Stochastic programming, cooperation, and risk exchange

Stochastic programming, cooperation, and risk exchange

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Article ID: iaor2003877
Country: United Kingdom
Volume: 17
Issue: 3
Start Page Number: 493
End Page Number: 504
Publication Date: May 2002
Journal: Optimization Methods & Software
Authors:
Keywords: programming: probabilistic
Abstract:

Stochastic programming offers handy instruments to analyze exchange of goods and risks. Absent efficient markets for some of those items, such programming may imitate or synthesize market-like transfers among concerned parties. Specifically, using shadow prices (Lagrange multipliers) on aggregate endowments, one may identify side-payments that yield core solutions to cooperative production games.

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