Výsledky vyhledávání - modeling optimization portfolio analysis chance constrained programming

An insurance and investment portfolio model using chance constrained programming Autor Li, S.X.

“…An insurance and investment portfolio model is here formulated in terms of the ‘P-Models’ of Chance Constrained Programming, which is then…”
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Cluster analysis for ethical portfolio optimization problem using fuzzy chance constrained programming Autor Messaoudi, Laila

“… multiple methodologies like investor topology, cluster analysis, preference modeling and fuzzy multi-objective programming strategy…”
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A sparse chance constrained portfolio selection model with multiple constraints Autor Chen, Zhiping, Peng, Shen, Lisser, Abdel

“…This paper presents a general sparse portfolio selection model with expectation, chance and cardinality constraints…”
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Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization Autor Lejeune, Miguel A., Shen, Siqian

“…•Boolean reformulation method for multi-objective joint chance-constrained problems (MOPCP…”
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Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints Autor Ji, Ran, Lejeune, Miguel A.

“…Multi-portfolio optimization problems and the incorporation of marginal risk contribution constraints have recently received a sustained interest from academia and financial practitioners…”
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Resilient Configuration Approach of Integrated Community Energy System Considering Integrated Demand Response Under Uncertainty Autor Guo, Zun, Li, Gengyin, Zhou, Ming, Feng, Wei

“…) from the demand side. Nevertheless, the randomness lies in IDR resources and renewable generation in the ICES configuration issue still lacks thorough analysis…”
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Modeling methods for managing raw material compositional uncertainty in alloy production Autor Gaustad, Gabrielle, Li, Preston, Kirchain, Randolph

“… This paper explores the use of a chance-constrained optimization method, which allows explicit consideration of statistical information on composition…”
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Reliability-based sizing of islanded multi-energy microgrid: a conic chance-constrained optimization approach Autor Camargo-Berrueco, Juan Camilo, Mejía-Giraldo, Diego Adolfo, Lemos-Cano, Santiago

“…$$ N - 1 and probabilistic regulation reserves. This methodology consists of a chance-constrained optimization that determines the optimal sizing of the microgrid…”
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Stochastic portfolio optimization using efficiency evaluation Autor Rotela Junior, Paulo, Pamplona, Edson de Oliveira, Rocha, Luiz Célio Souza, Valerio, Victor Eduardo de Mello, Paiva, Anderson Paulo

“… A chance-constrained data envelopment analysis stochastic optimization model was used, and return and variance were employed as input and output variables. Findings…”
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Distributionally robust hybrid energy management in smart mining using process-coupled primal-dual mirror descent Autor Wang, Dawei, Li, Yifei, Gong, Cheng, Li, Tianle, Wang, Fang, Luo, Shanna, Li, Jun

“…, and (iii) time-varying, safety-critical operational constraints. The energy scheduling problem is formulated as a process-constrained, multi-period optimization…”
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A data-driven robust EVaR-PC with application to portfolio management Autor He, Qingyun, Hong, Chuanyang

“…We investigate the robust chance constrained optimization problem (RCCOP), which is a combination of the distributionally robust optimization (DRO…”
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On joint probabilistic constraints with Gaussian coefficient matrix Autor van Ackooij, W., Henrion, R., Möller, A., Zorgati, R.

“… This allows us to employ existing efficient algorithms for calculating this latter class of functions in order to solve probabilistically constrained optimization problems of the indicated type…”
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A Stochastic Receding Horizon Control Approach to Constrained Index Tracking Autor Primbs, James A., Sung, Chang Hwan

“… By modeling the asset dynamics in the problems as a linear system subject to state and control multiplicative noise, and approximating linear chance constraints with quadratic expectation constraints…”
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Conditional Monte Carlo Estimation of Quantile Sensitivities Autor Fu, Michael C, Hong, L. Jeff, Hu, Jian-Qiang

“…Estimating quantile sensitivities is important in many optimization applications, from hedging in financial engineering to service-level constraints in inventory control to more general chance…”
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Optimal project portfolio selection with carryover constraint Autor Gurgur, C

“… In this paper, we develop a methodology based on multi-attribute utility theory and chance-constrained programming to optimize portfolio selection subject to the constraints that the selected…”
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Stochastic programming: applications in finance, energy, planning and logistics. Autor Gassmann, Horand I, Gassmann, Horand I, Ziemba, William T

“…This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems…”
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A stochastic optimisation framework for analysing economic returns and risk distribution in the LNG business Autor Furlonge, Haydn I

“… Constraints were placed on the minimum acceptable returns. The risk affinity of the decision maker was captured in the form of a chance-constrained optimisation problem…”
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Variational Inference for Data-Driven Stochastic Programming Autor Jaiswal, Prateek

“… In general, stochastic programming involves minimizing an expected cost function, where the expectation is with respect to fully specified stochastic models that quantify the aleatoric or ‘inherent…”
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