IOR
2006
13 years 4 months ago
2006
The DASH model for Power Portfolio Optimization provides a tool which helps decision-makers coordinate production decisions with opportunities in the wholesale power market. The m...
ANOR
2007
13 years 4 months ago
2007
This paper describes a stochastic programming model that was developed for asset liability management of a Finnish pension insurance company. In many respects the model resembles t...
ICCS
2004
Springer
13 years 10 months ago
2004
Springer
In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward. It allows more tangible express...