21 search results - page 2 / 5 » A Dynamic Stochastic Programming Model for Bond Portfolio Ma... |
AUTOMATICA
2006
13 years 5 months ago
2006
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
EOR
2006
13 years 5 months ago
2006
We consider multi-period portfolio selection problems for a decision maker with a specified utility function when the variance of security returns is described by a discrete time ...
CONSTRAINTS
2006
13 years 5 months ago
2006
To model combinatorial decision problems involving uncertainty and probability, we introduce scenario based stochastic constraint programming. Stochastic constraint programs conta...
AAAI
2011
12 years 5 months ago
2011
Sustainable resource management in many domains presents large continuous stochastic optimization problems, which can often be modeled as Markov decision processes (MDPs). To solv...
ANOR
2007
13 years 5 months ago
2007
The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applicat...