Stochastic programming tutorial for financial decision making: The saddle property of optimal profits

The complexity of the interaction between time and uncertainty made finance models to one of the most important applications of probability theory and optimization theory. Stochastic programming combines those two fields with the intention to design methodologies for planning under uncertainty. This tutorial consists of two parts, written for practitioners, in particular financial decision makers. It is to provide insights into the basic ideas of stochastic programming in an easily understandable way. This paper reveals various decision structures of investors and evaluates the profits achieved by admissible decisions.