29 search results - page 2 / 6 » A dynamic stochastic programming model for international por... |
PC
2008
13 years 5 months ago
2008
We present a multistage model for allocation of financial resources to bond indices in different currencies. The model was tested on historical data of interest and exchange rates...
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...
CDC
2008
IEEE
13 years 11 months ago
2008
IEEE
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped...
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...