency option hedging
2000,
In this paper we use a stochastic programming approach to develop currency option...
Analytical solution for a class of learning by doing models with multiplicative uncertainty
Analytical solution for a class of learning by doing models with multiplicative uncertainty
1999,
We find the closed form optimal solution for a class of learning by doing models,...
Stochastic Lagrangian relaxation applied to power scheduling in a hydro-thermal system under uncertainty
Stochastic Lagrangian relaxation applied to power scheduling in a hydro-thermal system under uncertainty
2000,
A dynamic (multi-stage) stochastic programming model for the weekly cost-optimal...
Capacity planning model for a multipurpose water reservoir with target-priority operation
Capacity planning model for a multipurpose water reservoir with target-priority operation
2000,
We consider the capacity determination problem of a hydro reservoir. The reservoir is...
Stability properties of a bond portfolio management problem
Stability properties of a bond portfolio management problem
2000,
The bond portfolio management problem is formulated as a multiperiod two-stage or...
Valuing flexibility in offshore petroleum projects
Valuing flexibility in offshore petroleum projects
2000,
The average size of discovered petroleum reserves on the Norwegian continental shelf...
Primal–dual constraint aggregation with application to stochastic programming
Primal–dual constraint aggregation with application to stochastic programming
2000,
The special constraint structure and large dimension are characteristic for multistage...
Building and solving large-scale stochastic programs on an affordable distributed computing system
Building and solving large-scale stochastic programs on an affordable distributed computing system
2000,
We present an integrated procedure to build and solve big stochastic programming...
Strategic financial management in a multinational financial conglomerate: A multiple goal stochastic programming approach
Strategic financial management in a multinational financial conglomerate: A multiple goal stochastic programming approach
2001,
The paper discusses a multi-stage stochastic programming approach to the strategic...
Scalable parallel computations for large-scale stochastic programming
Scalable parallel computations for large-scale stochastic programming
1999,
Stochastic programming provides an effective framework for addressing decision...
A parallel computation approach for solving multistage stochastic network problems
A parallel computation approach for solving multistage stochastic network problems
1999,
This paper presents a parallel computation approach for the efficient solution of very...
Expected value of perfect information-based importance sampling solution procedures for multistage stochastic linear programs on parallel MIMD architectures
Expected value of perfect information-based importance sampling solution procedures for multistage stochastic linear programs on parallel MIMD architectures
1999,
Multistage stochastic linear programming has many practical applications for problems...
Decisions with uncertain alternatives
Decisions with uncertain alternatives
1999,
This paper analyses decision models with an uncertain set of alternatives defined by a...
A revised simplex search procedure for stochastic simulation response surface optimization
A revised simplex search procedure for stochastic simulation response surface optimization
2000,
We develop a variant of the Nelder–Mead (NM) simplex search procedure for...
Planning logistics operations in the oil industry
Planning logistics operations in the oil industry
2000,
In this paper we apply stochastic programming modelling and solution techniques to...
A scenario-based stochastic programming model for water supplies from the highland lakes
A scenario-based stochastic programming model for water supplies from the highland lakes
2000,
A scenario-based, multistage stochastic programming model is developed for the...
A stochastic branch-and-bound approach to activity crashing in project management
A stochastic branch-and-bound approach to activity crashing in project management
2000,
Many applications such as project scheduling, workflow modeling, or business process...
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