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ICCS
2004
Springer
15 years 3 months ago
A Dynamic Stochastic Programming Model for Bond Portfolio Management
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...
Liyong Yu, Shouyang Wang, Yue Wu, Kin Keung Lai
NIPS
2007
14 years 11 months ago
Inferring Elapsed Time from Stochastic Neural Processes
Many perceptual processes and neural computations, such as speech recognition, motor control and learning, depend on the ability to measure and mark the passage of time. However, ...
Misha Ahrens, Maneesh Sahani
ORL
2008
124views more  ORL 2008»
14 years 9 months ago
Sample average approximation of expected value constrained stochastic programs
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...
Wei Wang, Shabbir Ahmed
STACS
2005
Springer
15 years 3 months ago
Pattern Occurrences in Multicomponent Models
Abstract. In this paper we determine some limit distributions of pattern statistics in rational stochastic models, defined by means of nondeterministic weighted finite automata. ...
Massimiliano Goldwurm, Violetta Lonati
IOR
2010
71views more  IOR 2010»
14 years 7 months ago
Stochastic Root Finding and Efficient Estimation of Convex Risk Measures
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...
Jörn Dunkel, Stefan Weber